# EDGAR Filing Document

**Accession Number:** 0000080249
**File Stem:** 0001099263-26-000735
**Filing Date:** 2026-1
**Character Count:** 731469
**Document Hash:** 3755ca16e9251b316e654855fc8f2f96
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-26-000735.hdr.sgml**: 20260127

**ACCESSION NUMBER**: 0001099263-26-000735

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251130

**FILED AS OF DATE**: 20260127

**DATE AS OF CHANGE**: 20260127

**PERIOD START**: 20260531

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** T. Rowe Price New Income Fund, Inc.
- **CENTRAL INDEX KEY:** 0000080249

**ORGANIZATION NAME:**
- **EIN:** 520980581
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 0531

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-02396
- **FILM NUMBER:** 26564858

**BUSINESS ADDRESS:**
- **STREET 1:** 1307 POINT STREET
- **CITY:** BALTIMORE
- **STATE:** MD
- **ZIP:** 21231
- **BUSINESS PHONE:** 410-345-2000

**MAIL ADDRESS:**
- **STREET 1:** 1307 POINT STREET
- **CITY:** BALTIMORE
- **STATE:** MD
- **ZIP:** 21231

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PRICE T ROWE NEW INCOME FUND INC
- **DATE OF NAME CHANGE:** 19940727

## Series and Classes Contracts Data

### T. Rowe Price New Income Fund, Inc. (Series ID: S000002136)

| Class ID   | Class Name                                  | Ticker Symbol   |
|:---|:---|:---|
| C000005529 | T. Rowe Price New Income Fund, Inc.         | PRCIX           |
| C000005530 | T. Rowe Price New Income Fund-Advisor Class | PANIX           |
| C000005531 | T. Rowe Price New Income Fund-R Class       | RRNIX           |
| C000159679 | T. Rowe Price New Income Fund-I Class       | PRXEX           |
| C000219349 | T. Rowe Price New Income Fund-Z Class       | TRVZX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** T. ROWE PRICE NEW INCOME FUND, INC.

- **b. Investment Company Act file number:** 811-02396

- **c. CIK number of Registrant:** 0000080249

- **d. LEI of Registrant:** 549300KL6GYU8HTJ4G78

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

  - **Street Address 1:** 1307 Point Street

  - **City:** Baltimore

  - **State:** MD

  - **Foreign country:** US

  - **Zip / Postal Code:** 21231

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

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

- **a. Name of Series:** T. Rowe Price New Income Fund, Inc.

- **b. EDGAR series identifier (if any):** S000002136

- **c. LEI of Series:** 5F373D85WF2X2XQOCV26

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

- **a. Date of fiscal year-end:** 2026-05-31

- **b. Date as of which information is reported:** 2025-11-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $17631014489.91

**Total Liabilities:** $947572797.24

**Net Assets:** $16683441692.67

**Delayed Delivery Securities:** $2305980.60

**Stand-by Commitments:** $765489013.95

**Cash Not Reported:** $1087580.36

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -6713.507952 | **1-Year:** -422720.659622 | **5-Year:** -2787127.138992 | **10-Year:** -2169708.509949 | **30-Year:** -777252.896629

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

- **3-Month:** -1097.729682 | **1-Year:** -37162.284017 | **5-Year:** -236025.701638 | **10-Year:** -61774.093950 | **30-Year:** -10826.372425

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000005529 | 0.98%                | 0.52%                | 0.58%                |
| Class ID C000005530 | 0.94%                | 0.48%                | 0.55%                |
| Class ID C000005531 | 1.06%                | 0.47%                | 0.53%                |
| Class ID C000159679 | 1.11%                | 0.53%                | 0.59%                |
| Class ID C000219349 | 1.14%                | 0.56%                | 0.62%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $5565578.71              | $117886379.79                              |
| Month 2  | $9425256.11              | $26454538.54                               |
| Month 3  | $3319221.21              | $37297429.23                               |

