# EDGAR Filing Document

**Accession Number:** 0000793769
**File Stem:** 0001410368-25-039933
**Filing Date:** 2025-12
**Character Count:** 295956
**Document Hash:** 0669aa63ba68ef8dc72ac55019979158
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-25-039933.hdr.sgml**: 20251219

**ACCESSION NUMBER**: 0001410368-25-039933

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251031

**FILED AS OF DATE**: 20251219

**DATE AS OF CHANGE**: 20251219

**PERIOD START**: 20251031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** HARBOR FUNDS
- **CENTRAL INDEX KEY:** 0000793769

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04676
- **FILM NUMBER:** 251586450

**BUSINESS ADDRESS:**
- **STREET 1:** 111 SOUTH WACKER DRIVE
- **STREET 2:** 34TH FLOOR
- **CITY:** CHICAGO
- **STATE:** IL
- **ZIP:** 60606
- **BUSINESS PHONE:** 312-443-4400

**MAIL ADDRESS:**
- **STREET 1:** 111 SOUTH WACKER DRIVE
- **STREET 2:** 34TH FLOOR
- **CITY:** CHICAGO
- **STATE:** IL
- **ZIP:** 60606

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** HARBOR FUND
- **DATE OF NAME CHANGE:** 19920703

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** HARBOR GROWTH FUND
- **DATE OF NAME CHANGE:** 19871229

## Series and Classes Contracts Data

### Harbor Core Plus Fund (Series ID: S000000682)

| Class ID   | Class Name           | Ticker Symbol   |
|:---|:---|:---|
| C000001976 | Institutional Class  | HABDX           |
| C000001977 | Administrative Class | HRBDX           |
| C000200770 | Retirement Class     | HBFRX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** HARBOR FUNDS

- **b. Investment Company Act file number:** 811-04676

- **c. CIK number of Registrant:** 0000793769

- **d. LEI of Registrant:** 549300YJH4HL5M6WFP75

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

  - **Street Address 1:** 111 SOUTH WACKER DRIVE

  - **City:** CHICAGO

  - **State:** IL

  - **Foreign country:** US

  - **Zip / Postal Code:** 60606

  - **Telephone number:** 312-443-4400

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

- **a. Name of Series:** Harbor Core Plus Fund

- **b. EDGAR series identifier (if any):** S000000682

- **c. LEI of Series:** EOW1NK32RWEIMTVXK597

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1262705341.27

**Total Liabilities:** $7108309.71

**Net Assets:** $1255597031.56

**Delayed Delivery Securities:** $6175534.96

**Cash Not Reported:** $11100734.84

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -1861.26000000 | **1-Year:** -35270.62000000 | **5-Year:** -104052.32000000 | **10-Year:** -63595.51000000 | **30-Year:** -22666.88000000