**Designated Index Information**

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

- **Index Identifier:** LBUSTRUU

### Schedule of Portfolio Investments

| Name                                            | Title                                                                           | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |     Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| 3M COMPANY                                      | 3M CO                                                                           | CUSIP: 88579YBR1<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | DBT              | CORP              | US        |    17335000 | PA      | $17898456.84  | 0.11%             | 2035-03-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: —       |
| MORGN 2019-5A BR 144A                           | 522 FUNDING CLO 2019-5 LTD                                                      | CUSIP: 33829WAE9<br>LEI: 549300HKB0UTKU91DG08 | Long             | ABS-CBDO         | CORP              | KY        |    16085000 | PA      | $16122342.94  | 0.10%             | 2035-04-15      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| AADVANTAGE TL B 1L BANKDEBT                     | AADVANTAGE LOYALTY IP                                                           | CUSIP: 02376CBS3<br>LEI: N/A                  | Long             | LON              | CORP              | KY        |     6462724 | PA      | $6457036.59   | 0.04%             | 2028-04-20      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                      | ABBVIE INC                                                                      | CUSIP: 00287YDW6<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    16570000 | PA      | $16491325.64  | 0.10%             | 2054-03-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| ABU DHABI DEVELOPMENT HO 144A                   | ABU DHABI DEVELOPMENTAL HOLDING CO PJSC                                         | CUSIP: 00402AAB7<br>LEI: 254900G082ZFKTCR2Q75 | Long             | DBT              | CORP              | AE        |     9950000 | PA      | $10176393.94  | 0.06%             | 2035-05-06      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ABU DHABI DEVELOPMENT HO 144A                   | ABU DHABI DEVELOPMENTAL HOLDING CO PJSC                                         | CUSIP: 00402AAA9<br>LEI: 254900G082ZFKTCR2Q75 | Long             | DBT              | CORP              | AE        |    18840000 | PA      | $19075556.90  | 0.11%             | 2030-05-06      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ADVANCE AUTO PARTS 144A                         | ADVANCE AUTO PARTS INC                                                          | CUSIP: 00751YAL0<br>LEI: 529900UCNQ5H9FSL0Y70 | Long             | DBT              | CORP              | US        |     5626000 | PA      | $5731419.99   | 0.03%             | 2033-08-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| ADVANCE AUTO PARTS 144A                         | ADVANCE AUTO PARTS INC                                                          | CUSIP: 00751YAK2<br>LEI: 529900UCNQ5H9FSL0Y70 | Long             | DBT              | CORP              | US        |     3068000 | PA      | $3127635.78   | 0.02%             | 2030-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| AEDIFICA SA                                     | AEDIFICA SA                                                                     | CUSIP: BR2819927<br>LEI: 529900DTKNXL0AXQFN28 | Long             | DBT              | CORP              | BE        |     3800000 | PA      | $3778002.13   | 0.02%             | 2031-09-09      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| AEP TRANSMISSION CO LLC                         | AEP TRANSMISSION CO LLC                                                         | CUSIP: 00115AAS8<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |     1000000 | PA      | $1038412.00   | 0.01%             | 2035-06-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| AES ANDES SA 144A                               | AES ANDES SA                                                                    | CUSIP: 00111VAD9<br>LEI: 549300IF4IFG0FS0RM26 | Long             | DBT              | CORP              | CL        |     2131000 | PA      | $2218908.01   | 0.01%             | 2032-03-14      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| AES CORP/THE                                    | AES CORP/THE                                                                    | CUSIP: 00130HCM5<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    24580000 | PA      | $25214016.52  | 0.15%             | 2032-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| AETHON III SR 2L PP                             | AETHON III SR 2L PP                                                             | CUSIP: 000000000<br>LEI: 5493003Y9J3720W2G906 | Long             | DBT              | CORP              | US        |     4520000 | PA      | $4486100.00   | 0.03%             | 2027-01-10      | Variable      | 10.08%                | Yes           |                  3 | On Loan: No      |
| AFFRM 2025-X2 A 144A                            | AFFIRM ASSET SECURITIZATION TRUST 2025-X2                                       | CUSIP: 00835DAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    20870000 | PA      | $20890018.50  | 0.13%             | 2030-10-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| AFRMT 2025-2A A 144A                            | AFFIRM MASTER TRUST                                                             | CUSIP: 00833BAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    26955000 | PA      | $27096847.99  | 0.16%             | 2033-07-15      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| AFRMT 2025-3A A 144A                            | AFFIRM MASTER TRUST SERIES 2025-3                                               | CUSIP: 00833BAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    18310000 | PA      | $18344003.50  | 0.11%             | 2034-10-16      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| AGCO CORP                                       | AGCO CORP                                                                       | CUSIP: 001084AS1<br>LEI: LYOM0B2GCF1JWXK5ZG04 | Long             | DBT              | CORP              | US        |     4170000 | PA      | $4356657.54   | 0.03%             | 2034-03-21      | Fixed         | 5.80%                 | No            |                  2 | On Loan: —       |
| AGL 2021-13A BR 144A                            | AGL CLO 13 LTD                                                                  | CUSIP: 00120JAN3<br>LEI: 254900DIJ0G5TXNJMM06 | Long             | ABS-CBDO         | CORP              | KY        |     4860000 | PA      | $4861475.98   | 0.03%             | 2034-10-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| AH PARENT,INC. SER A PREFERRED SHARES PP        | AH PARENT,INC. SER A PREFERRED SHARES PP                                        | CUSIP: TC3I9NQ04<br>LEI: N/A                  | Long             | EP               | CORP              | US        |        1745 | NS      | $1752643.10   | 0.01%             |  |  |  | Yes           |                  3 | On Loan: No      |
| ALERA TL B 1L BANKDEBT                          | ALERA GROUP INC                                                                 | CUSIP: 01451PAB2<br>LEI: 2549003D76KZAKICNX26 | Long             | LON              | CORP              | US        |     4540000 | PA      | $4557025.00   | 0.03%             | 2032-05-30      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE E                        | ALEXANDRIA REAL ESTATE EQUITIES INC                                             | CUSIP: 015271BC2<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |     2525000 | PA      | $2510966.05   | 0.02%             | 2036-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE E                        | ALEXANDRIA REAL ESTATE EQUITIES INC                                             | CUSIP: 015271BE8<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |     4850000 | PA      | $4933463.65   | 0.03%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: —       |
| ALEXANDRIA REAL ESTATE E                        | ALEXANDRIA REAL ESTATE EQUITIES INC                                             | CUSIP: 015271AW9<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |     3101000 | PA      | $2620673.71   | 0.02%             | 2032-05-18      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ALLIANT HOLDINGS INTERMEDI TL B 1L USD BANKDEBT | ALLIANT HOLDINGS INTERMEDI                                                      | CUSIP: 01881UAN5<br>LEI: 5493006Q26653NF8SI73 | Long             | LON              | CORP              | US        |    13519397 | PA      | $13521154.10  | 0.08%             | 2031-09-19      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| ALLIANT HOLD / CO-ISSUER 144A                   | ALLIANT HOLDINGS INTERMEDIATE LLC / ALLIANT HOLDINGS CO-ISSUER                  | CUSIP: 01883LAE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3625000 | PA      | $3688437.50   | 0.02%             | 2028-04-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| ALLIANT HOLD / CO-ISSUER 144A                   | ALLIANT HOLDINGS INTERMEDIATE LLC / ALLIANT HOLDINGS CO-ISSUER                  | CUSIP: 01883LAG8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     4945000 | PA      | $5074806.25   | 0.03%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ALLIANT HOLD / CO-ISSUER 144A                   | ALLIANT HOLDINGS INTERMEDIATE LLC / ALLIANT HOLDINGS CO-ISSUER                  | CUSIP: 01883LAF0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2450000 | PA      | $2548000.00   | 0.02%             | 2031-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ABCLN 2025-B A2 144A                            | ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2025-B                                | CUSIP: 02007G6N8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    15730000 | PA      | $15746072.91  | 0.09%             | 2033-09-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| ALPHA GENERATION LLC 144A                       | ALPHA GENERATION LLC                                                            | CUSIP: 02073LAA9<br>LEI: 254900K5V62L4YGVKF49 | Long             | DBT              | CORP              | US        |     2310000 | PA      | $2373525.00   | 0.01%             | 2032-10-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                    | ALPHABET INC                                                                    | CUSIP: 02079KAX5<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    17350000 | PA      | $17528930.55  | 0.11%             | 2032-11-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                    | ALPHABET INC                                                                    | CUSIP: 02079KAY3<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    18880000 | PA      | $19144678.72  | 0.11%             | 2035-11-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                  | AMAZON.COM INC                                                                  | CUSIP: 023135CW4<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    25205000 | PA      | $25364799.70  | 0.15%             | 2055-11-20      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                             | AMERICAN EXPRESS CO                                                             | CUSIP: 025816EH8<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |     6685000 | PA      | $7092671.36   | 0.04%             | 2036-04-25      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                             | AMERICAN EXPRESS CO                                                             | CUSIP: 025816EK1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |     7040000 | PA      | $7199174.40   | 0.04%             | 2033-07-20      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                             | AMERICAN EXPRESS CO                                                             | CUSIP: 025816EF2<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    17670000 | PA      | $18234061.74  | 0.11%             | 2031-04-25      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT                           | AMERICAN HOMES 4 RENT LP                                                        | CUSIP: 02666TAJ6<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |     4645000 | PA      | $4741546.33   | 0.03%             | 2035-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: —       |
| AMERICAN MEDICAL SYST EU                        | AMERICAN MEDICAL SYSTEMS EUROPE BV                                              | CUSIP: YR6801314<br>LEI: 549300AA2JE6ZQ5D2493 | Long             | DBT              | CORP              | NL        |    11841000 | PA      | $13582796.93  | 0.08%             | 2034-03-08      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                             | AMERICAN TOWER CORP                                                             | CUSIP: 03027XCN8<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     2490000 | PA      | $2545016.55   | 0.02%             | 2030-03-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| AMCAR 2023-1 C                                  | AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2023-1                                 | CUSIP: 03067BAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    10995000 | PA      | $11168904.62  | 0.07%             | 2028-12-18      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| HOLCIM FINANCE US LLC 144A                      | AMRIZE FINANCE US LLC                                                           | CUSIP: 43475RAB2<br>LEI: 529900FB2F1WKLFNGY62 | Long             | DBT              | CORP              | US        |     6115000 | PA      | $6141716.44   | 0.04%             | 2028-04-07      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| HOLCIM FINANCE US LLC 144A                      | AMRIZE FINANCE US LLC                                                           | CUSIP: 43475RAC0<br>LEI: 529900FB2F1WKLFNGY62 | Long             | DBT              | CORP              | US        |     7190000 | PA      | $7352120.12   | 0.04%             | 2030-04-07      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ANTOFAGASTA PLC 144A                            | ANTOFAGASTA PLC                                                                 | CUSIP: 03718NAD8<br>LEI: 213800MY6QVH4FVLD628 | Long             | DBT              | CORP              | GB        |     5450000 | PA      | $5595787.50   | 0.03%             | 2035-09-09      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| AP GRANGE HOLDINGS PP                           | AP GRANGE HOLDINGS PP                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    16600000 | PA      | $17720500.00  | 0.11%             | 2045-03-20      | Fixed         | 6.50%                 | Yes           |                  3 | On Loan: No      |
| APA INFRASTRUCTURE LTD 144A                     | APA INFRASTRUCTURE LTD                                                          | CUSIP: 00188LAB3<br>LEI: 261700SS8OEHDOCOUJ33 | Long             | DBT              | CORP              | AU        |     4400000 | PA      | $4454850.40   | 0.03%             | 2044-09-16      | Fixed         | 5.75%                 | No            |                  2 | On Loan: —       |
| APT PIPELINES LTD                               | APA INFRASTRUCTURE LTD                                                          | CUSIP: BO4852667<br>LEI: 261700SS8OEHDOCOUJ33 | Long             | DBT              | CORP              | AU        |     3520000 | PA      | $3813920.07   | 0.02%             | 2029-03-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| APA INFRASTRUCTURE LTD 144A                     | APA INFRASTRUCTURE LTD                                                          | CUSIP: 00188LAA5<br>LEI: 261700SS8OEHDOCOUJ33 | Long             | DBT              | CORP              | AU        |     3250000 | PA      | $3311142.25   | 0.02%             | 2034-09-16      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| APPALACHIAN POWER CO                            | APPALACHIAN POWER CO                                                            | CUSIP: 037735DB0<br>LEI: 3SCHO1ABYYIG382BEI70 | Long             | DBT              | CORP              | US        |     4090000 | PA      | $4282508.12   | 0.03%             | 2034-04-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| DIN 2023-1A A2 144A                             | APPLEBEE'S FUNDING LLC / IHOP FUNDING LLC                                       | CUSIP: 03789XAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     7880000 | PA      | $7999576.64   | 0.05%             | 2053-03-05      | Fixed         | 7.82%                 | No            |                  2 | On Loan: No      |
| APPLIED SYSTEMS INC TL B2 1L USD BANKDEBT       | APPLIED SYSTEMS INC                                                             | CUSIP: 03827FBD2<br>LEI: 549300NSKGF0SY5SWQ62 | Long             | LON              | CORP              | US        |    22993872 | PA      | $23071591.32  | 0.14%             | 2031-02-24      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| APPLIED SYSTEMS INC TL 2L BANKDEBT              | APPLIED SYSTEMS INC                                                             | CUSIP: 03827FBC4<br>LEI: 549300NSKGF0SY5SWQ62 | Long             | LON              | CORP              | US        |      881635 | PA      | $897063.78    | 0.01%             | 2032-02-23      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| APTIV PLC                                       | APTIV SWISS HOLDINGS LTD                                                        | CUSIP: 03835VAJ5<br>LEI: 254900HTTDFIJZ32GX53 | Long             | DBT              | CORP              | JE        |    25510000 | PA      | $16661014.67  | 0.10%             | 2051-12-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: —       |
| ARES STRATEGIC INCOME FU 144A                   | ARES STRATEGIC INCOME FUND                                                      | CUSIP: 04020EAL1<br>LEI: 549300IANZJVZPTICV54 | Long             | DBT              | CORP              | US        |     4180000 | PA      | $4202973.28   | 0.03%             | 2028-09-09      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| ARTHUR J GALLAGHER & CO                         | ARTHUR J GALLAGHER & CO                                                         | CUSIP: 04316JAM1<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |     1220000 | PA      | $1244218.22   | 0.01%             | 2032-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ARTHUR J GALLAGHER & CO                         | ARTHUR J GALLAGHER & CO                                                         | CUSIP: 04316JAL3<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |     3440000 | PA      | $3508459.44   | 0.02%             | 2029-12-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| ASPEN INSURANCE HLDG LTD                        | ASPEN INSURANCE HOLDINGS LTD                                                    | CUSIP: 04530DAE2<br>LEI: 549300YX6HECG9XQCQ75 | Long             | DBT              | CORP              | BM        |     1830000 | PA      | $1918913.62   | 0.01%             | 2030-07-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ASURION TL B3 2L BANKDEBT                       | ASURION LLC                                                                     | CUSIP: 04649VAZ3<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |     7728454 | PA      | $7385542.60   | 0.04%             | 2028-01-31      | Floating      | 9.28%                 | No            |                  2 | On Loan: No      |
| ASURION TL B4 2L BANKDEBT                       | ASURION LLC                                                                     | CUSIP: 04649VBA7<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |     8185000 | PA      | $7649537.30   | 0.05%             | 2029-01-20      | Floating      | 9.28%                 | No            |                  2 | On Loan: No      |
| ASURION TL B11 1L BANKDEBT                      | ASURION LLC                                                                     | CUSIP: 04649VBC3<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |     4931020 | PA      | $4919382.69   | 0.03%             | 2028-08-19      | Floating      | 8.27%                 | No            |                  2 | On Loan: No      |
| ASURION LLC TL B13 1L BANKDEBT                  | ASURION LLC                                                                     | CUSIP: 04649VBE9<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |     2233903 | PA      | $2190342.26   | 0.01%             | 2030-09-19      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                        | AT&T INC                                                                        | CUSIP: 00206RKJ0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     9230000 | PA      | $6333496.78   | 0.04%             | 2053-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                        | AT&T INC                                                                        | CUSIP: 00206RNB4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     9765000 | PA      | $9757998.50   | 0.06%             | 2032-11-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| ATHENAHEALTH TL B 1L BANKDEBT                   | ATHENAHEALTH GROUP INC                                                          | CUSIP: 04686RAB9<br>LEI: 254900AA3KZN4Q7A5Z33 | Long             | LON              | CORP              | US        |     4928391 | PA      | $4918139.63   | 0.03%             | 2029-02-15      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING 144A                      | ATHENE GLOBAL FUNDING                                                           | CUSIP: 04685A3Z2<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    18015000 | PA      | $18485029.37  | 0.11%             | 2031-07-11      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| ATLAS WAREHOUSE LEND 144A                       | ATLAS WAREHOUSE LENDING CO LP                                                   | CUSIP: 049463AG7<br>LEI: 25490068J12A1HV7YM70 | Long             | DBT              | CORP              | US        |     5490000 | PA      | $5515286.94   | 0.03%             | 2030-11-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ATLASSIAN CORPORATION                           | ATLASSIAN CORP                                                                  | CUSIP: 049468AA9<br>LEI: 549300V7ZY5P02D2MY38 | Long             | DBT              | CORP              | US        |     5055000 | PA      | $5175581.97   | 0.03%             | 2029-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| AUTOSTRADE PER L'ITALIA                         | AUTOSTRADE PER L'ITALIA SPA                                                     | CUSIP: BN4840177<br>LEI: 815600149448CEB9B230 | Long             | DBT              | CORP              | IT        |     9705000 | PA      | $10761762.67  | 0.06%             | 2030-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| XCAP 2024-1A A3 144A                            | AUXILIOR TERM FUNDING 2024-1 LLC                                                | CUSIP: 05335FAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5580000 | PA      | $5665116.76   | 0.03%             | 2031-07-15      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| XCAP 2024-1A A2 144A                            | AUXILIOR TERM FUNDING 2024-1 LLC                                                | CUSIP: 05335FAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1386218 | PA      | $1389942.94   | 0.01%             | 2027-03-15      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| AVALARA TL B 1L BANKDEBT                        | AVALARA INC                                                                     | CUSIP: 05338KAD9<br>LEI: 549300Q16CMW239SS315 | Long             | LON              | CORP              | US        |     7010325 | PA      | $7032687.94   | 0.04%             | 2032-03-29      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| AESOP 2025-3A A 144A                            | AVIS BUDGET RENTAL CAR FUNDING AESOP LLC                                        | CUSIP: 05377RKW3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |     4375000 | PA      | $4376227.63   | 0.03%             | 2030-02-20      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| BAE SYSTEMS PLC 144A                            | BAE SYSTEMS PLC                                                                 | CUSIP: 05523RAL1<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |    10970000 | PA      | $11465021.25  | 0.07%             | 2034-03-26      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| BANCO BILBAO VIZCAYA ARG                        | BANCO BILBAO VIZCAYA ARGENTARIA SA                                              | CUSIP: 05946KAR2<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |    24400000 | PA      | $26083209.60  | 0.16%             | 2035-03-13      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| BANCO BILBAO VIZCAYA ARG                        | BANCO BILBAO VIZCAYA ARGENTARIA SA                                              | CUSIP: ZK9151877<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |     1500000 | PA      | $1851483.47   | 0.01%             | 2033-09-15      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                              | BANCO SANTANDER SA                                                              | CUSIP: 05971KAS8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    10200000 | PA      | $10249255.80  | 0.06%             | 2035-11-06      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                            | BANK OF AMERICA CORP                                                            | CUSIP: 06051GJF7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    76106000 | PA      | $68616256.33  | 0.41%             | 2031-07-23      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                            | BANK OF AMERICA CORP                                                            | CUSIP: 06051GMA4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     9896000 | PA      | $10421052.07  | 0.06%             | 2035-01-23      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                            | BANK OF AMERICA CORP                                                            | CUSIP: 06051GMW6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    17215000 | PA      | $18084185.35  | 0.11%             | 2036-05-09      | Variable      | 5.46%                 | No            |                  2 | On Loan: —       |
| BANK OF AMERICA CORP                            | BANK OF AMERICA CORP                                                            | CUSIP: 06051GKA6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    13098000 | PA      | $11718649.62  | 0.07%             | 2032-07-21      | Variable      | 2.30%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                            | BANK OF AMERICA CORP                                                            | CUSIP: 06051GLS6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    25037000 | PA      | $26122504.17  | 0.16%             | 2029-09-15      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| BANK5 2024-5YR10 AS                             | BANK5 2024-5YR10                                                                | CUSIP: 06604AAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2590000 | PA      | $2675425.97   | 0.02%             | 2057-10-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| BANK5 2024-5YR10 A3                             | BANK5 2024-5YR10                                                                | CUSIP: 06604AAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5050000 | PA      | $5219775.95   | 0.03%             | 2057-10-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| BANK5 2024-5YR12 A3                             | BANK5 2024-5YR12                                                                | CUSIP: 06644XBG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9095000 | PA      | $9598439.17   | 0.06%             | 2057-12-15      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                    | BARCLAYS PLC                                                                    | CUSIP: 06738ECZ6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     4810000 | PA      | $5076560.58   | 0.03%             | 2036-02-25      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                    | BARCLAYS PLC                                                                    | CUSIP: 06738ECX1<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     8060000 | PA      | $8204306.24   | 0.05%             | 2029-02-25      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                    | BARCLAYS PLC                                                                    | CUSIP: 06738ECY9<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     9700000 | PA      | $10018063.00  | 0.06%             | 2031-02-25      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                | BAT CAPITAL CORP                                                                | CUSIP: 05526DCB9<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    18240000 | PA      | $18942185.28  | 0.11%             | 2032-08-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: —       |
| BAUSCH & LOMB TL B 1L BANKDEBT                  | BAUSCH + LOMB CORP                                                              | CUSIP: 000000000<br>LEI: 549300NY6OZM39SO6475 | Long             | LON              | CORP              | CA        |     4708200 | PA      | $4734095.10   | 0.03%             | 2031-01-15      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC 144A                       | BAYER US FINANCE LLC                                                            | CUSIP: 07274EAK9<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |    11085000 | PA      | $11828526.38  | 0.07%             | 2030-11-21      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| BAYVIEW FINANCING TRUST 2024-2F A PP            | BAYVIEW FINANCING TRUST 2024-2F A                                               | CUSIP: 07336XAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    18774828 | PA      | $18867763.61  | 0.11%             | 2029-11-01      | Variable      | 6.95%                 | Yes           |                  3 | On Loan: No      |
| BVCLN 2024-CAR1 A 144A                          | BAYVIEW OPPORTUNITY MASTER FUND VII 2024-CAR1 LLC                               | CUSIP: 07336QAA0<br>LEI: 254900S53K9VTUR1UX42 | Long             | ABS-O            | CORP              | US        |     4759182 | PA      | $4773211.60   | 0.03%             | 2031-12-26      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| BVCLN 2024-CAR1 C 144A                          | BAYVIEW OPPORTUNITY MASTER FUND VII 2024-CAR1 LLC                               | CUSIP: 07336QAC6<br>LEI: 254900S53K9VTUR1UX42 | Long             | ABS-O            | CORP              | US        |      103505 | PA      | $103853.45    | 0.00%             | 2031-12-26      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| BBCMS 2019-BWAY D 144A                          | BBCMS 2019-BWAY MORTGAGE TRUST                                                  | CUSIP: 05492NAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10230000 | PA      | $127875.00    | 0.00%             | 2034-11-15      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC 144A                       | BEIGNET INVESTOR LLC                                                            | CUSIP: 076912AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    15250000 | PA      | $16391752.25  | 0.10%             | 2049-05-30      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| BELRON FINANCE 2019 LLC TL B 1L USD BANKDEBT    | BELRON FINANCE 2019 LLC                                                         | CUSIP: 08078UAN3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     4948672 | PA      | $4973415.80   | 0.03%             | 2031-10-16      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| BELRON UK FINANCE PLC 144A                      | BELRON UK FINANCE PLC                                                           | CUSIP: 080782AA3<br>LEI: 9845006BC9D1A77B8178 | Long             | DBT              | CORP              | GB        |     2810000 | PA      | $2859175.00   | 0.02%             | 2029-10-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BSP 2021-23A B1R 144A                           | BENEFIT STREET PARTNERS CLO XXIII LTD                                           | CUSIP: 08186VAQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1505000 | PA      | $1505405.30   | 0.01%             | 2034-04-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| BETH ISRAEL LAHEY HEALTH                        | BETH ISRAEL LAHEY HEALTH INC                                                    | CUSIP: 08661UAC0<br>LEI: 549300QPZ5W3279DU141 | Long             | DBT              | CORP              | US        |     3225000 | PA      | $3279563.78   | 0.02%             | 2030-07-01      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| BFLD 2025-5MW A 144A                            | BFLD COMMERCIAL MORTGAGE TRUST 2025-5MW                                         | CUSIP: 088921AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12340000 | PA      | $12395852.07  | 0.07%             | 2042-10-10      | Variable      | 4.83%                 | No            |                  2 | On Loan: No      |
| BINOM 2021-INV1 A1 144A                         | BINOM SECURITIZATION TRUST 2021-INV1                                            | CUSIP: 05552UAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6513055 | PA      | $6005800.30   | 0.04%             | 2056-06-25      | Variable      | 2.03%                 | No            |                  2 | On Loan: No      |
| BINOM 2022-INV1 A3 144A                         | BINOM SECURITIZATION TRUST 2022-INV1                                            | CUSIP: 090975AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3104027 | PA      | $3026137.54   | 0.02%             | 2057-08-25      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PP EUR HOLD                          | BLACKSTONE PROPERTY PARTNERS EUROPE HOLDINGS SARL                               | CUSIP: ZR4791987<br>LEI: 213800Y3B5GQFBGVHP79 | Long             | DBT              | CORP              | LU        |     8470000 | PA      | $9389730.08   | 0.06%             | 2029-03-12      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| BLUE OWL GP STAKES IV TL PP                     | BLUE OWL GP STAKES IV TL PP 4.8800 20281030                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    13460000 | PA      | $13460000.00  | 0.08%             | 2028-10-30      | Fixed         | 4.88%                 | Yes           |                  3 | On Loan: No      |
| BOEING CO/THE                                   | BOEING CO/THE                                                                   | CUSIP: 097023DS1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     6672000 | PA      | $7433562.10   | 0.04%             | 2034-05-01      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                   | BOEING CO/THE                                                                   | CUSIP: 097023DT9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    24802000 | PA      | $28240474.87  | 0.17%             | 2054-05-01      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                       | BOEING CO/THE                                                                   | CUSIP: 097023CQ6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     9233000 | PA      | $6858078.51   | 0.04%             | 2050-02-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                       | BOEING CO/THE                                                                   | CUSIP: 097023CV5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     8335000 | PA      | $8576431.61   | 0.05%             | 2040-05-01      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                   | BOEING CO/THE                                                                   | CUSIP: 097023DR3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     8645000 | PA      | $9406719.60   | 0.06%             | 2031-05-01      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| BON SECOURS MERCY                               | BON SECOURS MERCY HEALTH INC                                                    | CUSIP: 09778PAA3<br>LEI: 5493006NA7JSVYYYF398 | Long             | DBT              | CORP              | US        |     5370000 | PA      | $5240013.78   | 0.03%             | 2030-06-01      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| BOOZ ALLEN HAMILTON INC                         | BOOZ ALLEN HAMILTON INC                                                         | CUSIP: 09951LAD5<br>LEI: 549300D7XCH2480XU542 | Long             | DBT              | CORP              | US        |    10885000 | PA      | $11292741.22  | 0.07%             | 2035-04-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: —       |
| BOOZ ALLEN HAMILTON INC                         | BOOZ ALLEN HAMILTON INC                                                         | CUSIP: 09951LAC7<br>LEI: 549300D7XCH2480XU542 | Long             | DBT              | CORP              | US        |     9347000 | PA      | $9845157.71   | 0.06%             | 2033-08-04      | Fixed         | 5.95%                 | No            |                  2 | On Loan: —       |