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

- **3-Month:** -246.18000000 | **1-Year:** -6682.81000000 | **5-Year:** -13639.16000000 | **10-Year:** -8027.65000000 | **30-Year:** -89.85000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000001976 | 1.13%                | 1.24%                | 0.55%                |
| Class ID C000001977 | 1.10%                | 1.22%                | 0.63%                |
| Class ID C000200770 | 1.13%                | 1.25%                | 0.65%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-210520.98              | $9435806.74                                |
| Month 2  | $1337213.80              | $8414198.63                                |
| Month 3  | $-1099636.31             | $4484617.95                                |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| ADT SEC CORP                                      | ADT Security Corp/The                                                           | CUSIP: 00109LAB9<br>LEI: 5493009JEEDYLVRA0J13 | Long             | DBT              | CORP              | US        |   2898000 | PA      | $2947112.23   | 0.23%             | 2033-10-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                        | AMSR 2024-SFR1 Trust                                                            | CUSIP: 00179CAA6<br>LEI: 549300164ZV2301BC703 | Long             | ABS-O            | CORP              | US        |   5305000 | PA      | $5271751.44   | 0.42%             | 2041-07-17      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                          | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MBJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   3205000 | PA      | $3279338.15   | 0.26%             | 2029-01-19      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| AGREE LP                                          | Agree LP                                                                        | CUSIP: 008513AA1<br>LEI: 549300DXY3G299V1BO77 | Long             | DBT              |  | US        |   1400000 | PA      | $1306556.01   | 0.10%             | 2030-10-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2017-1AA PTT                           | Air Canada 2017-1 Class AA Pass Through Trust                                   | CUSIP: 00908PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |   2694720 | PA      | $2566353.21   | 0.20%             | 2030-01-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| AIRCASTLE LTD                                     | Aircastle Ltd                                                                   | CUSIP: 00928QAU5<br>LEI: 549300PNK8AKY3OIKP58 | Long             | DBT              | CORP              | BM        |   6200000 | PA      | $5992499.83   | 0.48%             | 2028-01-26      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| AIRCASTLE / IRELAND DAC                           | Aircastle Ltd / Aircastle Ireland DAC                                           | CUSIP: 00929JAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    661000 | PA      | $689110.99    | 0.05%             | 2031-10-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE E                          | Alexandria Real Estate Equities Inc                                             | CUSIP: 015271AT6<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              |  | US        |   2100000 | PA      | $1968646.07   | 0.16%             | 2029-12-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Aligned Data Centers Issuer LLC                   | Aligned Data Centers Issuer LLC                                                 | CUSIP: 01627AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1602900 | PA      | $1565591.22   | 0.12%             | 2046-08-15      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| ALLWYN ENTERTAINMENT FIN                          | Allwyn Entertainment Financing UK PLC                                           | CUSIP: 02007VAA8<br>LEI: 315700J7ZTIN8XGCX365 | Long             | DBT              | CORP              | GB        |   3372000 | PA      | $3500223.67   | 0.28%             | 2029-04-30      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| AMER AIRLN 15-2 AA PTT                            | American Airlines 2015-2 Class AA Pass Through Trust                            | CUSIP: 02377BAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1148772 | PA      | $1130675.12   | 0.09%             | 2027-09-22      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| AMERICAN AXLE & MFG INC                           | American Axle & Manufacturing Inc                                               | CUSIP: 02406PBC3<br>LEI: RY5TAKFOBLDUGX31MS24 | Long             | DBT              | CORP              | US        |   4145000 | PA      | $4160474.90   | 0.33%             | 2032-10-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                               | American Tower Corp                                                             | CUSIP: 03027XBV1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |   1118000 | PA      | $1110122.52   | 0.09%             | 2027-03-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2022-1                                                 | CUSIP: 03464BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2750414 | PA      | $2594165.79   | 0.21%             | 2066-12-25      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| ANTARES HOLDINGS                                  | Antares Holdings LP                                                             | CUSIP: 03666HAH4<br>LEI: 5493008EAIGV4283RM42 | Long             | DBT              | CORP              | US        |   3101000 | PA      | $3165407.09   | 0.25%             | 2029-10-23      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                                    | APIDOS CLO XLVIII Ltd                                                           | CUSIP: 03770WAA9<br>LEI: 25490046M6DC4604K633 | Long             | ABS-CBDO         | CORP              | JE        |   2944000 | PA      | $2953432.66   | 0.24%             | 2037-07-25      | Floating      | 5.30%                 | 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        |    370000 | PA      | $371227.70    | 0.03%             | 2055-06-07      | Fixed         | 6.72%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.                            | Argent Securities Inc Asset-Backed Pass-Through Certificates Series 2004-W11    | CUSIP: 040104MG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    228376 | PA      | $230158.27    | 0.02%             | 2034-11-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| ASHTEAD CAPITAL INC                               | Ashtead Capital Inc                                                             | CUSIP: 045054AP8<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |   8565000 | PA      | $7600603.61   | 0.61%             | 2031-08-12      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| ASHTEAD CAPITAL INC                               | Ashtead Capital Inc                                                             | CUSIP: 045054AQ6<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |   4540000 | PA      | $4685046.14   | 0.37%             | 2033-05-30      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| ASPEN INSURANCE HLDG LTD                          | Aspen Insurance Holdings Ltd                                                    | CUSIP: 04530DAE2<br>LEI: 549300YX6HECG9XQCQ75 | Long             | DBT              | CORP              | BM        |   1774000 | PA      | $1853625.85   | 0.15%             | 2030-07-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ATLAS WAREHOUSE LEND                              | Atlas Warehouse Lending Co LP                                                   | CUSIP: 049463AD4<br>LEI: 25490068J12A1HV7YM70 | Long             | DBT              | CORP              | US        |   3762000 | PA      | $3869665.02   | 0.31%             | 2028-01-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                            | Aviation Capital Group LLC                                                      | CUSIP: 05369AAT8<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |   5940000 | PA      | $5940450.67   | 0.47%             | 2030-10-24      | Fixed         | 4.80%                 | 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        |   3702000 | PA      | $3822478.26   | 0.30%             | 2030-06-20      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                    | BCAP LLC 2011-RR5-I Trust                                                       | CUSIP: 05534AAN1<br>LEI: 213800LBQA1Y9L22JB70 | Long             | ABS-MBS          | CORP              | US        |     67132 | PA      | $66869.57     | 0.01%             | 2037-03-26      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS Mortgage Trust 2024-5C27                                                  | CUSIP: 05555FAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5383000 | PA      | $5663467.22   | 0.45%             | 2057-07-15      | Fixed         | 6.01%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                | BMO 2023-C7 Mortgage Trust                                                      | CUSIP: 05593FAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4698000 | PA      | $5081051.43   | 0.40%             | 2056-12-15      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| BX Trust                                          | BX Commercial Mortgage Trust 2021-VOLT                                          | CUSIP: 05609VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1384455 | PA      | $1383868.24   | 0.11%             | 2036-09-15      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| BX Trust                                          | BX Trust 2022-CLS                                                               | CUSIP: 05609XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3217000 | PA      | $3241882.21   | 0.26%             | 2027-10-13      | Fixed         | 5.76%                 | No            |                  2 | On Loan: No      |
| BX Trust                                          | BX Commercial Mortgage Trust 2022-LP2                                           | CUSIP: 05610HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1013420 | PA      | $1012746.62   | 0.08%             | 2039-02-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| BX Trust                                          | BX Trust 2024-BIO                                                               | CUSIP: 05612AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5219000 | PA      | $5215898.87   | 0.42%             | 2041-02-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| BX Trust                                          | BX Trust 2024-VLT4                                                              | CUSIP: 05612TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4536000 | PA      | $4541573.84   | 0.36%             | 2041-06-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| BSTN Commercial Mortgage Trust                    | BSTN Commercial Mortgage Trust 2025-1C                                          | CUSIP: 05615EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2402000 | PA      | $2480304.72   | 0.20%             | 2044-06-15      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                            | CUSIP: 06051GMQ9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2751000 | PA      | $2864219.91   | 0.23%             | 2036-02-12      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| Bank5                                             | BANK5 2023-5YR2                                                                 | CUSIP: 06211CAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4948000 | PA      | $5210917.92   | 0.42%             | 2056-07-15      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2024-BNK48                                                                 | CUSIP: 06541GAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3200000 | PA      | $3268738.56   | 0.26%             | 2057-10-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                      | Barclays PLC                                                                    | CUSIP: 06738ECR4<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   5703000 | PA      | $5921825.14   | 0.47%             | 2030-03-12      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate M                    | Bear Stearns ARM Trust 2000-2                                                   | CUSIP: 07384MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5359 | PA      | $5331.72      | 0.00%             | 2030-11-25      | Variable      | 4.81%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate M                    | Bear Stearns ARM Trust 2004-1                                                   | CUSIP: 07384MG97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    108158 | PA      | $96856.15     | 0.01%             | 2034-04-25      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2022-B35 Mortgage Trust                                               | CUSIP: 08163RBQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3238000 | PA      | $3177567.91   | 0.25%             | 2055-05-15      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | BMARK 2023-V4                                                                   | CUSIP: 081926AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3600000 | PA      | $3820152.24   | 0.30%             | 2056-11-15      | Variable      | 6.84%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                        | BFLD Commercial Mortgage Trust 2025-5MW                                         | CUSIP: 088921AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3803000 | PA      | $3812853.57   | 0.30%             | 2042-10-10      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE HOLDINGS FINA                          | Blackstone Holdings Finance Co LLC                                              | CUSIP: 09261BAH3<br>LEI: 549300D2L6J4NC1QVZ22 | Long             | DBT              | CORP              | US        |   6000000 | PA      | $4147198.56   | 0.33%             | 2052-01-30      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| BLUE OWL CREDIT INCOME                            | Blue Owl Credit Income Corp                                                     | CUSIP: 09581CAB7<br>LEI: 5493003I42XBWPE05N35 | Long             | DBT              | CORP              | US        |    490000 | PA      | $506941.02    | 0.04%             | 2029-09-15      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| BLUE OWL FINANCE LLC                              | Blue Owl Finance LLC                                                            | CUSIP: 09581JAT3<br>LEI: 254900OF2NO2GYFV5T41 | Long             | DBT              | CORP              | US        |   3527000 | PA      | $3661611.80   | 0.29%             | 2034-04-18      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BOOZ ALLEN HAMILTON INC                           | Booz Allen Hamilton Inc                                                         | CUSIP: 09951LAA1<br>LEI: 549300D7XCH2480XU542 | Long             | DBT              | CORP              | US        |   3866000 | PA      | $3792830.54   | 0.30%             | 2028-09-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD CAPITAL FIN                            | Brookfield Capital Finance LLC                                                  | CUSIP: 11259NAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6096000 | PA      | $6549021.74   | 0.52%             | 2033-06-14      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD FINANCE INC                            | Brookfield Finance Inc                                                          | CUSIP: 11271LAN2<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |   6962000 | PA      | $6931828.08   | 0.55%             | 2055-01-15      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC                                 | Brown & Brown Inc                                                               | CUSIP: 115236AL5<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |   4786000 | PA      | $4908836.61   | 0.39%             | 2032-06-23      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CENT Trust                                        | CENT 2025-CITY                                                                  | CUSIP: 12517TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3317000 | PA      | $3364950.49   | 0.27%             | 2040-07-10      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| CMS ENERGY CORP                                   | CMS Energy Corp                                                                 | CUSIP: 125896BU3<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |   1647000 | PA      | $1622879.36   | 0.13%             | 2050-06-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CMS ENERGY CORP                                   | CMS Energy Corp                                                                 | CUSIP: 125896BV1<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |   4171000 | PA      | $3853964.38   | 0.31%             | 2050-12-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                  | Cifc Funding 2023-III Ltd                                                       | CUSIP: 12598YAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5976000 | PA      | $6001753.87   | 0.48%             | 2037-01-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                            | CVS Pass-Through Trust                                                          | CUSIP: 126650BQ2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    260362 | PA      | $268876.53    | 0.02%             | 2030-01-10      | Fixed         | 6.94%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                            | CVS Pass-Through Trust                                                          | CUSIP: 126650BS8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3428054 | PA      | $3648154.53   | 0.29%             | 2032-01-10      | Fixed         | 7.51%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2005-20CB                                                | CUSIP: 12667GQB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1096627 | PA      | $708493.55    | 0.06%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-6CB                                                 | CUSIP: 12668BRX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1375182 | PA      | $1061358.84   | 0.08%             | 2036-05-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                          | Capital One Financial Corp                                                      | CUSIP: 14040HDH5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   4836000 | PA      | $5065703.42   | 0.40%             | 2035-07-26      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                  | Carlyle Global Market Strategies CLO 2016-1 Ltd                                 | CUSIP: 14312HBE5<br>LEI: 549300N3CJKPCWZ7KX23 | Long             | ABS-CBDO         | CORP              | KY        |   5940000 | PA      | $5944852.45   | 0.47%             | 2034-04-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                          | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175AZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5320000 | PA      | $5512764.19   | 0.44%             | 2035-10-23      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                     | Citigroup Inc                                                                   | CUSIP: 172967MS7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   4700000 | PA      | $4335322.02   | 0.35%             | 2031-06-03      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust               | Citigroup Commercial Mortgage Trust 2019-GC43                                   | CUSIP: 17328HBD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3828000 | PA      | $3590138.42   | 0.29%             | 2052-11-10      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2025-1                                            | CUSIP: 17332FAH2<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |   4634210 | PA      | $4663185.49   | 0.37%             | 2055-01-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPCO                           | Columbia Pipelines Operating Co LLC                                             | CUSIP: 19828TAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3209000 | PA      | $3425013.29   | 0.27%             | 2033-11-15      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPCO                           | Columbia Pipelines Operating Co LLC                                             | CUSIP: 19828TAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2560000 | PA      | $2617806.54   | 0.21%             | 2035-02-15      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPCO                           | Columbia Pipelines Operating Co LLC                                             | CUSIP: 19828TAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    995000 | PA      | $996166.85    | 0.08%             | 2055-02-15      | Fixed         | 5.96%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                            | ConocoPhillips Co                                                               | CUSIP: 