| BOSTON GAS COMPANY 144A                         | BOSTON GAS CO                                                                   | CUSIP: 100743AN3<br>LEI: FN7P4E7K9JOBORDEUX61 | Long             | DBT              | CORP              | US        |     5860000 | PA      | $5991469.10   | 0.04%             | 2053-07-20      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| HGVGI 2019-A A 144A                             | BRE GRAND ISLANDER TIMESHARE ISSUER 2019-A LLC                                  | CUSIP: 05588UAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2392854 | PA      | $2373927.67   | 0.01%             | 2033-09-26      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PART                          | BRIXMOR OPERATING PARTNERSHIP LP                                                | CUSIP: 11120VAN3<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |     3630000 | PA      | $3719265.33   | 0.02%             | 2032-04-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PART                          | BRIXMOR OPERATING PARTNERSHIP LP                                                | CUSIP: 11120VAP8<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |     2455000 | PA      | $2457261.06   | 0.01%             | 2033-02-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PART                          | BRIXMOR OPERATING PARTNERSHIP LP                                                | CUSIP: 11120VAE3<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    30217000 | PA      | $30113657.86  | 0.18%             | 2027-03-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                    | BROADCOM INC                                                                    | CUSIP: 11135FBY6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    13255000 | PA      | $13838140.47  | 0.08%             | 2031-11-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                    | BROADCOM INC                                                                    | CUSIP: 11135FCY5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    15635000 | PA      | $15666957.94  | 0.09%             | 2036-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                    | BROADCOM INC                                                                    | CUSIP: 11135FCC3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     8245000 | PA      | $8345415.86   | 0.05%             | 2032-02-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| BULGARIA                                        | BULGARIA GOVERNMENT INTERNATIONAL BOND                                          | CUSIP: YO0398140<br>LEI: 529900PG0XCL4LICL838 | Long             | DBT              | NUSS              | BG        |    20560000 | PA      | $24459895.80  | 0.15%             | 2038-05-07      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| BURLINGTN NORTH SANTA FE                        | BURLINGTON NORTHERN SANTA FE LLC                                                | CUSIP: 12189LBL4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    14325000 | PA      | $14347977.30  | 0.09%             | 2055-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BX 2024-GPA3 A 144A                             | BX COMMERCIAL MORTGAGE TRUST 2024-GPA3                                          | CUSIP: 123910AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    15370917 | PA      | $15269324.93  | 0.09%             | 2039-12-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| BX 2024-MDHS A 144A                             | BX COMMERCIAL MORTGAGE TRUST 2024-MDHS                                          | CUSIP: 12433BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    30678449 | PA      | $30697582.96  | 0.18%             | 2041-05-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| BX 2024-SLCT A 144A                             | BX COMMERCIAL MORTGAGE TRUST 2024-SLCT                                          | CUSIP: 12433JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13305000 | PA      | $13296692.36  | 0.08%             | 2042-01-15      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| BX 2025-TAIL A 144A                             | BX TRUST 2025-TAIL                                                              | CUSIP: 123912AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5460000 | PA      | $5459998.36   | 0.03%             | 2035-06-15      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES                   | CAD/USD FWD 20260126 SCBLGB2L                                                   | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | CA        |           1 | NC      | $16207.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO DOMINION SECURITIES                     | CAD/USD FWD 20260126 TDOMCATT                                                   | CUSIP: 000000000<br>LEI: SUVUFHICNZMP2WKHG940 | N/A              | DFE              | CORP              | CA        |           1 | NC      | $-249371.13   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CADENCE DESIGN SYS INC                          | CADENCE DESIGN SYSTEMS INC                                                      | CUSIP: 127387AP3<br>LEI: GCT7RXJOGLXPV0NXZY22 | Long             | DBT              | CORP              | US        |    11765000 | PA      | $11817201.31  | 0.07%             | 2034-09-10      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAINMENT TL B 1L BANKDEBT          | CAESARS ENTERTAIN INC                                                           | CUSIP: 12768EAG1<br>LEI: 549300FA4CTCW903Y781 | Long             | LON              | CORP              | US        |     3354134 | PA      | $3317808.47   | 0.02%             | 2030-02-06      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA 144A                               | CAIXABANK SA                                                                    | CUSIP: 12803RAL8<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |    11725000 | PA      | $11938336.38  | 0.07%             | 2031-07-03      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA 144A                               | CAIXABANK SA                                                                    | CUSIP: 12803RAM6<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |    10440000 | PA      | $10824651.36  | 0.06%             | 2036-07-03      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA 144A                               | CAIXABANK SA                                                                    | CUSIP: 12803RAH7<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |    19705000 | PA      | $21070635.32  | 0.13%             | 2035-06-15      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| XQH6 CAN 5YR BOND FUT  MAR26                    | CAN 5YR BOND FUT  MAR26                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | CA        |        -279 | NC      | $-50291.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CF 2019-CF2 B                                   | CANTOR COMMERCIAL REAL ESTATE LENDING 2019-CF2                                  | CUSIP: 12528YAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9752000 | PA      | $8858437.89   | 0.05%             | 2052-11-15      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                        | CAPITAL ONE FINANCIAL CORP                                                      | CUSIP: 14040HDC6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     3005000 | PA      | $3392314.45   | 0.02%             | 2031-10-30      | Variable      | 7.62%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                        | CAPITAL ONE FINANCIAL CORP                                                      | CUSIP: 14040HDE2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     3361000 | PA      | $3496085.31   | 0.02%             | 2030-02-01      | Variable      | 5.70%                 | No            |                  2 | On Loan: —       |
| CARMX 2022-1 C                                  | CARMAX AUTO OWNER TRUST 2022-1                                                  | CUSIP: 14317CAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    11975000 | PA      | $11889860.15  | 0.07%             | 2027-11-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| CARMX 2024-1 B                                  | CARMAX AUTO OWNER TRUST 2024-1                                                  | CUSIP: 14318WAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2585000 | PA      | $2627811.22   | 0.02%             | 2029-08-15      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| CARMX 2024-3 A3                                 | CARMAX AUTO OWNER TRUST 2024-3                                                  | CUSIP: 14319GAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    10260000 | PA      | $10376102.16  | 0.06%             | 2029-07-16      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| CARMX 2025-4 A4                                 | CARMAX AUTO OWNER TRUST 2025-4                                                  | CUSIP: 14320HAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4135000 | PA      | $4146674.76   | 0.02%             | 2031-06-16      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| CARMX 2025-4 A3                                 | CARMAX AUTO OWNER TRUST 2025-4                                                  | CUSIP: 14320HAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     6410000 | PA      | $6420505.35   | 0.04%             | 2030-12-16      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| CMXS 2024-A A3                                  | CARMAX SELECT RECEIVABLES TRUST 2024-A                                          | CUSIP: 14319FAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5115000 | PA      | $5161142.42   | 0.03%             | 2028-11-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP 144A                              | CARNIVAL CORP                                                                   | CUSIP: 143658BW1<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |     3575000 | PA      | $3753750.00   | 0.02%             | 2029-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: —       |
| CRVNA 2022-N1 C 144A                            | CARVANA AUTO RECEIVABLES TRUST 2022-N1                                          | CUSIP: 14686GAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      560962 | PA      | $554091.93    | 0.00%             | 2028-12-11      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| CRVNA 2022-P1 C                                 | CARVANA AUTO RECEIVABLES TRUST 2022-P1                                          | CUSIP: 14688DAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    13955000 | PA      | $13734857.08  | 0.08%             | 2028-04-10      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| CRVNA 2024-P2 A4                                | CARVANA AUTO RECEIVABLES TRUST 2024-P2                                          | CUSIP: 14688PAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    13890000 | PA      | $14214014.81  | 0.09%             | 2030-06-10      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| CRVNA 2025-P3 B                                 | CARVANA AUTO RECEIVABLES TRUST 2025-P3                                          | CUSIP: 14688AAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3080000 | PA      | $3086290.59   | 0.02%             | 2031-10-10      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| CRVNA 2025-P4 B                                 | CARVANA AUTO RECEIVABLES TRUST 2025-P4                                          | CUSIP: 14689AAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5785000 | PA      | $5797758.82   | 0.03%             | 2032-01-12      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| CRVNA 2025-P4 A4                                | CARVANA AUTO RECEIVABLES TRUST 2025-P4                                          | CUSIP: 14689AAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    24990000 | PA      | $25000653.24  | 0.15%             | 2031-11-10      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CBRE SERVICES INC                               | CBRE SERVICES INC                                                               | CUSIP: 12505BAJ9<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |     4575000 | PA      | $4649833.28   | 0.03%             | 2030-06-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| CBRE SERVICES INC                               | CBRE SERVICES INC                                                               | CUSIP: 12505BAL4<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |     3545000 | PA      | $3583052.03   | 0.02%             | 2033-01-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP 144A                     | CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP                                    | CUSIP: 1248EPCK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     4320000 | PA      | $3969000.00   | 0.02%             | 2031-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP 144A                     | CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP                                    | CUSIP: 1248EPCL5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     5275000 | PA      | $4635406.25   | 0.03%             | 2033-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP 144A                     | CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP                                    | CUSIP: 1248EPCT8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     6710000 | PA      | $6844200.00   | 0.04%             | 2031-03-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO                              | CDX IG CDST S45 5Y 15-100 12/20/2030                                            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              | CORP              | US        |           1 | NC      | $15940252.52  | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO                              | CDX IG CDST S45 5Y 15-100 12/20/2030                                            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              | CORP              | US        |           1 | NC      | $16564704.26  | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                        | CELANESE US HOLDINGS LLC                                                        | CUSIP: 15089QAP9<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |     6045000 | PA      | $6150787.50   | 0.04%             | 2032-07-15      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                        | CELANESE US HOLDINGS LLC                                                        | CUSIP: 15089QAX2<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |     2349000 | PA      | $2434151.25   | 0.01%             | 2030-11-15      | Variable      | 7.05%                 | No            |                  2 | On Loan: No      |
| CELLNEX FINANCE CO SA                           | CELLNEX FINANCE CO SA                                                           | CUSIP: BN9906411<br>LEI: 549300OUROMFTRFA7T23 | Long             | DBT              | CORP              | ES        |     9200000 | PA      | $9575565.59   | 0.06%             | 2033-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CELLNEX TELECOM SA                              | CELLNEX TELECOM SA                                                              | CUSIP: ZO9508185<br>LEI: 5493008T4YG3AQUI7P67 | Long             | DBT              | CORP              | ES        |     8800000 | PA      | $9530511.52   | 0.06%             | 2030-10-23      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| CELULOSA ARAUCO CONSTITU 144A                   | CELULOSA ARAUCO Y CONSTITUCION SA                                               | CUSIP: 151191BR3<br>LEI: 549300QEKV8G0AMNQD28 | Long             | DBT              | CORP              | CL        |     1880000 | PA      | $1941105.25   | 0.01%             | 2032-05-05      | Fixed         | 6.18%                 | No            |                  2 | On Loan: —       |
| CENTENE CORP                                    | CENTENE CORP                                                                    | CUSIP: 15135BAR2<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     3340000 | PA      | $3291867.26   | 0.02%             | 2027-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                    | CENTENE CORP                                                                    | CUSIP: 15135BAT8<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    41038000 | PA      | $39449008.64  | 0.24%             | 2029-12-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CESKA SPORITELNA AS                             | CESKA SPORITELNA AS                                                             | CUSIP: ZI6402112<br>LEI: 9KOGW2C2FCIOJQ7FF485 | Long             | DBT              | CORP              | CZ        |     1500000 | PA      | $1802074.19   | 0.01%             | 2028-03-08      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| CESKA SPORITELNA AS                             | CESKA SPORITELNA AS                                                             | CUSIP: YX9830838<br>LEI: 9KOGW2C2FCIOJQ7FF485 | Long             | DBT              | CORP              | CZ        |     1500000 | PA      | $1822272.31   | 0.01%             | 2031-07-03      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| CESKA SPORITELNA AS                             | CESKA SPORITELNA AS                                                             | CUSIP: ZF2083797<br>LEI: 9KOGW2C2FCIOJQ7FF485 | Long             | DBT              | CORP              | CZ        |     1500000 | PA      | $1822308.46   | 0.01%             | 2030-01-15      | Variable      | 4.82%                 | No            |                  2 | On Loan: No      |
| CFE FIBRA E 144A                                | CFE FIBRA E                                                                     | CUSIP: 125276AA3<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |     2240000 | PA      | $2236886.40   | 0.01%             | 2040-09-23      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                        | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CUSIP: 161175CA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    13332000 | PA      | $8717048.21   | 0.05%             | 2052-06-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| CHARTER NEXT GENERATION BANKDEBT                | CHARTER NEXT GENERATION                                                         | CUSIP: 16125TAM4<br>LEI: 549300KRNU8RNVGYXG75 | Long             | LON              | CORP              | US        |    11695975 | PA      | $11741121.16  | 0.07%             | 2030-11-29      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| CACLN 2025-1 B 144A                             | CHASE AUTO CREDIT LINKED NOTES SERIES 2025-1                                    | CUSIP: 46591HCS7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    12247664 | PA      | $12324188.54  | 0.07%             | 2033-02-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CHASE 2024-RPL4 A1B 144A                        | CHASE HOME LENDING MORTGAGE TRUST 2024-RPL4                                     | CUSIP: 16160NAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2275795 | PA      | $2044631.26   | 0.01%             | 2064-12-25      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| UBS SECURITIES LLC                              | CHF/USD FWD 20260123 UBSWGB2L                                                   | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | CH        |           1 | NC      | $-154690.84   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHILE ELECTRICITY LUX 144A                      | CHILE ELECTRICITY LUX MPC II SARL                                               | CUSIP: 16882LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     7311737 | PA      | $7542057.13   | 0.05%             | 2035-10-20      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| CHORUS LTD                                      | CHORUS LTD                                                                      | CUSIP: BY6622025<br>LEI: R7NJHU48LTCIOB9BVU57 | Long             | DBT              | CORP              | NZ        |     3115000 | PA      | $3692671.67   | 0.02%             | 2029-09-07      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| CHPE LLC SERIES A SR SECURED NOTE PP            | CHPE LLC SR SECURED NOTE PP                                                     | CUSIP: 000000000<br>LEI: 2549001XI2F7Q85COR50 | Long             | DBT              | CORP              | US        |     3500000 | PA      | $3500000.00   | 0.02%             | 2035-09-30      | Fixed         | 5.51%                 | Yes           |                  3 | On Loan: No      |
| CIFC 2018-1A A1R 144A                           | CIFC FUNDING 2018-I LTD                                                         | CUSIP: 17181NAC8<br>LEI: 635400VBVF8AYJQBI411 | Long             | ABS-CBDO         | CORP              | KY        |    18615000 | PA      | $18632298.92  | 0.11%             | 2038-01-18      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| CIFC 2020-4A BR 144A                            | CIFC FUNDING 2020-IV LTD                                                        | CUSIP: 12562RAN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    10530000 | PA      | $10554688.64  | 0.06%             | 2040-01-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                                 | CIGNA GROUP/THE                                                                 | CUSIP: 125523CX6<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |     4650000 | PA      | $4680113.40   | 0.03%             | 2030-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                                 | CIGNA GROUP/THE                                                                 | CUSIP: 125523DA5<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |     6505000 | PA      | $6772810.85   | 0.04%             | 2056-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITADEL SECURITIES LP TL B 1L BANKDEBT          | CITADEL SECURITIES GLOBA                                                        | CUSIP: 17288YAN2<br>LEI: 549300NV5RXBUS3X7L47 | Long             | LON              | CORP              | US        |    53672815 | PA      | $53849935.68  | 0.32%             | 2031-10-31      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| CGCMT 2020-555 C 144A                           | CITIGROUP COMMERCIAL MORTGAGE TRUST 2020-555                                    | CUSIP: 17328EAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8370000 | PA      | $7467751.67   | 0.04%             | 2041-12-10      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| CGCMT 2020-555 D 144A                           | CITIGROUP COMMERCIAL MORTGAGE TRUST 2020-555                                    | CUSIP: 17328EAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5500000 | PA      | $4880953.00   | 0.03%             | 2041-12-10      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                   | CITIGROUP INC                                                                   | CUSIP: 172967QA2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    23275000 | PA      | $23861762.75  | 0.14%             | 2031-05-07      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                   | CITIGROUP INC                                                                   | CUSIP: 17327CBA0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    18900000 | PA      | $19434397.50  | 0.12%             | 2036-03-27      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                   | CITIGROUP INC                                                                   | CUSIP: 172967MY4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    10603000 | PA      | $9658866.47   | 0.06%             | 2032-05-01      | Variable      | 2.56%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                   | CITIGROUP INC                                                                   | CUSIP: 172967QH7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     5470000 | PA      | $5589519.50   | 0.03%             | 2036-09-11      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| CMLTI 2022-INV1 A4B 144A                        | CITIGROUP MORTGAGE LOAN TRUST 2022-INV1                                         | CUSIP: 17290FBL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6514687 | PA      | $5659054.90   | 0.03%             | 2051-11-27      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| LA CA ARPTS REV BUILD AMER DIR PMT C            | CITY OF LOS ANGELES DEPARTMENT OF AIRPORTS                                      | CUSIP: 544435C32<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     2975000 | PA      | $3248396.25   | 0.02%             | 2039-05-15      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| CIVITAS RESOURCES INC 144A                      | CIVITAS RESOURCES INC                                                           | CUSIP: 17888HAD5<br>LEI: IIVIHPH28S64K95M2381 | Long             | DBT              | CORP              | US        |     4515000 | PA      | $4864912.50   | 0.03%             | 2033-06-15      | Fixed         | 9.62%                 | No            |                  2 | On Loan: No      |
| CLARIOS GLOBAL TL B 1L BANKDEBT                 | CLARIOS GLOBAL LP                                                               | CUSIP: 000000000<br>LEI: 549300474L1ZLXZY2P98 | Long             | LON              | CORP              | US        |     6680000 | PA      | $6698770.80   | 0.04%             | 2032-01-28      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| CLARIOS GLOBAL LP/US FIN 144A                   | CLARIOS GLOBAL LP / CLARIOS US FINANCE CO                                       | CUSIP: 18060TAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      440000 | PA      | $455400.00    | 0.00%             | 2030-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CLARIOS GLOBAL LP/US FIN 144A                   | CLARIOS GLOBAL LP / CLARIOS US FINANCE CO                                       | CUSIP: 18060TAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       67000 | PA      | $68423.75     | 0.00%             | 2028-05-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: —       |
| CLARUS 2024-1A A2 144A                          | CLARUS CAPITAL FUNDING 2024-1 LLC                                               | CUSIP: 18271JAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4698735 | PA      | $4713363.78   | 0.03%             | 2032-08-20      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| CLEARWATER TL B 1L BANKDEBT                     | CLEARWATER ANALYTICS LLC                                                        | CUSIP: 18512EAF9<br>LEI: 894500N8DN2JO5ZDRQ11 | Long             | LON              | CORP              | US        |     5105000 | PA      | $5105000.00   | 0.03%             | 2032-04-21      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| CITRIX TL B2 1L BANKDEBT                        | CLOUD SOFTWARE GRP INC                                                          | CUSIP: 88632NBK5<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | LON              | CORP              | US        |     4982413 | PA      | $4967216.39   | 0.03%             | 2031-03-21      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| RBC DOMINION SECURITIES INC                     | CLP/USD FWD 20260206 ROYCGB2L                                                   | CUSIP: 000000000<br>LEI: 549300QJJX6CVVUXLE15 | N/A              | DFE              | CORP              | CL        |           1 | NC      | $437977.19    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | CME-CLP IRS 10/1/27 REC FIX MSLN_C                                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |           1 | NC      | $297220.12    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | CME-CLP IRS 10/2/27 REC FIX GSIL_C                                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |           1 | NC      | $272020.17    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CNO GLOBAL FUNDING 144A                         | CNO GLOBAL FUNDING                                                              | CUSIP: 18977W2F6<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |     3885000 | PA      | $3961903.58   | 0.02%             | 2029-09-09      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| COFINIMMO                                       | COFINIMMO SA                                                                    | CUSIP: BM7559321<br>LEI: 549300TM914CSF6KI389 | Long             | DBT              | CORP              | BE        |     8000000 | PA      | $8234771.88   | 0.05%             | 2030-12-02      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| COGENTRIX TL B 1L BANKDEBT                      | COGENTRIX FINANCE HOLDCO                                                        | CUSIP: 19239LAC0<br>LEI: 254900V51P55ABN4UU67 | Long             | LON              | CORP              | US        |     4713992 | PA      | $4739259.00   | 0.03%             | 2032-02-26      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| COLBUN SA 144A                                  | COLBUN SA                                                                       | CUSIP: 192714AF0<br>LEI: 5493003VQJLE2QB8IF36 | Long             | DBT              | CORP              | CL        |     5780000 | PA      | $5837857.80   | 0.03%             | 2035-09-11      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| COLT 2025-10 A1F 144A                           | COLT 2025-10 MORTGAGE LOAN TRUST                                                | CUSIP: 12675XAD8<br>LEI: 213800STFGFKQEQSRE63 | Long             | ABS-MBS          | CORP              | US        |     7310782 | PA      | $7325054.86   | 0.04%             | 2070-10-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINE HOLDCO 144A                   | COLUMBIA PIPELINES HOLDING CO LLC                                               | CUSIP: 19828AAC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    16685000 | PA      | $17270259.75  | 0.10%             | 2034-01-15      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                    | COMCAST CORP                                                                    | CUSIP: 20030NCY5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    23223000 | PA      | $18404599.07  | 0.11%             | 2039-11-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| COMISION FEDERAL DE ELEC 144A                   | COMISION FEDERAL DE ELECTRICIDAD                                                | CUSIP: 200447AP5<br>LEI: 4469000001BFPONMPF32 | Long             | DBT              | CORP              | MX        |    26299000 | PA      | $26958500.02  | 0.16%             | 2035-01-24      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                             | COMMONSPIRIT HEALTH                                                             | CUSIP: 20268JAF0<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |     1345000 | PA      | $1258429.08   | 0.01%             | 2030-10-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| CONE 2024-DFW1 A 144A                           | CONE TRUST 2024-DFW1                                                            | CUSIP: 20682AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    17510000 | PA      | $17488138.77  | 0.10%             | 2041-08-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION EN GEN LLC                        | CONSTELLATION ENERGY GENERATION LLC                                             | CUSIP: 210385AF7<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    14350000 | PA      | $14379661.45  | 0.09%             | 2054-03-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE GLOB FUNDING 144A                    | COREBRIDGE GLOBAL FUNDING                                                       | CUSIP: 00138CAX6<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |     3270000 | PA      | $3353218.23   | 0.02%             | 2029-01-12      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE GLOB FUNDING 144A                    | COREBRIDGE GLOBAL FUNDING                                                       | CUSIP: 00138CBH0<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |     3585000 | PA      | $3619046.75   | 0.02%             | 2032-08-21      | Fixed         | 4.90%                 | No            |                  2 | On Loan: —       |
| CORP ANDINA DE FOMENTO 144A                     | CORP ANDINA DE FOMENTO                                                          | CUSIP: 219868CM6<br>LEI: UKZ46SXGNYCZK0UOZE76 | Long             | DBT              | CORP              | N/A       |     4020000 | PA      | $4111523.34   | 0.02%             | N/A             | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| CORPORACION INMOBILIARIA 144A                   | CORP INMOBILIARIA VESTA SAB DE CV                                               | CUSIP: 21989DAB8<br>LEI: 4469000001BIRIFZJ959 | Long             | DBT              | CORP              | MX        |     5840000 | PA      | $5888472.00   | 0.04%             | 2033-01-30      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                              | COTERRA ENERGY INC                                                              | CUSIP: 127097AL7<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |     4096000 | PA      | $4227457.02   | 0.03%             | 2034-03-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| TRUIST INSURANCE TL B 1L BANKDEBT               | CRC INSURANCE GROUP LLC                                                         | CUSIP: 89788VAG7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    13436492 | PA      | $13433132.81  | 0.08%             | 2031-05-06      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA 144A                         | CREDIT AGRICOLE SA                                                              | CUSIP: 22535WAR8<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |     9010000 | PA      | $9279272.86   | 0.06%             | 2031-05-27      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA 144A                         | CREDIT AGRICOLE SA                                                              | CUSIP: 22535WAS6<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    27730000 | PA      | $27745251.50  | 0.17%             | 2033-09-25      | Variable      | 4.82%                 | No            |                  2 | On Loan: —       |
| CRESCENT ENERGY FINANCE 144A                    | CRESCENT ENERGY FINANCE LLC                                                     | CUSIP: 45344LAE3<br>LEI: 54930061FUL6DBLFUW14 | Long             | DBT              | CORP              | US        |     5545000 | PA      | $5253887.50   | 0.03%             | 2033-01-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| CROSS 2025-H5 A1B 144A                          | CROSS 2025-H5 MORTGAGE TRUST                                                    | CUSIP: 227920AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5179291 | PA      | $5210002.24   | 0.03%             | 2070-07-25      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                | CROWN CASTLE INC                                                                | CUSIP: 22822VBE0<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |     8360000 | PA      | $8780524.72   | 0.05%             | 2034-03-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                 | CVS HEALTH CORP                                                                 | CUSIP: 126650CZ1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    37769000 | PA      | $33900434.64  | 0.20%             | 2048-03-25      | Fixed         | 5.05%                 | No            |                  2 | On Loan: —       |
| CVS HEALTH CORP                                 | CVS HEALTH CORP                                                                 | CUSIP: 126650EJ5<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     6070000 | PA      | $6213737.60   | 0.04%             | 2032-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: —       |
| CVS HEALTH CORP                                 | CVS HEALTH CORP                                                                 | CUSIP: 126650EG1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    16515000 | PA      | $17051473.26  | 0.10%             | 2054-12-10      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                 | CVS HEALTH CORP                                                                 | CUSIP: 126650EH9<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     8080000 | PA      | $8432740.48   | 0.05%             | 2055-03-10      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| CYRUS 2024-2A A2 144A                           | CYRUSONE DATA CENTERS ISSUER I LLC                                              | CUSIP: 23284BAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    32015000 | PA      | $31379780.78  | 0.19%             | 2049-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S 144A                            | DANSKE BANK A/S                                                                 | CUSIP: 23636ABH3<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    12075000 | PA      | $12579300.30  | 0.08%             | 2030-03-01      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| DEERE & COMPANY                                 | DEERE & CO                                                                      | CUSIP: 244199BL8<br>LEI: PWFTNG3EI0Y73OXWDH08 | Long             | DBT              | CORP              | US        |    16960000 | PA      | $18029870.72  | 0.11%             | 2035-01-16      | Fixed         | 5.45%                 | No            |                  2 | On Loan: —       |