20826FBG0<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |    812000 | PA      | $800517.75    | 0.06%             | 2054-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                            | ConocoPhillips Co                                                               | CUSIP: 20826FBM7<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |    741000 | PA      | $722935.86    | 0.06%             | 2055-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION SOFTWARE                            | Constellation Software Inc/Canada                                               | CUSIP: 21037XAD2<br>LEI: 549300B6PYHMCTDWQV29 | Long             | DBT              | CORP              | CA        |   2202000 | PA      | $2234719.54   | 0.18%             | 2034-02-16      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| COPT DEFENSE PROP LP                              | COPT Defense Properties LP                                                      | CUSIP: 22003BAN6<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              |  | US        |   5922000 | PA      | $5512975.28   | 0.44%             | 2029-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FIRST NATIONWIDE TRUST                            | FNT Mortgage-Backed Pass-Through Trust 2001-3                                   | CUSIP: 22540A3S5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       245 | PA      | $244.92       | 0.00%             | 2031-08-21      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor                    | CSFB Mortgage-Backed Pass-Through Certificates Series 2005-10                   | CUSIP: 225470FJ7<br>LEI: 549300506SI9CRFV9Z86 | Long             | ABS-MBS          | CORP              | US        |    176113 | PA      | $122124.05    | 0.01%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DB Master Finance LLC                             | DB Master Finance LLC                                                           | CUSIP: 233046AQ4<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-O            | CORP              | US        |   2199312 | PA      | $2073347.98   | 0.17%             | 2051-11-20      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| DB Master Finance LLC                             | DB Master Finance LLC                                                           | CUSIP: 233046AU5<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-O            | CORP              | US        |   3727000 | PA      | $3745716.99   | 0.30%             | 2055-08-20      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortgage Trust           | DBJPM 20-C9 Mortgage Trust                                                      | CUSIP: 233063AF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    114522 | PA      | $114304.53    | 0.01%             | 2053-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust                          | DSLA Mortgage Loan Trust 2006-AR1                                               | CUSIP: 23332UGK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    610788 | PA      | $529284.17    | 0.04%             | 2046-03-19      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| DTE ELECT SECUR FND II                            | DTE Electric Securitization Funding II LLC                                      | CUSIP: 23346TAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2517873 | PA      | $2658390.29   | 0.21%             | 2032-03-01      | Fixed         | 5.97%                 | No            |                  2 | On Loan: No      |
| DAVITA INC                                        | DaVita Inc                                                                      | CUSIP: 23918KAY4<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | DBT              | CORP              | US        |   3585000 | PA      | $3720161.67   | 0.30%             | 2033-07-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| DEPOSITORY TRUST & CLEAR                          | Depository Trust & Clearing Corp/The                                            | CUSIP: 249670AB6<br>LEI: MLDY5N6PZ58ZE60QU102 | Long             | DBT              | CORP              | US        |   8750000 | PA      | $8618678.25   | 0.69%             | 2026-06-20      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC                     | Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-AR2                   | CUSIP: 25151UAA5<br>LEI: 5299003GGM6YEXXXJ012 | Long             | ABS-MBS          | CORP              | US        |   2133402 | PA      | $2042978.64   | 0.16%             | 2037-03-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| DIAGEO INVESTMENT CORP                            | Diageo Investment Corp                                                          | CUSIP: 25245BAE7<br>LEI: S4G8DPIPDVCF6CB81Z61 | Long             | DBT              | CORP              | US        |   4635000 | PA      | $4911952.42   | 0.39%             | 2035-04-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                               | Dominion Energy Inc                                                             | CUSIP: 25746UDT3<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |   4223000 | PA      | $4440836.95   | 0.35%             | 2055-02-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Dominos Pizza Master Issuer LLC                   | Domino's Pizza Master Issuer LLC                                                | CUSIP: 25755TAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3740235 | PA      | $3556930.94   | 0.28%             | 2051-04-25      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| EPR PROPERTIES                                    | EPR Properties                                                                  | CUSIP: 26884UAD1<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              |  | US        |   4005000 | PA      | $4006366.11   | 0.32%             | 2027-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| EPR PROPERTIES                                    | EPR Properties                                                                  | CUSIP: 26884UAE9<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              |  | US        |    600000 | PA      | $605957.42    | 0.05%             | 2028-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| EMBRAER NETHERLANDS FINA                          | Embraer Netherlands Finance BV                                                  | CUSIP: 29082HAE2<br>LEI: 724500PBR8LR26XBSP67 | Long             | DBT              | CORP              | NL        |   1798000 | PA      | $1934423.25   | 0.15%             | 2035-02-11      | Fixed         | 5.98%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                      | Enbridge Inc                                                                    | CUSIP: 29250NBC8<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |   3145000 | PA      | $3170666.35   | 0.25%             | 2080-07-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| EQT Trust 2024-EXTR                               | EQT Trust 2024-EXTR                                                             | CUSIP: 29439DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1731000 | PA      | $1772242.81   | 0.14%             | 2041-07-05      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                       | Exelon Corp                                                                     | CUSIP: 30161NAC5<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1572281.13   | 0.13%             | 2035-06-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                       | Exelon Corp                                                                     | CUSIP: 30161NAX9<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4956275.55   | 0.39%             | 2030-04-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128KLUV7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     69648 | PA      | $73251.61     | 0.01%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128L1WP1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    242810 | PA      | $256503.27    | 0.02%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128M4NU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    211801 | PA      | $223007.28    | 0.02%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128M5BS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     54180 | PA      | $57223.43     | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128M5GA2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     54835 | PA      | $57913.49     | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128M5H45<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    160788 | PA      | $169815.05    | 0.01%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6KC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      2335 | PA      | $2464.10      | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6MZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     10054 | PA      | $10618.64     | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6N61<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       354 | PA      | $372.31       | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6N79<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     74542 | PA      | $77369.04     | 0.01%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6NT1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    148318 | PA      | $154684.29    | 0.01%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6PE2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     11055 | PA      | $11378.53     | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6PH5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      1174 | PA      | $1218.96      | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6PK8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      1010 | PA      | $1036.43      | 0.00%             | 2031-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6PM4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       642 | PA      | $666.65       | 0.00%             | 2033-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6PN2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       172 | PA      | $175.61       | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     51547 | PA      | $54421.01     | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     53866 | PA      | $56096.09     | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128M75R3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    100602 | PA      | $104829.20    | 0.01%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128M8CB8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     55157 | PA      | $58253.35     | 0.00%             | 2040-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJ3B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     99051 | PA      | $95977.85     | 0.01%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJ3T5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    340126 | PA      | $329519.85    | 0.03%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                       | CUSIP: 3128Q2FY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      2348 | PA      | $2408.72      | 0.00%             | 2035-08-01      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3129433W1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     47371 | PA      | $47679.51     | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3131X6GM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       469 | PA      | $467.39       | 0.00%             | 2026-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                              | CUSIP: 31325UP26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1816756 | PA      | $29577.97     | 0.00%             | 2027-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 31329PYM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3881705 | PA      | $3866000.59   | 0.31%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132A5GA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4339331 | PA      | $3957390.03   | 0.32%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132A8ZV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2379794 | PA      | $2322531.78   | 0.18%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132ADRB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4932646 | PA      | $4647638.42   | 0.37%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132ADVT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9306592 | PA      | $9019211.98   | 0.72%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132AECJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66076 | PA      | $66087.70     | 0.01%             | 2034-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132CWNA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2300403 | PA      | $2231105.16   | 0.18%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132CXAS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4846143 | PA      | $4711061.94   | 0.38%             | 2037-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132D53J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     75313 | PA      | $73963.13     | 0.01%             | 2034-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132D54S8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59351 | PA      | $57925.59     | 0.00%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DMYN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3632578 | PA      | $3127823.00   | 0.25%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DNGH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4609065 | PA      | $3985401.98   | 0.32%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DNQJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6673089 | PA      | $6768440.30   | 0.54%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DQUT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4163000 | PA      | $4281723.23   | 0.34%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DS2B7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3504023 | PA      | $3536983.67   | 0.28%             | 2054-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DSZP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5362360 | PA      | $4633701.00   | 0.37%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DTT83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3464071 | PA      | $3555356.36   | 0.28%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DVL94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5641323 | PA      | $4885254.36   | 0.39%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DVLA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6046917 | PA      | $5249472.36   | 0.42%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DWCT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4578522 | PA      | $3736811.33   | 0.30%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132GJCU1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     78277 | PA      | $78593.82     | 0.01%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133KL2T3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11041198 | PA      | $9385371.86   | 0.75%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THROUGH                     | Freddie Mac Structured Pass-Through Certificates                                | CUSIP: 3133TCE95<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      4731 | PA      | $4647.20      | 0.00%             | 2032-08-15      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                       | Freddie Mac REMICS                                                              | CUSIP: 3133TQFM4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |        80 | PA      | $80.02        | 0.00%             | 2030-11-15      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31368HMT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     14225 | PA      | $15009.69     | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31368HNQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    353438 | PA      | $366899.95    | 0.03%             | 2039-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                        | Fannie Mae REMICS                                                               | CUSIP: 3136A1GG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   3748202 | PA      | $3575742.58   | 0.28%             | 2041-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136ANRT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1701011 | PA      | $228925.82    | 0.02%             | 2045-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                        | Fannie Mae REMICS                                                               | CUSIP: 3136APAH5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    943651 | PA      | $934023.86    | 0.07%             | 2055-06-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136AR6B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1155335 | PA      | $156509.60    | 0.01%             | 2034-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136AUM24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1980709 | PA      | $76558.57     | 0.01%             | 2046-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136AXS22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6187085 | PA      | $381777.76    | 0.03%             | 2057-09-25      | Variable      | 1.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136B2DL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2961972 | PA      | $426950.51    | 0.03%             | 2048-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136B54V4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5914941 | PA      | $842544.92    | 0.07%             | 2047-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136B9UP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4626056 | PA      | $355001.71    | 0.03%             | 2035-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136BAJ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5461370 | PA      | $1115532.87   | 0.09%             | 2050-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136BCKZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15322028 | PA      | $781333.05    | 0.06%             | 2035-11-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136BCV80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2520157 | PA      | $344532.18    | 0.03%             | 2043-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136BJCS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3703930 | PA      | $199283.68    | 0.02%             | 2051-10-25      | Variable      | 0.53%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                                       | CUSIP: 3136FG3N5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4168323 | PA      | $867204.86    | 0.07%             | 2041-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31371LKY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      4992 | PA      | $5121.85      | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31371MER4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      3613 | PA      | $3811.67      | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31371NEZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       792 | PA      | $809.36       | 0.00%             | 2027-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31371NJ63<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     66261 | PA      | $67728.22     | 0.01%             | 2027-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31371NWM3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      1672 | PA      | $1709.24      | 0.00%             | 2028-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31371NXK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      7274 | PA      | $7357.96      | 0.00%             | 2028-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31371NZ81<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      2461 | PA      | $2487.79      | 0.00%             | 2028-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31374CN36<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     10775 | PA      | $11370.05     | 0.00%             | 2039-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31376KHD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       367 | PA      | $381.24       | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31376KMK9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     25558 | PA      | $25933.88     | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31376KR32<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     83881 | PA      | $87272.29     | 0.01%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137AUQB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3426443 | PA      | $512751.85    | 0.04%             | 2042-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137BSUQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2684091 | PA      | $191987.12    | 0.02%             | 2035-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137FUKP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    894115 | PA      | $879748.13    | 0.07%             | 2040-08-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137FUKQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    816315 | PA      | $802759.98    | 0.06%             | 2040-10-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137H3XV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10796702 | PA      | $843010.84    | 0.07%             | 2035-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137HFQ57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7523251 | PA      | $508165.52    | 0.04%             | 2037-05-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31381BDB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |        36 | PA      | $36.02        | 0.00%             | 2028-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31382LHY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      5115 | PA      | $5297.17      | 0.00%             | 2029-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31385XAS6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       624 | PA      | $645.20       | 0.00%             | 2033-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31385XNR4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       468 | PA      | $480.47       | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31385XTY3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       757 | PA      | $777.05       | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31386C3V2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     28549 | PA      | $28651.06     | 0.00%             | 2040-10-01      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31389DS81<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      3960 | PA      | $4088.85      | 0.00%             | 2031-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138A1MN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      5518 | PA      | $5566.65      | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138A2CD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       303 | PA      | $301.57       | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138A2CF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4514 | PA      | $4500.10      | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138A2NX3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       396 | PA      | $394.83       | 0.00%             | 2026-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138A2SY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     17647 | PA      | $18072.30     | 0.00%             | 2041-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138A2UF4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     43733 | PA      | $43997.97     | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138A7T24<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       753 | PA      | $750.51       | 0.00%             | 2026-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138A8EM4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      1130 | PA      | $1126.92      | 0.00%             | 2026-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138A8SV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      1551 | PA      | $1548.74      | 0.00%             | 2026-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138A9RW6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |        68 | PA      | $67.38        | 0.00%             | 2026-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138AA2P5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      6864 | PA      | $6903.32      | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138AACD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       158 | PA      | $157.95       | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138ABSV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      1671 | PA      | $1686.79      | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138ACCZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    133956 | PA      | $134766.61    | 0.01%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138AG4X3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     15785 | PA      | $15530.17     | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138AGFZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    168792 | PA      | $170768.45    | 0.01%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138AJNT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     98022 | PA      | $100341.23    | 0.01%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138AJZM7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     20830 | PA      | $20941.69     | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138AKGD5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     13442 | PA      | $13804.17     | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138AKXQ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     70967 | PA      | $71345.40     | 0.01%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138ALGM3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      9708 | PA      | $9790.17      | 0.00%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138AMA39<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      1089 | PA      | $1085.35      | 0.00%             | 2026-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138AMGL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     17405 | PA      | $17350.15     | 0.00%             | 2026-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138AMK38<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      3874 | PA      | $3874.58      | 0.00%             | 2026-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138ANJA2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     21724 | PA      | $21790.70     | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138ANLY7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     50184 | PA      | $51577.08     | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138ANQA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    145684 | PA      | $146251.59    | 0.01%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138APTB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    240254 | PA      | $239154.32    | 0.02%             | 2031-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138APZP6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    128985 | PA      | $129460.42    | 0.01%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138ASU26<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       313 | PA      | $312.14       | 0.00%             | 2026-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138ASVH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      1958 | PA      | $1946.93      | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138ATHN3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     15233 | PA      | $15492.78     | 0.00%             | 2041-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138ATS68<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       617 | PA      | $614.97       | 0.00%             | 2026-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138ATUZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     40270 | PA      | $40496.70     | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138AVEY7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     21503 | PA      | $21463.68     | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138EGE26<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     62825 | PA      | $66293.78     | 0.01%             | 2040-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138EGSJ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    256553 | PA      | $266322.84    | 0.02%             | 2041-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138EGUL6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      7894 | PA      | $7896.54      | 0.00%             | 2026-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138EGVH4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     43794 | PA      | $45650.28     | 0.00%             | 2040-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138EGZZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     32367 | PA      | $32556.52     | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138EKSM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    131553 | PA      | $136803.74    | 0.01%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138MBG59<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      8432 | PA      | $8361.87      | 0.00%             | 2042-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138WJ6W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7543401 | PA      | $7488868.29   | 0.60%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138XXN51<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     54356 | PA      | $55195.69     | 0.00%             | 2044-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                              | Fannie Mae REMIC Trust 2003-W1                                                  | CUSIP: 31392GVX0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     67946 | PA      | $68286.79     | 0.01%             | 2042-12-25      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                        | Fannie Mae REMICS                                                               | CUSIP: 31393APU5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    115985 | PA      | $115854.12    | 0.01%             | 2033-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                        | Fannie Mae REMICS                                                               | CUSIP: 31394VL73<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     12188 | PA      | $12462.54     | 0.00%             | 2035-05-25      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THROUGH                     | Freddie Mac Structured Pass-Through Certificates                                | CUSIP: 31395M2F5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | CORP              | US        |     32124 | PA      | $31185.95     | 0.00%             | 2045-02-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 31397UVB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1392162 | PA      | $206913.27    | 0.02%             | 2041-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31400EKU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     13882 | PA      | $14081.08     | 0.00%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31400PZ32<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      5606 | PA      | $5671.23      | 0.00%             | 2033-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31401H4J8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       673 | PA      | $688.47       | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31401LDU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      5362 | PA      | $5421.18      | 0.00%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31402C4G4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    965559 | PA      | $992428.14    | 0.08%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31402C4H2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       920 | PA      | $945.26       | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31402C4J8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    246097 | PA      | $253004.81    | 0.02%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31402CTT9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      2121 | PA      | $2211.53      | 0.00%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31402CVQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     72050 | PA      | $73981.26     | 0.01%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31402CWR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      3066 | PA      | $3138.69      | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31402DC73<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     16981 | PA      | $17478.44     | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31402DJS0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      2655 | PA      | $2732.74      | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31402DP79<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     66654 | PA      | $68604.46     | 0.01%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31402DP95<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       220 | PA      | $223.90       | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31402HGD7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     18857 | PA      | $18965.55     | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31402Q5T4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      1410 | PA      | $1465.93      | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31402QWA5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      2195 | PA      | $2278.89      | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31402QYY1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    115654 | PA      | $120186.69    | 0.01%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31402TXH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       414 | PA      | $418.95       | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31402UNY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     14034 | PA      | $14188.90     | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31403BMY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      4887 | PA      | $5027.93      | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31403CXW6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       951 | PA      | $990.93       | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31403DD97<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     19461 | PA      | $20272.25     | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31403DGZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      1321 | PA      | $1375.62      | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31403DLV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      1327 | PA      | $1399.65      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31403DLX5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     13107 | PA      | $13653.70     | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31403KJ61<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     23153 | PA      | $23740.14     | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31403NLD7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       405 | PA      | $409.05       | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31403NS81<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      4772 | PA      | $4845.95      | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31403QR93<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      3797 | PA      | $3944.22      | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31403RRY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      3318 | PA      | $3359.96      | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31403TRH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     10097 | PA      | $10400.57     | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31403V4X4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       197 | PA      | $199.98       | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31403YUG6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      3115 | PA      | $3212.90      | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31404EA48<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      4361 | PA      | $4384.40      | 0.00%             | 2034-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31404EJY3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      2727 | PA      | $2801.30      | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31404EM37<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      3422 | PA      | $3523.58      | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31404JQ99<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       975 | PA      | $977.21       | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31404JTX3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       953 | PA      | $966.55       | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31404KMF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      2174 | PA      | $2198.09      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31404SZW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      8632 | PA      | $8896.18      | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31405NDA0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      7141 | PA      | $7416.51      | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31405PFT2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       139 | PA      | $144.53       | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31405QUG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      1159 | PA      | $1173.02      | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31405R7C4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    240181 | PA      | $249991.12    | 0.02%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31405XCA9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     14542 | PA      | $15165.41     | 0.00%             | 2034-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31406ARR5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     16195 | PA      | $16635.00     | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31406BXE5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      2297 | PA      | $2380.93      | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31406ELQ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       995 | PA      | $1031.10      | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31406HU70<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      3437 | PA      | $3475.39      | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31406QJN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     55652 | PA      | $56260.84     | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31406TGD7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       274 | PA      | $285.88       | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31406TQT1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       296 | PA      | $308.52       | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31406VQS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     12297 | PA      | $12503.72     | 0.00%             | 2035-05-01      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31406VU87<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       300 | PA      | $310.52       | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31406WRE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    213658 | PA      | $217082.09    | 0.02%             | 2035-08-01      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31407A6M8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       393 | PA      | $401.69       | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31407BZS1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      2066 | PA      | $2151.71      | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31407EJW4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    198691 | PA      | $206806.49    | 0.02%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31407FG87<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     50659 | PA      | $52614.76     | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31407FYD6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    138069 | PA      | $141744.95    | 0.01%             | 2035-06-01      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31407HKX3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       303 | PA      | $314.51       | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31407MHB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      1570 | PA      | $1617.13      | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31407MZ40<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       518 | PA      | $538.44       | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31407PCL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      1029 | PA      | $1068.61      | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31407PKY3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     16719 | PA      | $17254.38     | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31407UEZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     50053 | PA      | $51707.68     | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31407XFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      1657 | PA      | $1718.86      | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31408AEN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      1578 | PA      | $1643.92      | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31408BU55<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     72411 | PA      | $75520.49     | 0.01%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31408D6V1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      1069 | PA      | $1113.66      | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31408DFG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     33376 | PA      | $34664.35     | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31408DRS5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      5910 | PA      | $6138.20      | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31408EXX5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       128 | PA      | $133.35       | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31408F4X4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    104686 | PA      | $108730.25    | 0.01%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31408JMA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     51050 | PA      | $53023.63     | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31409GKP0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     92328 | PA      | $97126.98     | 0.01%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31409TU22<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      3078 | PA      | $3247.69      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31409TY85<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     30588 | PA      | $31901.65     | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31409WVE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     19242 | PA      | $20067.55     | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31409YMG9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     31488 | PA      | $32839.85     | 0.00%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140HMRT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1970537 | PA      | $1955883.99   | 0.16%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140HPCR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145231 | PA      | $143434.49    | 0.01%             | 2033-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140J6GM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87862 | PA      | $85067.81     | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140MGNE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8757219 | PA      | $7579771.85   | 0.60%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QBSL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5660654 | PA      | $5282545.81   | 0.42%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QDHA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3524816 | PA      | $3343781.24   | 0.27%             | 2035-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QDT38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3412155 | PA      | $2954136.30   | 0.24%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QEPY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3464967 | PA      | $3103025.92   | 0.25%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QPTZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6183792 | PA      | $6240824.36   | 0.50%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QQJ22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4297855 | PA      | $4339688.61   | 0.35%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140X4YR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    791675 | PA      | $766385.11    | 0.06%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140X66E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3916325 | PA      | $3785092.48   | 0.30%             | 2049-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140X6WA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    599478 | PA      | $590157.86    | 0.05%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140X87K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9982589 | PA      | $9024707.50   | 0.72%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140X8QJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9801081 | PA      | $8904782.32   | 0.71%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140X9EV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8730497 | PA      | $8106782.44   | 0.65%             | 2051-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XBJZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4144049 | PA      | $4112352.77   | 0.33%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XBNU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2522588 | PA      | $2461706.52   | 0.20%             | 2035-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XCDX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8255648 | PA      | $8054521.83   | 0.64%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XCNV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3273881 | PA      | $3125377.27   | 0.25%             | 2036-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XDZT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5769399 | PA      | $5866423.13   | 0.47%             | 2050-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XFCB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9075922 | PA      | $8995259.57   | 0.72%             | 2050-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XFXQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7048890 | PA      | $6815825.35   | 0.54%             | 2050-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XGXU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4156025 | PA      | $3576063.22   | 0.28%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XHEL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4590305 | PA      | $3953926.89   | 0.31%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XJHV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3281300 | PA      | $2680959.22   | 0.21%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XKQC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3145432 | PA      | $3146187.09   | 0.25%             | 2038-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XMHB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2606696 | PA      | $2632327.19   | 0.21%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XPGN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4432110 | PA      | $4185828.01   | 0.33%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XPZL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5214328 | PA      | $4508770.80   | 0.36%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XQB55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4674066 | PA      | $4436786.05   | 0.35%             | 2037-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XQBA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4360219 | PA      | $4401235.23   | 0.35%             | 2054-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31410CUU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       638 | PA      | $656.25       | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31410DXY1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     46350 | PA      | $48759.50     | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31410E3F3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     35716 | PA      | $37015.35     | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31410ENX2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     16490 | PA      | $17074.44     | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31410F2H7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     27313 | PA      | $28451.38     | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31410FEY7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     11136 | PA      | $11602.94     | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31410FV44<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      3619 | PA      | $3818.50      | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31410FYT6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      4896 | PA      | $5166.40      | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31410G2H5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    250611 | PA      | $260385.03    | 0.02%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31410G4B6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     10228 | PA      | $10792.56     | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31410G6K4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    374618 | PA      | $390240.48    | 0.03%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31410GEK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       901 | PA      | $938.09       | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31410GNL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     13814 | PA      | $14389.90     | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31410GRN5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     13096 | PA      | $13642.03     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31410GUT8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      1054 | PA      | $1097.66      | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31410GUV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      8799 | PA      | $9041.96      | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31410GZC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     50042 | PA      | $51745.86     | 0.00%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31410KAA2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      1452 | PA      | $1512.83      | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31410KFH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    563586 | PA      | $586254.33    | 0.05%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31410KJ54<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    120104 | PA      | $125110.01    | 0.01%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31410KJV7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    442606 | PA      | $467041.10    | 0.04%             | 2038-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31410KKV5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      1364 | PA      | $1420.92      | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31410KNH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      5054 | PA      | $5257.50      | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31410KXK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    376261 | PA      | $391164.45    | 0.03%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31410LBB7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      6655 | PA      | $7022.77      | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31410LM58<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      1841 | PA      | $1912.47      | 0.00%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31410PAB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       758 | PA      | $794.03       | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31410QCP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     52855 | PA      | $55296.49     | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31410QGT2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       322 | PA      | $340.28       | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31410SBV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     27030 | PA      | $28433.42     | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31410TBK0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       680 | PA      | $715.81       | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31410UKB7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     74069 | PA      | $77493.19     | 0.01%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31410VGA2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     41166 | PA      | $42714.10     | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31410XA71<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      2401 | PA      | $2522.24      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31410XHU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     49015 | PA      | $51422.83     | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31410XPK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       628 | PA      | $651.63       | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31410XYJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       296 | PA      | $308.24       | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31410YGB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      6500 | PA      | $6779.01      | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31411AH24<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      7038 | PA      | $7297.05      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31411BSA2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       832 | PA      | $860.65       | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31411EJ32<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      9128 | PA      | $9430.49      | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31411UX55<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      3733 | PA      | $3877.39      | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31412HMC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       822 | PA      | $852.43       | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31412LEE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      5648 | PA      | $5707.24      | 0.00%             | 2027-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31412LH52<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      5584 | PA      | $5642.87      | 0.00%             | 2027-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31412MTG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     60408 | PA      | $62839.72     | 0.01%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31412NBR6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     15058 | PA      | $15754.67     | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31412PPU9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      2046 | PA      | $2064.06      | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31412REL7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      1145 | PA      | $1176.58      | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31412SYY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      1221 | PA      | $1284.75      | 0.00%             | 2038-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31412T6Y4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     13823 | PA      | $14352.74     | 0.00%             | 2039-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31412XFF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      9215 | PA      | $9693.86      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31412XS62<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       481 | PA      | $507.23       | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31413BPY1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      7761 | PA      | $8163.22      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31413BSE2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     11354 | PA      | $11944.62     | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31413NY66<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     21828 | PA      | $22961.92     | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31413R2P0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       306 | PA      | $321.79       | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31413Y7J4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      1557 | PA      | $1643.17      | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31414H5D5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    112065 | PA      | $118116.51    | 0.01%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31414J6R9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     10689 | PA      | $11096.28     | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31414LZV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      5856 | PA      | $6017.89      | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31414QAF4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       445 | PA      | $458.49       | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31414RJP1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     32157 | PA      | $33047.78     | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31415LRU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      3666 | PA      | $3766.02      | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31415P3Z9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      1114 | PA      | $1140.86      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31415QAU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    326682 | PA      | $338243.06    | 0.03%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31415RFA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       288 | PA      | $298.91       | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31415TJ50<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     23810 | PA      | $24996.45     | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31415TSZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      7549 | PA      | $8079.36      | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31415VQA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    276050 | PA      | $291293.14    | 0.02%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31415XH79<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     16220 | PA      | $16794.70     | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31416AWL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      8938 | PA      | $9278.54      | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31416B2P2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    243511 | PA      | $253082.96    | 0.02%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31416BLC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      5985 | PA      | $6234.01      | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31416BLD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   1146236 | PA      | $1193524.42   | 0.10%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31416BMS4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      1157 | PA      | $1220.38      | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31416BN53<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       602 | PA      | $625.53       | 0.00%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31416CLT1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    319685 | PA      | $337326.17    | 0.03%             | 2039-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31416KGP7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     10354 | PA      | $10350.57     | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31416M3R3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     30649 | PA      | $30139.31     | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31416MKE3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     14192 | PA      | $14585.45     | 0.00%             | 2039-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31416Q6H3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     76192 | PA      | $76786.04     | 0.01%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31416VB37<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     73929 | PA      | $75977.72     | 0.01%             | 2039-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31416VGC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      1126 | PA      | $1173.66      | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31416W6E7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |         5 | PA      | $4.67         | 0.00%             | 2025-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31416WDZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      2014 | PA      | $2030.22      | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31416WUB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     18688 | PA      | $18906.73     | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31417BWC7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      3340 | PA      | $3331.54      | 0.00%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31417SBP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      1396 | PA      | $1434.88      | 0.00%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31417WHP9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      5664 | PA      | $5821.05      | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31417Y4Y0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       617 | PA      | $617.40       | 0.00%             | 2026-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31417Y7D3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     23636 | PA      | $23947.21     | 0.00%             | 2031-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31417YEQ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      9573 | PA      | $9524.19      | 0.00%             | 2029-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31417YR90<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      2393 | PA      | $2405.10      | 0.00%             | 2030-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31417YSY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     12637 | PA      | $12587.47     | 0.00%             | 2030-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31417YXB8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |        14 | PA      | $13.57        | 0.00%             | 2026-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31417YY84<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      1842 | PA      | $1852.80      | 0.00%             | 2031-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31417YZW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      4667 | PA      | $4647.42      | 0.00%             | 2031-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418AGV4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     14102 | PA      | $14139.28     | 0.00%             | 2042-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418C4Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    194374 | PA      | $197098.70    | 0.02%             | 2038-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418C5T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37065 | PA      | $36932.59     | 0.00%             | 2029-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418C5W0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88629 | PA      | $88653.45     | 0.01%             | 2034-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418C7B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72693 | PA      | $72711.52     | 0.01%             | 2034-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418CXX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76351 | PA      | $76380.99     | 0.01%             | 2033-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418DMF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    665491 | PA      | $648283.00    | 0.05%             | 2035-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7144021 | PA      | $5840877.84   | 0.47%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418MG30<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      2187 | PA      | $2273.91      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418MGG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |       628 | PA      | $654.08       | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418MJV5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      7519 | PA      | $7685.68      | 0.00%             | 2029-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418MWK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     63692 | PA      | $66346.07     | 0.01%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418S4V8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      4180 | PA      | $4295.67      | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418VWV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     11491 | PA      | $11809.82     | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31419ACU9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      1757 | PA      | $1806.10      | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31419ACV7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     23697 | PA      | $25004.92     | 0.00%             | 2040-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31419ADH7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     17384 | PA      | $18343.30     | 0.00%             | 2039-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31419AGW1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      6676 | PA      | $6746.74      | 0.00%             | 2027-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31419F2B1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     10355 | PA      | $10642.86     | 0.00%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31419FVG8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      2382 | PA      | $2370.78      | 0.00%             | 2030-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31419HCV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     95206 | PA      | $97848.98     | 0.01%             | 2041-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31419LK69<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     29029 | PA      | $28780.25     | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                                       | CUSIP: 31423XPJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10841499 | PA      | $643431.56    | 0.05%             | 2036-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                                       | CUSIP: 31424UAA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13679780 | PA      | $716172.46    | 0.06%             | 2037-03-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                              | CUSIP: 3142G4Z79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13212280 | PA      | $923297.28    | 0.07%             | 2037-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                              | CUSIP: 3142G9UX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9381403 | PA      | $512938.07    | 0.04%             | 2037-03-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FERGUSON ENTERPRISES INC                          | Ferguson Enterprises Inc                                                        | CUSIP: 31488VAA5<br>LEI: 2138003JYQMRP3SLX189 | Long             | DBT              | CORP              | US        |   2059000 | PA      | $2076122.87   | 0.17%             | 2034-10-03      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FERGUSON FINANCE PLC                              | Ferguson Finance PLC                                                            | CUSIP: 314890AD6<br>LEI: 2138003A7ZEU931DZL61 | Long             | DBT              | CORP              | GB        |   4800000 | PA      | $4775698.70   | 0.38%             | 2032-04-20      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass-Th                    | First Horizon Asset Securities Inc                                              | CUSIP: 32051GJ89<br>LEI: TF3RXI1ZB1TQ30H9JV10 | Long             | ABS-MBS          | CORP              | US        |    100247 | PA      | $97339.63     | 0.01%             | 2036-02-25      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                              | FirstKey Homes 2021-SFR1 Trust                                                  | CUSIP: 33767WAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6594337 | PA      | $6448995.98   | 0.51%             | 2038-08-17      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| Flatiron CLO Ltd                                  | Flatiron CLO 26 Ltd                                                             | CUSIP: 33888AAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   3425000 | PA      | $3440015.34   | 0.27%             | 2038-01-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| FLORIDA GAS TRANSMISSION                          | Florida Gas Transmission Co LLC                                                 | CUSIP: 340711BC3<br>LEI: 549300Q0UQF87NXNOC32 | Long             | DBT              | CORP              | US        |   3434000 | PA      | $3574820.37   | 0.28%             | 2035-07-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                          | Ford Motor Credit Co LLC                                                        | CUSIP: 345397E66<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   3800000 | PA      | $3847636.61   | 0.31%             | 2034-03-08      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| FORTITUDE GROUP HOLDINGS                          | Fortitude Group Holdings LLC                                                    | CUSIP: 34966XAA6<br>LEI: 2549006R9ZUL08JFIH12 | Long             | DBT              | CORP              | US        |   2150000 | PA      | $2235043.06   | 0.18%             | 2030-04-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GGAM FINANCE LTD                                  | GGAM Finance Ltd                                                                | CUSIP: 36170JAC0<br>LEI: 254900X2QXEN0FVXRF65 | Long             | DBT              | CORP              | KY        |   2078000 | PA      | $2125916.81   | 0.17%             | 2027-02-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Ginnie Mae I Pool                                                               | CUSIP: 36176FDK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |     16505 | PA      | $16786.84     | 0.00%             | 2041-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179UKZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36624 | PA      | $37174.25     | 0.00%             | 2049-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179UMM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    931451 | PA      | $928761.12    | 0.07%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179W5D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7583465 | PA      | $7007075.63   | 0.56%             | 2052-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6140801 | PA      | $5321396.58   | 0.42%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179WXH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6255897 | PA      | $5209656.49   | 0.41%             | 2052-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179XDD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4406674 | PA      | $4211576.20   | 0.34%             | 2052-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                               | CUSIP: 3617AUEK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     98052 | PA      | $98436.84     | 0.01%             | 2047-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                               | CUSIP: 3617BDD79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    129719 | PA      | $129975.85    | 0.01%             | 2047-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                               | CUSIP: 3617BDEG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     81137 | PA      | $81354.19     | 0.01%             | 2048-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                               | CUSIP: 3617GSDY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71960 | PA      | $72383.59     | 0.01%             | 2048-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                               | CUSIP: 3617JNJQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    983601 | PA      | $1001352.04   | 0.08%             | 2049-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                               | CUSIP: 3617JWBC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1371716 | PA      | $1406429.24   | 0.11%             | 2049-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                               | CUSIP: 3617L7K73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42414 | PA      | $40511.53     | 0.00%             | 2049-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                               | CUSIP: 3617L7U98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    384639 | PA      | $367385.68    | 0.03%             | 2049-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                               | CUSIP: 3617LC4N5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    435438 | PA      | $391709.25    | 0.03%             | 2049-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                               | CUSIP: 3617LKDJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2302 | PA      | $2194.49      | 0.00%             | 2049-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                               | CUSIP: 3617LR6Y6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43174 | PA      | $41165.63     | 0.00%             | 2049-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                               | CUSIP: 3617M4WK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    216248 | PA      | $207380.34    | 0.02%             | 2049-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                               | CUSIP: 3617M4XM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     81704 | PA      | $77902.49     | 0.01%             | 2049-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                               | CUSIP: 3617MB4Z9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1759206 | PA      | $1704299.00   | 0.14%             | 2050-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                               | CUSIP: 3617MB5Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22223 | PA      | $21225.78     | 0.00%             | 2050-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                               | CUSIP: 3617N5T68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42994 | PA      | $43646.26     | 0.00%             | 2050-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                               | CUSIP: 3617NR7A5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79071 | PA      | $79158.08     | 0.01%             | 2050-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                           | GLP Capital LP / GLP Financing II Inc                                           | CUSIP: 361841AP4<br>LEI: N/A                  | Long             | DBT              |  | US        |   4500000 | PA      | $4371992.10   | 0.35%             | 2030-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Ginnie Mae I Pool                                                               | CUSIP: 36201XN87<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |       274 | PA      | $275.00       | 0.00%             | 2033-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Ginnie Mae II Pool                                                              | CUSIP: 36202KWG6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |        36 | PA      | $35.75        | 0.00%             | 2025-11-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Ginnie Mae I Pool                                                               | CUSIP: 3620C06E3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |    209450 | PA      | $213101.40    | 0.02%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Ginnie Mae I Pool                                                               | CUSIP: 36211SCZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |       348 | PA      | $354.23       | 0.00%             | 2035-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Ginnie Mae II Pool                                                              | CUSIP: 36225CAY2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |       239 | PA      | $239.05       | 0.00%             | 2026-12-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Ginnie Mae II Pool                                                              | CUSIP: 36225CC95<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |      3808 | PA      | $3827.40      | 0.00%             | 2027-07-20      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Ginnie Mae II Pool                                                              | CUSIP: 36225CL20<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |     13095 | PA      | $13149.88     | 0.00%             | 2029-11-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Ginnie Mae II Pool                                                              | CUSIP: 36225CUC8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |     59956 | PA      | $60853.72     | 0.00%             | 2032-02-20      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Ginnie Mae I Pool                                                               | CUSIP: 3622A2D58<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |    166311 | PA      | $170503.50    | 0.01%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Ginnie Mae I Pool                                                               | CUSIP: 3622A2FL1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |    147341 | PA      | $151501.21    | 0.01%             | 2041-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                               | CUSIP: 3622AADC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5414514 | PA      | $5407758.59   | 0.43%             | 2048-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                               | CUSIP: 3622ABJW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4467923 | PA      | $4571234.95   | 0.36%             | 2049-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Ginnie Mae I Pool                                                               | CUSIP: 36241KGU6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |      1168 | PA      | $1175.72      | 0.00%             | 2035-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Ginnie Mae I Pool                                                               | CUSIP: 36241KV62<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |     35140 | PA      | $36093.55     | 0.00%             | 2038-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Ginnie Mae I Pool                                                               | CUSIP: 36241KW53<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |       375 | PA      | $385.85       | 0.00%             | 2038-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Ginnie Mae I Pool                                                               | CUSIP: 36241KXW3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |     29398 | PA      | $30187.99     | 0.00%             | 2038-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Ginnie Mae I Pool                                                               | CUSIP: 36241KZG6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |     15289 | PA      | $15720.95     | 0.00%             | 2039-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Ginnie Mae I Pool                                                               | CUSIP: 36241LJY3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |     30268 | PA      | $31571.67     | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                           | GSR Mortgage Loan Trust 2005-AR3                                                | CUSIP: 36242D4T7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | ABS-MBS          | CORP              | US        |    159377 | PA      | $120365.51    | 0.01%             | 2035-05-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust               | GS Mortgage-Backed Securities Trust 2024-PJ5                                    | CUSIP: 36269XAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2466918 | PA      | $2493352.54   | 0.20%             | 2054-09-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Ginnie Mae I Pool                                                               | CUSIP: 36292DXW7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |      2546 | PA      | $2617.72      | 0.00%             | 2038-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Ginnie Mae I Pool                                                               | CUSIP: 36295KKX0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |     11709 | PA      | $11987.90     | 0.00%             | 2038-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Ginnie Mae I Pool                                                               | CUSIP: 36295NJS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |      1689 | PA      | $1727.13      | 0.00%             | 2038-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Ginnie Mae I Pool                                                               | CUSIP: 36295NJT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |     11580 | PA      | $11802.13     | 0.00%             | 2038-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Ginnie Mae I Pool                                                               | CUSIP: 36295TU69<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |      6908 | PA      | $7103.51      | 0.00%             | 2038-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Ginnie Mae I Pool                                                               | CUSIP: 36296ANK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |     15886 | PA      | $16332.39     | 0.00%             | 2038-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Ginnie Mae I Pool                                                               | CUSIP: 36296AXM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |     41244 | PA      | $42136.16     | 0.00%             | 2038-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Ginnie Mae I Pool                                                               | CUSIP: 36296DKZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |      1968 | PA      | $2014.89      | 0.00%             | 2038-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Ginnie Mae I Pool                                                               | CUSIP: 36296DP28<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |    278499 | PA      | $280147.43    | 0.02%             | 2038-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Ginnie Mae I Pool                                                               | CUSIP: 36296JJ71<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |     52456 | PA      | $53707.05     | 0.00%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Ginnie Mae I Pool                                                               | CUSIP: 36296PMT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |     26535 | PA      | $27266.26     | 0.00%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Ginnie Mae I Pool                                                               | CUSIP: 36296QMF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |      3322 | PA      | $3386.61      | 0.00%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Ginnie Mae I Pool                                                               | CUSIP: 36296QRY7<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |      1822 | PA      | $1872.48      | 0.00%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Ginnie Mae I Pool                                                               | CUSIP: 36297FY22<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |      7740 | PA      | $7957.12      | 0.00%             | 2039-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Ginnie Mae I Pool                                                               | CUSIP: 36297HN87<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGA              | US        |      1847 | PA      | $1889.65      | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                         | GSMPS Mortgage Loan Trust 2006-RP2                                              | CUSIP: 36298XAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2327386 | PA      | $2014561.90   | 0.16%             | 2036-04-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                            | General Motors Financial Co Inc                                                 | CUSIP: 37045XEH5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   2352000 | PA      | $2436742.89   | 0.19%             | 2028-06-23      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| GEN LUX SARL/GEN USA INC                          | Genpact Luxembourg SARL/Genpact USA Inc                                         | CUSIP: 37190AAB5<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |   2383000 | PA      | $2484935.73   | 0.20%             | 2029-06-04      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GLOBAL ATLANTIC FIN CO                            | Global Atlantic Fin Co                                                          | CUSIP: 37959GAD9<br>LEI: 98450051B2E65CAA7E94 | Long             | DBT              | CORP              | US        |   6198000 | PA      | $7119528.56   | 0.57%             | 2033-06-15      | Fixed         | 7.95%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US CLO, LTD            | GoldenTree Loan Management US CLO 20 Ltd                                        | CUSIP: 38139MAC9<br>LEI: 984500CF2B1A04F63R63 | Long             | ABS-CBDO         | CORP              | JE        |   2882000 | PA      | $2895131.52   | 0.23%             | 2037-07-20      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| GOLUB CAPITAL CAP FND                             | Golub Capital Private Credit Fund                                               | CUSIP: 38179RAB1<br>LEI: 254900B5KBW6OY1F9951 | Long             | DBT              | CORP              | US        |   3098000 | PA      | $3146522.73   | 0.25%             | 2029-09-12      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LTD                   | Golub Capital Partners CLO 62B Ltd                                              | CUSIP: 38180HAA2<br>LEI: 2549009X711NFO0AZT83 | Long             | ABS-CBDO         | CORP              | JE        |   4909000 | PA      | $4913598.01   | 0.39%             | 2037-10-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LTD                   | Golub Capital Partners CLO 64B-R Ltd                                            | CUSIP: 38180LAA3<br>LEI: 2549003ONNJ1D27UVJ28 | Long             | ABS-CBDO         | CORP              | JE        |   2992000 | PA      | $3000552.99   | 0.24%             | 2037-10-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38375KWW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2459977 | PA      | $222465.79    | 0.02%             | 2037-07-20      | Floating      | 2.