| DEFT 2023-3 C 144A                              | DELL EQUIPMENT FINANCE TRUST 2023-3                                             | CUSIP: 24702EAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4328000 | PA      | $4362228.85   | 0.03%             | 2029-04-23      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| DEFT 2024-1 C 144A                              | DELL EQUIPMENT FINANCE TRUST 2024-1                                             | CUSIP: 24702GAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $101556.95    | 0.00%             | 2030-03-22      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| DEFT 2024-2 B 144A                              | DELL EQUIPMENT FINANCE TRUST 2024-2                                             | CUSIP: 24704EAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1465000 | PA      | $1478160.39   | 0.01%             | 2030-08-22      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| DEFT 2024-2 A3 144A                             | DELL EQUIPMENT FINANCE TRUST 2024-2                                             | CUSIP: 24704EAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    11640000 | PA      | $11720922.44  | 0.07%             | 2030-08-22      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| DEFT 2025-2 B 144A                              | DELL EQUIPMENT FINANCE TRUST 2025-2                                             | CUSIP: 24703VAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      495000 | PA      | $496266.95    | 0.00%             | 2031-03-24      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| DEFT 2025-2 A3 144A                             | DELL EQUIPMENT FINANCE TRUST 2025-2                                             | CUSIP: 24703VAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5840000 | PA      | $5852906.40   | 0.04%             | 2031-03-24      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FORMULA ONE TL B1 1L BANKDEBT                   | DELTA 2 LUX SARL                                                                | CUSIP: 3469959L9<br>LEI: 549300BBG8Z3D6QSYP53 | Long             | LON              | CORP              | LU        |     5020000 | PA      | $5020000.00   | 0.03%             | 2031-09-10      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                          | DIAMONDBACK ENERGY INC                                                          | CUSIP: 25278XAZ2<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    25974000 | PA      | $26612544.82  | 0.16%             | 2034-04-18      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                          | DIAMONDBACK ENERGY INC                                                          | CUSIP: 25278XBA6<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    25543000 | PA      | $24525136.99  | 0.15%             | 2054-04-18      | Fixed         | 5.75%                 | No            |                  2 | On Loan: —       |
| DIRECTV HOLDINGS/FING 144A                      | DIRECTV FINANCING LLC / DIRECTV FINANCING CO-OBLIGOR INC                        | CUSIP: 25461LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      318000 | PA      | $318000.00    | 0.00%             | 2027-08-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| DLLST 2024-1A A3 144A                           | DLLST 2024-1 LLC                                                                | CUSIP: 23346HAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5328450 | PA      | $5350198.92   | 0.03%             | 2027-08-20      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| DLLST 2024-1A A4 144A                           | DLLST 2024-1 LLC                                                                | CUSIP: 23346HAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1630000 | PA      | $1644773.51   | 0.01%             | 2030-04-22      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| DRIVE 2021-3 D 144A                             | DRIVE AUTO RECEIVABLES TRUST 2021-3                                             | CUSIP: 262081AF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    16332299 | PA      | $16159552.22  | 0.10%             | 2029-06-15      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| DRIVE 2025-2 B                                  | DRIVE AUTO RECEIVABLES TRUST 2025-2                                             | CUSIP: 262103AE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     6765000 | PA      | $6754878.21   | 0.04%             | 2032-09-15      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| HONK 2021-1A A2 144A                            | DRIVEN BRANDS FUNDING LLC                                                       | CUSIP: 26209XAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    13468195 | PA      | $12724606.84  | 0.08%             | 2051-10-20      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| DRSLF 2021-93A BR 144A                          | DRYDEN 93 CLO LTD                                                               | CUSIP: 26190TAS0<br>LEI: 5493009K6Z2DW3X76185 | Long             | ABS-CBDO         | CORP              | KY        |    11510000 | PA      | $11536973.69  | 0.07%             | 2038-01-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| DTE ENERGY CO                                   | DTE ENERGY CO                                                                   | CUSIP: 233331BK2<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |    22930000 | PA      | $23510587.60  | 0.14%             | 2029-03-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| EAGLE FUNDING LUXCO SARL 144A                   | EAGLE FUNDING LUXCO SARL                                                        | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |    16640000 | PA      | $16913561.60  | 0.10%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EAGLE MATERIALS INC                             | EAGLE MATERIALS INC                                                             | CUSIP: 26969PAC2<br>LEI: 529900KRXRGXL61SG039 | Long             | DBT              | CORP              | US        |    11500000 | PA      | $11355203.50  | 0.07%             | 2036-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ECHOSTAR CORP                                   | ECHOSTAR CORP                                                                   | CUSIP: 278768AC0<br>LEI: 549300EE20907QZ9GT38 | Long             | DBT              | CORP              | US        |     7410000 | PA      | $8169525.00   | 0.05%             | 2029-11-30      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| EFMT 2025-INV1 A1 144A                          | EFMT 2025-INV1                                                                  | CUSIP: 26846XAA8<br>LEI: 2549005YTE90D77H8V23 | Long             | ABS-MBS          | CORP              | US        |     2913409 | PA      | $2936228.53   | 0.02%             | 2070-03-25      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| EFMT 2025-INV2 A1 144A                          | EFMT 2025-INV2                                                                  | CUSIP: 281914AA9<br>LEI: 254900ZO1GLQXE3JWX68 | Long             | ABS-MBS          | CORP              | US        |     7880783 | PA      | $7911116.67   | 0.05%             | 2070-05-26      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| EFMT 2025-INV4 A1F 144A                         | EFMT 2025-INV4                                                                  | CUSIP: 26846DAD6<br>LEI: 254900KQZEY4W9F3MX66 | Long             | ABS-MBS          | CORP              | US        |     2584876 | PA      | $2585266.72   | 0.02%             | 2070-10-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| EHGVT 2023-A A 144A                             | ELARA HGV TIMESHARE ISSUER 2023-A LLC                                           | CUSIP: 28415AAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4024600 | PA      | $4167603.23   | 0.02%             | 2038-02-25      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| EHGVT 2023-A B 144A                             | ELARA HGV TIMESHARE ISSUER 2023-A LLC                                           | CUSIP: 28415AAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3231157 | PA      | $3333030.97   | 0.02%             | 2038-02-25      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| ELEMENT FLEET MANAGEMENT 144A                   | ELEMENT FLEET MANAGEMENT CORP                                                   | CUSIP: 286181AP7<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |     6850000 | PA      | $7024346.20   | 0.04%             | 2030-03-25      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                             | ELEVANCE HEALTH INC                                                             | CUSIP: 036752BB8<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |     6955000 | PA      | $7088313.44   | 0.04%             | 2030-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| ELEVANCE HEALTH INC                             | ELEVANCE HEALTH INC                                                             | CUSIP: 28622HAC5<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |     8335000 | PA      | $7603695.44   | 0.05%             | 2053-02-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                             | ELEVANCE HEALTH INC                                                             | CUSIP: 036752BC6<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |     9295000 | PA      | $9505178.54   | 0.06%             | 2031-11-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                                  | ELI LILLY & CO                                                                  | CUSIP: 532457DF2<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |     5833000 | PA      | $6012994.71   | 0.04%             | 2055-10-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| ELISA OYJ                                       | ELISA OYJ                                                                       | CUSIP: ZI9670665<br>LEI: 743700TU2S3DXWGU7H32 | Long             | DBT              | CORP              | FI        |     1480000 | PA      | $1772169.14   | 0.01%             | 2029-01-27      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| EFMT 2021-3 A1 144A                             | ELLINGTON FINANCIAL MORTGAGE TRUST 2021-3                                       | CUSIP: 31573JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7459161 | PA      | $6328552.28   | 0.04%             | 2066-09-25      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| ELLUCIAN HOLDINGS INC TL B 1L BANKDEBT          | ELLUCIAN HOLDINGS INC                                                           | CUSIP: 28917XAB6<br>LEI: 549300RP8NIJ7FY7OS79 | Long             | LON              | CORP              | US        |    14637796 | PA      | $14673219.77  | 0.09%             | 2029-10-09      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| ELM20 2022-7A AR 144A                           | ELMWOOD CLO 20 LTD                                                              | CUSIP: 29002AAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    10910000 | PA      | $10931998.92  | 0.07%             | 2037-01-17      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| EMD FINANCE LLC 144A                            | EMD FINANCE LLC                                                                 | CUSIP: 26867LAQ3<br>LEI: 529900C8KS5G529A0B76 | Long             | DBT              | CORP              | US        |    24075000 | PA      | $24248749.28  | 0.15%             | 2032-10-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV 144A                       | ENEL FINANCE INTERNATIONAL NV                                                   | CUSIP: 29278GBF4<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |     2070000 | PA      | $2070726.57   | 0.01%             | 2028-09-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV 144A                       | ENEL FINANCE INTERNATIONAL NV                                                   | CUSIP: 29278GBH0<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |     8235000 | PA      | $8209496.21   | 0.05%             | 2035-09-30      | Fixed         | 5.00%                 | No            |                  2 | On Loan: —       |
| ENGIE SA 144A                                   | ENGIE SA                                                                        | CUSIP: 29286DAB1<br>LEI: LAXUQCHT4FH58LRZDY46 | Long             | DBT              | CORP              | FR        |     7835000 | PA      | $8237233.23   | 0.05%             | 2034-04-10      | Fixed         | 5.62%                 | No            |                  2 | On Loan: —       |
| ENGINEERED MACHINERY HOL                        | ENGINEERED MACHINERY HOL                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      250985 | PA      | $251925.76    | 0.00%             | 2032-11-22      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| DURAVANT TL B 1L/DD BANKDEBT STRIP              | ENGINEERED MACHINERY HOL                                                        | CUSIP: 26658NAT6<br>LEI: 5493008AR0NPSLW8EW07 | Long             | LON              | CORP              | US        |     2855212 | PA      | $2865918.86   | 0.02%             | 2032-11-22      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| ENI SPA 144A                                    | ENI SPA                                                                         | CUSIP: 26874RAQ1<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |     4005000 | PA      | $4185861.80   | 0.03%             | 2035-05-19      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| EFF 2024-1 A3 144A                              | ENTERPRISE FLEET FINANCING 2024-1 LLC                                           | CUSIP: 29375PAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    10280000 | PA      | $10464391.33  | 0.06%             | 2030-09-20      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| EFF 2024-3 A3 144A                              | ENTERPRISE FLEET FINANCING 2024-3 LLC                                           | CUSIP: 29375QAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     6525000 | PA      | $6613889.42   | 0.04%             | 2028-08-21      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| EFF 2024-3 A4 144A                              | ENTERPRISE FLEET FINANCING 2024-3 LLC                                           | CUSIP: 29375QAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4495000 | PA      | $4604245.13   | 0.03%             | 2031-03-20      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| ENDEAVOR TL B 1L BANKDEBT                       | EOC BORROWER LLC                                                                | CUSIP: 26875YAB8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     5456325 | PA      | $5476458.84   | 0.03%             | 2032-03-24      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                               | EOG RESOURCES INC                                                               | CUSIP: 26875PAZ4<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |    10940000 | PA      | $11346803.90  | 0.07%             | 2036-01-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                               | EOG RESOURCES INC                                                               | CUSIP: 26875PAY7<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |     6275000 | PA      | $6430130.55   | 0.04%             | 2032-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EPIC CRUDE SERVICES LP TL B 1L USD BANKDEBT     | EPIC CRUDE SERVICES LP                                                          | CUSIP: 29428XAJ9<br>LEI: 549300FRS682IQ7J9S42 | Long             | LON              | CORP              | US        |     4809662 | PA      | $4821686.53   | 0.03%             | 2031-10-15      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| EPICOR SOFTWARE CORP TL B 1L BANKDEBT           | EPICOR SOFTWARE CORP                                                            | CUSIP: 29426NAZ7<br>LEI: JGNXVGGGXR4O1L5I7S73 | Long             | LON              | CORP              | US        |    11880360 | PA      | $11912080.97  | 0.07%             | 2031-05-30      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| EQUITABLE AMERICA GLOBAL 144A                   | EQUITABLE AMERICA GLOBAL FUNDING                                                | CUSIP: 29446Q2E2<br>LEI: 98450066CCBIACF06694 | Long             | DBT              | CORP              | US        |     2775000 | PA      | $2765573.33   | 0.02%             | 2032-09-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| EQUITABLE AMERICA GLOBAL 144A                   | EQUITABLE AMERICA GLOBAL FUNDING                                                | CUSIP: 29446Q2B8<br>LEI: 98450066CCBIACF06694 | Long             | DBT              | CORP              | US        |     9900000 | PA      | $10095426.00  | 0.06%             | 2030-06-09      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| EQUITABLE AMERICA GLOBAL 144A                   | EQUITABLE AMERICA GLOBAL FUNDING                                                | CUSIP: 29446Q2C6<br>LEI: 98450066CCBIACF06694 | Long             | DBT              | CORP              | US        |     1135000 | PA      | $1134864.94   | 0.01%             | 2027-09-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| ESB FINANCE DAC                                 | ESB FINANCE DAC                                                                 | CUSIP: ZH0983853<br>LEI: 635400VCPRSU89DLMZ57 | Long             | DBT              | CORP              | IE        |     1470000 | PA      | $1763077.68   | 0.01%             | 2028-10-03      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ESSEX PORTFOLIO LP                              | ESSEX PORTFOLIO LP                                                              | CUSIP: 29717PAW7<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |    10099000 | PA      | $8797854.94   | 0.05%             | 2031-01-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                            | EUR/USD FWD 20260220 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $5642.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK                                   | EUR/USD FWD 20260220 DEUTGB2L                                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-498.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS SECURITIES LLC                              | EUR/USD FWD 20260220 UBSWGB2L                                                   | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |           1 | NC      | $23383.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO SECURITIES, LLC.                    | EUR/USD FWD 20260220 WFBIUS6W                                                   | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              | CORP              | US        |           1 | NC      | $3727.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OEZ5 EURO-BOBL FUTURE  DEC25                    | EURO-BOBL FUTURE  DEC25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | DE        |       -1243 | NC      | $-218106.88   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| IKZ5 EURO-BTP FUTURE   DEC25                    | EURO-BTP FUTURE   DEC25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | DE        |        -782 | NC      | $-2483350.95  | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| RXZ5 EURO-BUND FUTURE  DEC25                    | EURO-BUND FUTURE  DEC25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | DE        |        -508 | NC      | $-537125.74   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| EART 2022-1A D                                  | EXETER AUTOMOBILE RECEIVABLES TRUST 2022-1                                      | CUSIP: 30167JAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    17226204 | PA      | $17143790.75  | 0.10%             | 2028-06-15      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| EART 2023-1A D                                  | EXETER AUTOMOBILE RECEIVABLES TRUST 2023-1                                      | CUSIP: 30168BAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3250000 | PA      | $3304029.30   | 0.02%             | 2029-06-15      | Fixed         | 6.69%                 | No            |                  2 | On Loan: No      |