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38376YT92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2348551 | PA      | $64741.58     | 0.01%             | 2037-07-20      | Floating      | 2.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38378YH93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3270429 | PA      | $577040.42    | 0.05%             | 2044-01-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38379THY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    446387 | PA      | $60962.57     | 0.00%             | 2045-12-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38380BQT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    203108 | PA      | $22986.23     | 0.00%             | 2038-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38380KPT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    476067 | PA      | $75271.35     | 0.01%             | 2039-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38381AHQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11232281 | PA      | $1219961.60   | 0.10%             | 2046-02-16      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38382BP56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3678887 | PA      | $464133.13    | 0.04%             | 2041-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38382KVR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3184583 | PA      | $525594.67    | 0.04%             | 2046-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38384PH45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1245291 | PA      | $193559.88    | 0.02%             | 2054-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GROUP 1 AUTOMOTIVE INC                            | Group 1 Automotive Inc                                                          | CUSIP: 398905AN9<br>LEI: 549300US8QAZJLWYAF63 | Long             | DBT              | CORP              | US        |   2900000 | PA      | $2815650.31   | 0.22%             | 2028-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GULFSTREAM NATURAL GAS                            | Gulfstream Natural Gas System LLC                                               | CUSIP: 402740AG9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3720000 | PA      | $3815782.34   | 0.30%             | 2035-07-23      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| HERCULES CAPITAL INC                              | Hercules Capital Inc                                                            | CUSIP: 427096AN2<br>LEI: 549300UJ5OC256GR2B73 | Long             | DBT              | CORP              | US        |   3652000 | PA      | $3698056.39   | 0.29%             | 2030-06-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HEXCEL CORP                                       | Hexcel Corp                                                                     | CUSIP: 428291AP3<br>LEI: S6Q7LW43WUBUHXY2QP69 | Long             | DBT              | CORP              | US        |   4559000 | PA      | $4780732.75   | 0.38%             | 2035-02-26      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                    | Home Partners of America 2022-1 Trust                                           | CUSIP: 43730NAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    859975 | PA      | $854672.56    | 0.07%             | 2039-04-17      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| IXIS Real Estate Capital Trust                    | IXIS Real Estate Capital Trust 2005-HE1                                         | CUSIP: 45071KAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39729 | PA      | $54675.28     | 0.00%             | 2035-06-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| IndyMac ARM Trust                                 | IndyMac ARM Trust 2001-H2                                                       | CUSIP: 45660UAT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       168 | PA      | $162.94       | 0.00%             | 2032-01-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                      | ING Groep NV                                                                    | CUSIP: 456837BH5<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |   1995000 | PA      | $2157453.67   | 0.17%             | 2034-09-11      | Fixed         | 6.11%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust     | J.P. Morgan Chase Commercial Mortgage Securities Trust 2024-OMNI                | CUSIP: 46593JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3551000 | PA      | $3615310.03   | 0.29%             | 2039-10-05      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust                                                        | CUSIP: 46593VAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3799742 | PA      | $3816534.02   | 0.30%             | 2055-11-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2006-S1                                                | CUSIP: 466247N90<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5021 | PA      | $4990.18      | 0.00%             | 2036-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2006-A6                                                | CUSIP: 46628BAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    784006 | PA      | $562061.54    | 0.04%             | 2036-10-25      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition                    | JP Morgan Mortgage Acquisition Trust 2007-HE1                                   | CUSIP: 46630KAC0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | ABS-O            | CORP              | US        |    570116 | PA      | $375508.62    | 0.03%             | 2035-05-25      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                             | CUSIP: 46647PCP9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $3906182.04   | 0.31%             | 2027-09-22      | Fixed         | 1.47%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2022-3                                                 | CUSIP: 46654UAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5594770 | PA      | $5262281.42   | 0.42%             | 2052-08-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | J.P. Morgan Mortgage Trust 2023-4                                               | CUSIP: 46656QAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2957376 | PA      | $2971254.84   | 0.24%             | 2053-11-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust Series 2024-3                                          | CUSIP: 46657QAP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2187575 | PA      | $2050418.52   | 0.16%             | 2054-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust Series 2025-8                                          | CUSIP: 46660AAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6217976 | PA      | $6247615.70   | 0.50%             | 2056-02-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Jersey Mikes Funding LLC                          | Jersey Mike's Funding                                                           | CUSIP: 476681AE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3555000 | PA      | $3629227.33   | 0.29%             | 2055-08-16      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| KBR INC                                           | KBR Inc                                                                         | CUSIP: 48242WAC0<br>LEI: 254900OFQDXZRKRCV808 | Long             | DBT              | CORP              | US        |   3712000 | PA      | $3652181.12   | 0.29%             | 2028-09-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| KLA CORP                                          | KLA Corp                                                                        | CUSIP: 482480AF7<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |   1230000 | PA      | $1320107.11   | 0.11%             | 2034-11-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| KKR GROUP FINANCE CO VII                          | KKR Group Finance Co VII LLC                                                    | CUSIP: 48252DAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5850000 | PA      | $4290130.67   | 0.34%             | 2050-02-25      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                 | Kinder Morgan Inc                                                               | CUSIP: 49456BBC4<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |   1061000 | PA      | $1119196.31   | 0.09%             | 2035-06-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| KKR Industrial Portfolio Trust                    | KIND Commercial Mortgage Trust 2024-1                                           | CUSIP: 494925AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4718000 | PA      | $4731330.71   | 0.38%             | 2041-08-15      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| LV Trust                                          | Fashion Show Mall LLC                                                           | CUSIP: 50245XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3144000 | PA      | $3191696.68   | 0.25%             | 2041-10-10      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| LADDER CAP FIN LLLP/CORP                          | Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp              | CUSIP: 505742AS5<br>LEI: N/A                  | Long             | DBT              |  | US        |   3398000 | PA      | $3463642.56   | 0.28%             | 2030-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LITHIA MOTORS INC                                 | Lithia Motors Inc                                                               | CUSIP: 536797AG8<br>LEI: SE8N1EZEHPZQBCBVKD53 | Long             | DBT              | CORP              | US        |   2956000 | PA      | $2825333.74   | 0.23%             | 2029-06-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                          | Lloyds Banking Group PLC                                                        | CUSIP: 539439BE8<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   2981000 | PA      | $3125098.95   | 0.25%             | 2036-06-13      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| MACQUARIE AIRFINANCE HLD                          | Macquarie Airfinance Holdings Ltd                                               | CUSIP: 55609NAC2<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |    982000 | PA      | $1033237.66   | 0.08%             | 2029-03-26      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| MACQUARIE AIRFINANCE HLD                          | Macquarie Airfinance Holdings Ltd                                               | CUSIP: 55609NAE8<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |   3664000 | PA      | $3709127.73   | 0.30%             | 2030-03-17      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| MACY'S RETAIL HLDGS LLC                           | Macy's Retail Holdings LLC                                                      | CUSIP: 55617LAS1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1320000 | PA      | $1392615.84   | 0.11%             | 2033-08-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| MAIN STREET CAPITAL CORP                          | Main Street Capital Corp                                                        | CUSIP: 56035LAH7<br>LEI: 5493001FS9QJLJNF3E20 | Long             | DBT              | CORP              | US        |   1883000 | PA      | $1964025.32   | 0.16%             | 2029-03-01      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| PEDIATRIX MEDICAL GROUP                           | Pediatrix Medical Group Inc                                                     | CUSIP: 58502BAE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4817000 | PA      | $4790962.19   | 0.38%             | 2030-02-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Alternative Note                    | Merrill Lynch Alternative Note Asset Trust Series 2007-F1                       | CUSIP: 59023YAG9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | ABS-MBS          | CORP              | US        |    413223 | PA      | $133044.85    | 0.01%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Metlife Securitization Trust                      | METLIFE SECURITIZATION TRUST 2018-1                                             | CUSIP: 59166DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1531080 | PA      | $1497229.65   | 0.12%             | 2057-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                        | Morgan Stanley ABS Capital I Inc Trust 2007-HE6                                 | CUSIP: 61755CAC6<br>LEI: 5493005XH7EPFP4PGZ13 | Long             | ABS-MBS          | CORP              | US        |   2416663 | PA      | $2208714.31   | 0.18%             | 2037-05-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                    | NRG Energy Inc                                                                  | CUSIP: 629377DD1<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |   4075000 | PA      | $4147770.37   | 0.33%             | 2036-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                            | NXP BV / NXP Funding LLC / NXP USA Inc                                          | CUSIP: 62954HBA5<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |   6500000 | PA      | $5860605.92   | 0.47%             | 2031-05-11      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NATIONAL RURAL UTIL COOP                          | National Rural Utilities Cooperative Finance Corp                               | CUSIP: 637432MT9<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |    763000 | PA      | $763574.84    | 0.06%             | 2043-04-30      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| NAVIENT CORP                                      | Navient Corp                                                                    | CUSIP: 63938CAL2<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |   5720000 | PA      | $5598279.72   | 0.45%             | 2028-03-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| NEW ENGLAND POWER CO                              | New England Power Co                                                            | CUSIP: 644188BH6<br>LEI: 549300DTVRGN9GYD5U85 | Long             | DBT              | CORP              | US        |   2877000 | PA      | $3002734.25   | 0.24%             | 2052-11-25      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                            | NextEra Energy Capital Holdings Inc                                             | CUSIP: 65339KDE7<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   2234000 | PA      | $2331929.62   | 0.19%             | 2055-08-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| NextGear Floorplan Master Owner Trust             | NextGear Floorplan Master Owner Trust                                           | CUSIP: 65341KCC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4583000 | PA      | $4613272.55   | 0.37%             | 2029-09-15      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| NORFOLK SOUTHERN CORP                             | Norfolk Southern Corp                                                           | CUSIP: 655844BV9<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |   3800000 | PA      | $3047783.46   | 0.24%             | 2052-08-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2018-1 Trust                                                                | CUSIP: 67112FAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1245079 | PA      | $1221773.47   | 0.10%             | 2057-06-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust                     | NYC Commercial Mortgage Trust 2025-28L                                          | CUSIP: 67123JAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2447000 | PA      | $2446803.51   | 0.19%             | 2038-11-05      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| OAKTREE SPECIALTY LEND                            | Oaktree Specialty Lending Corp                                                  | CUSIP: 67401PAC2<br>LEI: 549300J6MGCEU5928620 | Long             | DBT              | CORP              | US        |   1709000 | PA      | $1658099.13   | 0.13%             | 2027-01-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                          | Occidental Petroleum Corp                                                       | CUSIP: 674599DG7<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   7629000 | PA      | $4551901.36   | 0.36%             | 2036-10-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                                     | CUSIP: 68389XBW4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   3500000 | PA      | $2742400.96   | 0.22%             | 2040-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| BLUE OWL CAPITAL CORP                             | Blue Owl Capital Corp                                                           | CUSIP: 69121KAG9<br>LEI: 2549000BD79OOCPF2L94 | Long             | DBT              | CORP              | US        |   5700000 | PA      | $5383996.62   | 0.43%             | 2028-06-11      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                            | PNC Financial Services Group Inc/The                                            | CUSIP: 693475BU8<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   2846000 | PA      | $3223818.91   | 0.26%             | 2034-10-20      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                             | Palmer Square CLO 2022-4 Ltd                                                    | CUSIP: 69700XAN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2300000 | PA      | $2306531.01   | 0.18%             | 2037-10-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                             | Palmer Square CLO 2020-3 Ltd                                                    | CUSIP: 69701RAY3<br>LEI: 549300IUW4WDDDVSMS20 | Long             | ABS-CBDO         | CORP              | JE        |   2790000 | PA      | $2800228.78   | 0.22%             | 2036-11-15      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| Planet Fitness Master Issuer LLC                  | Planet Fitness Master Issuer LLC                                                | CUSIP: 72703PAC7<br>LEI: 549300NX9W3U2DO53T22 | Long             | ABS-O            | CORP              | US        |    789815 | PA      | $757107.34    | 0.06%             | 2049-12-05      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| Planet Fitness Master Issuer