| EART 2025-5A A3                                 | EXETER AUTOMOBILE RECEIVABLES TRUST 2025-5                                      | CUSIP: 30166VAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     8135000 | PA      | $8146291.38   | 0.05%             | 2029-11-15      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| ESART 2025-3 A3                                 | EXETER SELECT AUTOMOBILE RECEIVABLES TRUST 2025-3                               | CUSIP: 30185FAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    11500000 | PA      | $11507966.05  | 0.07%             | 2030-12-16      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| EXPAND ENERGY CORP                              | EXPAND ENERGY CORP                                                              | CUSIP: 845467AR0<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |    11941000 | PA      | $11948678.06  | 0.07%             | 2029-02-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                          | EXTRA SPACE STORAGE LP                                                          | CUSIP: 30225VAU1<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |     6120000 | PA      | $6282094.32   | 0.04%             | 2035-06-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                          | EXTRA SPACE STORAGE LP                                                          | CUSIP: 30225VAV9<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |     2080000 | PA      | $2105415.52   | 0.01%             | 2033-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FNS 319 2                                       | FANNIE MAE INTEREST STRIP                                                       | CUSIP: 3136FAHB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14182 | PA      | $1700.73      | 0.00%             | 2032-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNS 435 C24                                     | FANNIE MAE INTEREST STRIP                                                       | CUSIP: 31424UAZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    19705337 | PA      | $2498280.86   | 0.01%             | 2052-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNS 444 C9                                      | FANNIE MAE INTEREST STRIP                                                       | CUSIP: 31424VC51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    32436539 | PA      | $5039685.56   | 0.03%             | 2052-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNS 426 C33                                     | FANNIE MAE INTEREST STRIP                                                       | CUSIP: 31422MZV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    27546875 | PA      | $2788141.79   | 0.02%             | 2051-01-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNS 444 C7                                      | FANNIE MAE INTEREST STRIP                                                       | CUSIP: 31424VC36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    28543765 | PA      | $3685785.01   | 0.02%             | 2052-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNS 444 C10                                     | FANNIE MAE INTEREST STRIP                                                       | CUSIP: 31424VC69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    18727846 | PA      | $3244937.32   | 0.02%             | 2052-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR TBA DEC                              | FANNIE MAE OR FREDDIE MAC                                                       | CUSIP: 01F0506C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    31655000 | PA      | $31587761.61  | 0.19%             | 2034-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR TBA DEC                              | FANNIE MAE OR FREDDIE MAC                                                       | CUSIP: 01F0206C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   154245000 | PA      | $125472776.27 | 0.75%             | 2050-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR TBA DEC                              | FANNIE MAE OR FREDDIE MAC                                                       | CUSIP: 01F0426C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    20585000 | PA      | $20149620.66  | 0.12%             | 2036-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR TBA DEC                              | FANNIE MAE OR FREDDIE MAC                                                       | CUSIP: 01F0406C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    38780000 | PA      | $36931578.06  | 0.22%             | 2040-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15 YR TBA DEC                              | FANNIE MAE OR FREDDIE MAC                                                       | CUSIP: 01F0204C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    72280000 | PA      | $66806265.23  | 0.40%             | 2027-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR TBA DEC                              | FANNIE MAE OR FREDDIE MAC                                                       | CUSIP: 01F0306C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    49540000 | PA      | $43992267.06  | 0.26%             | 2042-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR TBA DEC                              | FANNIE MAE OR FREDDIE MAC                                                       | CUSIP: 01F0226C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   147525000 | PA      | $125493915.98 | 0.75%             | 2044-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR TBA DEC                              | FANNIE MAE OR FREDDIE MAC                                                       | CUSIP: 01F0326C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    63515000 | PA      | $58741577.81  | 0.35%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419KKJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       53876 | PA      | $53099.05     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140FLK49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2645320 | PA      | $2424668.07   | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418AAH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1030209 | PA      | $1012173.17   | 0.01%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402CTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1087771 | PA      | $1136319.23   | 0.01%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QA3Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      701795 | PA      | $697760.41    | 0.00%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140Y7D21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    27017002 | PA      | $27488998.38  | 0.16%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA ARM                                        | FANNIE MAE POOL                                                                 | CUSIP: 31403DQN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       77584 | PA      | $79627.08     | 0.00%             | 2036-08-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402QYY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      118872 | PA      | $123750.64    | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31405N2B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      239621 | PA      | $242655.35    | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QS3D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    10220830 | PA      | $10301144.18  | 0.06%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402DP79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      730336 | PA      | $753221.63    | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DBY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      221100 | PA      | $228225.82    | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140X56K4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    11881394 | PA      | $11673474.82  | 0.07%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138LUTV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      929667 | PA      | $889102.41    | 0.01%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410WWU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       42156 | PA      | $44240.14     | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140FGNN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4449167 | PA      | $4065659.61   | 0.02%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QUD86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1463188 | PA      | $1523266.18   | 0.01%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XMB62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7999443 | PA      | $8322028.04   | 0.05%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ELN41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3270689 | PA      | $3122588.80   | 0.02%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403C6L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      132288 | PA      | $136118.08    | 0.00%             | 2036-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EPY73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      332774 | PA      | $341984.86    | 0.00%             | 2045-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31412NBD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      442137 | PA      | $466221.49    | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419AA64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8805 | PA      | $9298.58      | 0.00%             | 2039-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DWK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3595 | PA      | $3796.52      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EJ7A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      530773 | PA      | $560538.25    | 0.00%             | 2040-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417WUE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4188240 | PA      | $4237415.22   | 0.03%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418DVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    76377062 | PA      | $62629721.28  | 0.38%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138A4X75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2402 | PA      | $2424.78      | 0.00%             | 2041-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410GHN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       46121 | PA      | $48707.20     | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WPEG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      862469 | PA      | $817379.96    | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418NET3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       16950 | PA      | $17149.23     | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138X0Y36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      616074 | PA      | $571955.76    | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417DMU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2203579 | PA      | $2046018.62   | 0.01%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410KBJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      396390 | PA      | $413623.20    | 0.00%             | 2035-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138A6LY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1661934 | PA      | $1681447.19   | 0.01%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XQXX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6483023 | PA      | $6639349.29   | 0.04%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3138ERN71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5481738 | PA      | $5227684.10   | 0.03%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31371KVH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1543 | PA      | $1617.97      | 0.00%             | 2032-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RUW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      503477 | PA      | $525391.93    | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EJK80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2562932 | PA      | $2520713.33   | 0.02%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138A4XY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1954142 | PA      | $1922154.11   | 0.01%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140F0T87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1729614 | PA      | $1648770.26   | 0.01%             | 2044-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418FNJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7669234 | PA      | $7767853.46   | 0.05%             | 2055-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QDKJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2814074 | PA      | $2788037.96   | 0.02%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ENBE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1697758 | PA      | $1791805.16   | 0.01%             | 2044-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140XLXV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      653257 | PA      | $573815.46    | 0.00%             | 2042-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140N12A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4088324 | PA      | $4096510.69   | 0.02%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3138ERNR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6620316 | PA      | $6255711.66   | 0.04%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31413T3K6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18770 | PA      | $19583.03     | 0.00%             | 2037-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419A3K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      718636 | PA      | $758946.31    | 0.00%             | 2039-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31408GXB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10313 | PA      | $10757.89     | 0.00%             | 2036-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31411CNU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8542 | PA      | $8979.04      | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EGE83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3946711 | PA      | $3996284.95   | 0.02%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31412SEE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       31050 | PA      | $32800.02     | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31412V4C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         166 | PA      | $172.34       | 0.00%             | 2037-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140XHCV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2653882 | PA      | $2621025.84   | 0.02%             | 2037-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QNDF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     8325727 | PA      | $6797910.51   | 0.04%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RFW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      189007 | PA      | $192072.50    | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403C5F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       25706 | PA      | $26767.09     | 0.00%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EPW42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      937153 | PA      | $988674.48    | 0.01%             | 2038-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140X4TB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4544823 | PA      | $4158619.59   | 0.02%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418ELV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6469835 | PA      | $6189055.90   | 0.04%             | 2052-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XPDH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     8415900 | PA      | $8413824.19   | 0.05%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J9HW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3971064 | PA      | $3654648.07   | 0.02%             | 2047-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EGNC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      941107 | PA      | $993886.35    | 0.01%             | 2039-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31413HDE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         593 | PA      | $611.91       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EHVS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1320451 | PA      | $1333380.34   | 0.01%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ENW39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      767217 | PA      | $810223.92    | 0.00%             | 2039-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DWU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      352535 | PA      | $367897.31    | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31418EDG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3808586 | PA      | $3520195.57   | 0.02%             | 2037-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138A46Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1737434 | PA      | $1708812.69   | 0.01%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31413NMA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1429 | PA      | $1498.22      | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3138Y3YF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      922670 | PA      | $908922.19    | 0.01%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EGKX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       96636 | PA      | $102056.32    | 0.00%             | 2040-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140MGSE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       36753 | PA      | $31424.54     | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QUZY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      620941 | PA      | $640046.27    | 0.00%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RDF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       97319 | PA      | $102482.47    | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140FXGG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5951633 | PA      | $5920980.97   | 0.04%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3138WD5K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      529363 | PA      | $518435.36    | 0.00%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DUL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      254312 | PA      | $265389.43    | 0.00%             | 2036-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417DMV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5107884 | PA      | $4743729.62   | 0.03%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ENBH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3047676 | PA      | $2910893.02   | 0.02%             | 2043-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418DZW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    25064373 | PA      | $21478756.09  | 0.13%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XGVC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     9364828 | PA      | $9648313.79   | 0.06%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416BXR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      