LLC                  | Planet Fitness Master Issuer LLC                                                | CUSIP: 72703PAD5<br>LEI: 549300NX9W3U2DO53T22 | Long             | ABS-O            | CORP              | US        |   4223805 | PA      | $4152691.33   | 0.33%             | 2051-12-05      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Planet Fitness Master Issuer LLC                  | Planet Fitness Master Issuer LLC                                                | CUSIP: 72703PAF0<br>LEI: 549300NX9W3U2DO53T22 | Long             | ABS-O            | CORP              | US        |   1958220 | PA      | $1987137.62   | 0.16%             | 2054-06-05      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                | Realty Income Corp                                                              | CUSIP: 756109CC6<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              |  | US        |   4700000 | PA      | $4556557.97   | 0.36%             | 2030-01-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| RENTOKIL TERMINIX LLC                             | Rentokil Terminix Funding LLC                                                   | CUSIP: 760130AB0<br>LEI: 984500D5BAA7560EKJ44 | Long             | DBT              | CORP              | US        |   3902000 | PA      | $4022069.65   | 0.32%             | 2035-04-28      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| SBL HOLDINGS INC                                  | SBL Holdings Inc                                                                | CUSIP: 78397DAB4<br>LEI: 635400MJW3QDSBJRKQ59 | Long             | DBT              | CORP              | US        |   6128000 | PA      | $5692482.37   | 0.45%             | 2031-02-18      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TRUST                                   | SBA Tower Trust                                                                 | CUSIP: 78403DAZ3<br>LEI: N/A                  | Long             | DBT              |  | US        |   3034000 | PA      | $3107591.49   | 0.25%             | 2028-01-15      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| SWCH Commercial Mortgage Trust                    | SWCH Commercial Mortgage Trust 2025-DATA                                        | CUSIP: 78489CAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4870000 | PA      | $4847029.67   | 0.39%             | 2042-02-15      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Sabey Data Center Issuer LLC                      | Sabey Data Center Issuer LLC                                                    | CUSIP: 78520EAH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3205000 | PA      | $3272061.42   | 0.26%             | 2050-02-21      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                      | Saxon Asset Securities Trust 2006-3                                             | CUSIP: 80556AAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    525516 | PA      | $518357.01    | 0.04%             | 2046-10-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                               | Charles Schwab Corp/The                                                         | CUSIP: 808513CD5<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |   3249000 | PA      | $3371560.60   | 0.27%             | 2029-05-19      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                            | Sequoia Mortgage Trust 2023-2                                                   | CUSIP: 81744KAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3218568 | PA      | $3203985.82   | 0.26%             | 2053-03-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                            | Sequoia Mortgage Trust 2023-1                                                   | CUSIP: 81749BAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3638261 | PA      | $3621469.77   | 0.29%             | 2053-01-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                            | Sequoia Mortgage Trust 2025-7                                                   | CUSIP: 81749VAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5504275 | PA      | $5532916.25   | 0.44%             | 2055-08-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Servpro Master Issuer, LLC                        | SERVPRO Master Issuer LLC                                                       | CUSIP: 817743AE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4605010 | PA      | $4351968.85   | 0.35%             | 2051-04-25      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| SIXTH STREET LENDING PAR                          | Sixth Street Lending Partners                                                   | CUSIP: 829932AB8<br>LEI: 549300S9P1HMDERGCR64 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3112728.84   | 0.25%             | 2029-03-11      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SIXTH STREET LENDING PAR                          | Sixth Street Lending Partners                                                   | CUSIP: 829932AD4<br>LEI: 549300S9P1HMDERGCR64 | Long             | DBT              | CORP              | US        |   2001000 | PA      | $2028171.66   | 0.16%             | 2030-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION                     | United States Small Business Administration                                     | CUSIP: 83162CRY1<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-O            | USGA              | US        |    402089 | PA      | $411292.85    | 0.03%             | 2028-08-01      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION                     | United States Small Business Administration                                     | CUSIP: 83162CSG9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-O            | USGA              | US        |    328226 | PA      | $332000.55    | 0.03%             | 2029-01-01      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs | United States Small Business Administration                                     | CUSIP: 83162CU84<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |   1743233 | PA      | $1840371.30   | 0.15%             | 2048-10-01      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs | United States Small Business Administration                                     | CUSIP: 83162CV34<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |   2656539 | PA      | $2788980.00   | 0.22%             | 2048-11-01      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs | United States Small Business Administration                                     | CUSIP: 83162CW25<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |   4545987 | PA      | $4640619.62   | 0.37%             | 2049-02-01      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| Small Business Administration                     | SBA Small Business Investment Cos                                               | CUSIP: 831641FZ3<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |   3825000 | PA      | $3883633.43   | 0.31%             | 2035-03-10      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| SONOCO PRODUCTS CO                                | Sonoco Products Co                                                              | CUSIP: 835495AR3<br>LEI: GKOMIK4RDJGHEF0VNP11 | Long             | DBT              | CORP              | US        |   6255000 | PA      | $6298183.21   | 0.50%             | 2029-09-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Stack Infrastructure Issuer LLC                   | Stack Infrastructure Issuer LLC                                                 | CUSIP: 85236KAE2<br>LEI: 254900AV7V87H3A2WM57 | Long             | ABS-O            | CORP              | US        |   7000000 | PA      | $6916849.10   | 0.55%             | 2046-03-26      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| STANDARD INDUSTRI INC/NY                          | Standard Industries Inc/NY                                                      | CUSIP: 853496AG2<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |   3784000 | PA      | $3652398.31   | 0.29%             | 2030-07-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Suntrust Adjustable Rate Mortg                    | STARM Mortgage Loan Trust 2007-S1                                               | CUSIP: 855541AA6<br>LEI: 7E1PDLW1JL6TS0BS1G03 | Long             | ABS-MBS          | CORP              | US        |    154271 | PA      | $90308.30     | 0.01%             | 2037-01-25      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| STORE Master Funding LLC                          | Store Master Funding I-VII XIV XIX XX XXIV XXII                                 | CUSIP: 86212XAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2557672 | PA      | $2589966.44   | 0.21%             | 2054-05-20      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| SUBWAY FUNDING LLC                                | Subway Funding LLC                                                              | CUSIP: 864300AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2882880 | PA      | $2920400.11   | 0.23%             | 2054-07-30      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| SUBWAY FUNDING LLC                                | Subway Funding LLC                                                              | CUSIP: 864300AJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3595680 | PA      | $3606361.33   | 0.29%             | 2054-07-30      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| TD SYNNEX CORP                                    | TD SYNNEX Corp                                                                  | CUSIP: 87162WAK6<br>LEI: 5493004HI6PFLF46NS53 | Long             | DBT              | CORP              | US        |    570000 | PA      | $509212.22    | 0.04%             | 2031-08-09      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Taco Bell Funding, LLC                            | Taco Bell Funding LLC                                                           | CUSIP: 87342RAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6877500 | PA      | $6647980.63   | 0.53%             | 2051-08-25      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| TEREX CORP                                        | Terex Corp                                                                      | CUSIP: 880779BB8<br>LEI: YAWJZJYEQ7M1SYMOS462 | Long             | DBT              | CORP              | US        |   2358000 | PA      | $2394110.41   | 0.19%             | 2032-10-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICALS NE                           | Teva Pharmaceutical Finance Netherlands III BV                                  | CUSIP: 88167AAK7<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |   3000000 | PA      | $3117756.00   | 0.25%             | 2028-03-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| TEXTRON INC                                       | Textron Inc                                                                     | CUSIP: 883203CC3<br>LEI: 3PPKBHUG1HD6BO7RNR87 | Long             | DBT              | CORP              | US        |   3800000 | PA      | $3434262.58   | 0.27%             | 2031-03-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                         | Towd Point Mortgage Trust 2018-6                                                | CUSIP: 89176LAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3100000 | PA      | $3019020.87   | 0.24%             | 2058-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                         | Towd Point Mortgage Trust 2019-1                                                | CUSIP: 89177BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3106179 | PA      | $3030950.60   | 0.24%             | 2058-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Tricon American Homes                             | Tricon American Homes 2020-SFR1                                                 | CUSIP: 89613GAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2305560 | PA      | $2258163.53   | 0.18%             | 2038-07-17      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                                | Tricon Residential 2023-SFR1 Trust                                              | CUSIP: 89616WAA6<br>LEI: 549300Z2X1L1L3MID765 | Long             | ABS-O            | CORP              | US        |   5155574 | PA      | $5171750.26   | 0.41%             | 2040-07-17      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                                | Tricon Residential 2025-SFR2 Trust                                              | CUSIP: 89617FAA2<br>LEI: 549300Z2X1L1L3MID765 | Long             | ABS-O            | CORP              | US        |   3537000 | PA      | $3600908.64   | 0.29%             | 2044-08-17      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| TRITON CONTAINER                                  | Triton Container International Ltd                                              | CUSIP: 89680YAC9<br>LEI: 549300O4LZFLCX53XZ54 | Long             | DBT              | CORP              | BM        |   1350000 | PA      | $1222681.16   | 0.10%             | 2031-06-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                             | Truist Financial Corp                                                           | CUSIP: 89788MAK8<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   3001000 | PA      | $3227392.35   | 0.26%             | 2033-10-28      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                             | Truist Financial Corp                                                           | CUSIP: 89788MAQ5<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   2592000 | PA      | $2802161.93   | 0.22%             | 2029-10-30      | Fixed         | 7.16%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2019-2 AA PTT                          | United Airlines 2019-2 Class AA Pass Through Trust                              | CUSIP: 90932JAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    983957 | PA      | $906987.50    | 0.07%             | 2032-05-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20777000 | PA      | $12323358.13  | 0.98%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  50625000 | PA      | $34688012.57  | 2.76%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9447000 | PA      | $5930391.19   | 0.47%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4198000 | PA      | $3139890.83   | 0.25%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7428000 | PA      | $5492367.64   | 0.44%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13873000 | PA      | $11925360.93  | 0.95%             | 2042-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810TR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16561000 | PA      | $13817114.07  | 1.10%             | 2053-05-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810TS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13772000 | PA      | $12585778.94  | 1.00%             | 2043-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810TT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8726000 | PA      | $7965201.88   | 0.63%             | 2053-08-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810TX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7926000 | PA      | $7389446.97   | 0.59%             | 2054-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810TZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12678000 | PA      | $12501696.56  | 1.00%             | 2044-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810UB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  21907000 | PA      | $21928393.50  | 1.75%             | 2044-05-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16514000 | PA      | $15403175.55  | 1.23%             | 2054-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13339000 | PA      | $13327015.71  | 1.06%             | 2044-11-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6911000 | PA      | $6862407.03   | 0.55%             | 2055-02-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810UM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5564000 | PA      | $5640505.00   | 0.45%             | 2055-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6536000 | PA      | $6733101.25   | 0.54%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                             | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10713000 | PA      | $10858629.84  | 0.86%             | 2035-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                             | CUSIP: 91282CNG2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  37402000 | PA      | $37894362.17  | 3.02%             | 2030-05-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                             | CUSIP: 91282CNX5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6276000 | PA      | $6254916.53   | 0.50%             | 2030-08-31      | Fixed         | 3.63%                 | 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        |   1194000 | PA      | $1224035.19   | 0.10%             | 2055-04-20      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Uniti Fiber ABS Issuer LLC                        | Uniti Fiber Abs Issuer LLC                                                      | CUSIP: 91326EAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1357000 | PA      | $1360950.74   | 0.11%             | 2056-01-20      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| VB-S1 Issuer LLC                                  | VB-S1 Issuer LLC - VBTEL                                                        | CUSIP: 91823AAU5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6810000 | PA      | $6627348.31   | 0.53%             | 2052-02-15      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                            | Venture Global LNG Inc                                                          | CUSIP: 92332YAE1<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |   3035000 | PA      | $3073256.18   | 0.24%             | 2030-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                            | Verizon Communications Inc                                                      | CUSIP: 92343VGC2<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   2915000 | PA      | $2032654.57   | 0.16%             | 2061-03-22      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| VERISK ANALYTICS INC                              | Verisk Analytics Inc                                                            | CUSIP: 92345YAL0<br>LEI: 549300I1YSWNIRKBWP67 | Long             | DBT              | CORP              | US        |   3566000 | PA      | $3637351.10   | 0.29%             | 2035-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                | VICI Properties LP                                                              | CUSIP: 925650AF0<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              |  | US        |   1947000 | PA      | $2014330.65   | 0.16%             | 2034-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| VOYA FINANCIAL INC                                | Voya Financial Inc                                                              | CUSIP: 929089AH3<br>LEI: 549300T065Z4KJ686G75 | Long             | DBT              | CORP              | US        |   2254000 | PA      | $2254033.86   | 0.18%             | 2034-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                    | WaMu Mortgage Pass-Through Certificates Series 2005-AR13 Trust                  | CUSIP: 92922F4M7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     47789 | PA      | $46471.25     | 0.00%             | 2045-10-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| WHARF Commercial Mortgage Trust                   | WHARF Commercial Mortgage Trust 2025-DC                                         | CUSIP: 92987LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3591000 | PA      | $3692739.49   | 0.29%             | 2040-07-15      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates           | WaMu Mortgage Pass-Through Certificates Series 2006-AR8 Trust                   | CUSIP: 93362FAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1146876 | PA      | $1084835.82   | 0.09%             | 2046-08-25      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| WAYFAIR LLC                                       | Wayfair LLC                                                                     | CUSIP: 94419NAA5<br>LEI: 549300CTUWTZGOXMYI40 | Long             | DBT              | CORP              | US        |   1778000 | PA      | $1843021.46   | 0.15%             | 2029-10-31      | Fixed         | 7.25%                 | No            |                  2 | 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        |   7117000 | PA      | $7110409.66   | 0.57%             | 2052-01-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| WENDYS FUNDING LLC                                | Wendy's Funding LLC                                                             | CUSIP: 95058XAK4<br>LEI: 5493009DRVSTWJOXUL48 | Long             | ABS-O            | CORP              | US        |   6697393 | PA      | $6248618.25   | 0.50%             | 2051-06-15      | Fixed         | 2.37%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-11-24

**Name of Applicant:** HARBOR FUNDS

**Signature:** Ryan Elve

**Name of Signer:** Ryan Elve

**Title:** Vice President, Harbor Funds