504986 | PA      | $526969.08    | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XHY92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1157416 | PA      | $990268.52    | 0.01%             | 2052-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410PAV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       21613 | PA      | $22447.69     | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419FFW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5671518 | PA      | $5578091.61   | 0.03%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138X3XX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6163478 | PA      | $6049172.45   | 0.04%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ETUK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3908868 | PA      | $3733517.17   | 0.02%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QNQ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       62414 | PA      | $58154.85     | 0.00%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ERDM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5065710 | PA      | $5085624.38   | 0.03%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QM4Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    14837545 | PA      | $12792898.63  | 0.08%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140XBWT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15470 | PA      | $14353.85     | 0.00%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138X53G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1232239 | PA      | $1165502.13   | 0.01%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EG3M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4021643 | PA      | $3954562.97   | 0.02%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418ECQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    13402287 | PA      | $11463947.71  | 0.07%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QUWR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4444940 | PA      | $4571276.48   | 0.03%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419DL74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7785317 | PA      | $7868738.85   | 0.05%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31413QM70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       27166 | PA      | $28580.26     | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416CGK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       69379 | PA      | $71490.12     | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XGEQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    14210677 | PA      | $13969169.54  | 0.08%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417CGY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2740318 | PA      | $2620758.78   | 0.02%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EKEW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      412173 | PA      | $428857.94    | 0.00%             | 2039-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31385JJC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      297955 | PA      | $313527.25    | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RAC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       37537 | PA      | $38576.56     | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EEZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     9343596 | PA      | $7636122.14   | 0.05%             | 2052-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QT2T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    13895793 | PA      | $14231845.99  | 0.09%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QC4X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6912640 | PA      | $6220284.39   | 0.04%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418UEK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3182652 | PA      | $3278987.33   | 0.02%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QMTP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    40047129 | PA      | $33074453.39  | 0.20%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402DJS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11519 | PA      | $11876.29     | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EZM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    16208229 | PA      | $16618169.53  | 0.10%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31390MFQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       42390 | PA      | $43847.09     | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EHFB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1124947 | PA      | $1108038.80   | 0.01%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WZWA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1437732 | PA      | $1371430.68   | 0.01%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EJN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4606468 | PA      | $3939782.97   | 0.02%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RSN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      446402 | PA      | $459049.63    | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402DGM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      134157 | PA      | $139994.00    | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31418ED98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     8445844 | PA      | $7806280.46   | 0.05%             | 2037-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31371NEW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         340 | PA      | $359.06       | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418D7F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2555212 | PA      | $2187800.65   | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419AK30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      110702 | PA      | $111384.60    | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31408JR78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      132488 | PA      | $139112.52    | 0.00%             | 2036-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140JACE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     8375548 | PA      | $7776163.57   | 0.05%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410FYU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      344302 | PA      | $358719.38    | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA ARM                                        | FANNIE MAE POOL                                                                 | CUSIP: 31403DQ69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      148223 | PA      | $152616.27    | 0.00%             | 2036-07-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RFV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      630947 | PA      | $642163.68    | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XRVV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       79796 | PA      | $82737.42     | 0.00%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DPM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19366 | PA      | $20275.37     | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QUHG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    24391975 | PA      | $24781777.64  | 0.15%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DDX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       95265 | PA      | $99413.90     | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ENXG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      875787 | PA      | $902309.51    | 0.01%             | 2042-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31408F7B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       29114 | PA      | $30274.56     | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31413CBU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12723 | PA      | $13355.89     | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410XBC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8124 | PA      | $8523.66      | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XLVH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      184535 | PA      | $187541.73    | 0.00%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410FU37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       74859 | PA      | $78119.73     | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418MP30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      678134 | PA      | $716174.10    | 0.00%             | 2039-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ABBZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       46298 | PA      | $46737.59     | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418MPU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      376719 | PA      | $397816.12    | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410GRD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3460220 | PA      | $3557133.99   | 0.02%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140J5UV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5317557 | PA      | $5203927.00   | 0.03%             | 2036-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418MKV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       93975 | PA      | $97987.00     | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410TY82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3125 | PA      | $3300.39      | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140MAXK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      253726 | PA      | $234514.67    | 0.00%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140W0BS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      831305 | PA      | $852348.75    | 0.01%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140N0UW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1590859 | PA      | $1594975.64   | 0.01%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138A2AX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1220548 | PA      | $1188645.32   | 0.01%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DH77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      164714 | PA      | $174406.75    | 0.00%             | 2036-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31418ECD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     9670681 | PA      | $8938514.85   | 0.05%             | 2037-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416BTB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      169313 | PA      | $174109.55    | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31413NJQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       22198 | PA      | $23189.70     | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31413F5B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       22201 | PA      | $22963.71     | 0.00%             | 2037-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418M2S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      612068 | PA      | $646360.59    | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J95S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3727216 | PA      | $3560075.68   | 0.02%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QVLJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5299775 | PA      | $5424825.13   | 0.03%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403C6U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      627583 | PA      | $654909.48    | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WGA61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2852245 | PA      | $2721486.25   | 0.02%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EKHJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2750614 | PA      | $2702453.84   | 0.02%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DPZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      161089 | PA      | $165820.07    | 0.00%             | 2036-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416VKM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      184850 | PA      | $195202.30    | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410G7K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      163426 | PA      | $168327.25    | 0.00%             | 2036-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31409HDV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7190 | PA      | $7610.91      | 0.00%             | 2036-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QUM94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1560706 | PA      | $1598451.09   | 0.01%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QCXQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      806339 | PA      | $797881.41    | 0.00%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418D2M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    16477248 | PA      | $14120048.52  | 0.08%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417GH25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2150442 | PA      | $1996452.00   | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J7QA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1523221 | PA      | $1517917.78   | 0.01%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DWG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2166 | PA      | $2255.29      | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418BWU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      846718 | PA      | $823067.14    | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140XGNX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1411729 | PA      | $1345775.60   | 0.01%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140Y6U57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    36935114 | PA      | $38346800.92  | 0.23%             | 2055-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J9CU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4579258 | PA      | $4348121.02   | 0.03%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QT2Q1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6360843 | PA      | $6489032.64   | 0.04%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417YR82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1354 | PA      | $1368.81      | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140Q9NZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1039149 | PA      | $1033570.48   | 0.01%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410GFF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      261505 | PA      | $272893.03    | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31412SEK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       39776 | PA      | $41798.27     | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31385W2S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       97987 | PA      | $101783.21    | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DDJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       35214 | PA      | $35776.53     | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3138YTK86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      692595 | PA      | $680076.04    | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QMHX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1168975 | PA      | $1016199.67   | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138E2K53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1221705 | PA      | $1200316.70   | 0.01%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ERTV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     9267824 | PA      | $8468935.80   | 0.05%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410S4H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         772 | PA      | $805.80       | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417YUH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2722075 | PA      | $2677797.94   | 0.02%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XGYQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7931875 | PA      | $6600188.69   | 0.04%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402Q6T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      467637 | PA      | $480587.19    | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XNHW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    20534417 | PA      | $21282390.13  | 0.13%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410FSK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       28527 | PA      | $29329.54     | 0.00%             | 2036-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416XBY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      261826 | PA      | $264389.36    | 0.00%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QLPR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    20250752 | PA      | $17401723.49  | 0.10%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31383JHB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         138 | PA      | $143.93       | 0.00%             | 2029-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140MGE98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       88223 | PA      | $79173.69     | 0.00%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140X9DE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    12096131 | PA      | $11229618.37  | 0.07%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140NLSV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4563921 | PA      | $4573723.40   | 0.03%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31385JJF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17809 | PA      | $18665.12     | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RJL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      140195 | PA      | $142622.79    | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QUXA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    10553230 | PA      | $10853179.82  | 0.07%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140XJB93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7496629 | PA      | $6574104.95   | 0.04%             | 2042-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EAM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    15465902 | PA      | $12661571.84  | 0.08%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DP52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7941 | PA      | $8315.51      | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XHXF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6257245 | PA      | $5402854.38   | 0.03%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417YW45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10424 | PA      | $10525.00     | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419BCW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17057 | PA      | $17222.44     | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140QCNB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5799184 | PA      | $5634519.81   | 0.03%             | 2034-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XKG61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    17238335 | PA      | $17964475.16  | 0.11%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419AX44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1871290 | PA      | $1890188.79   | 0.01%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416CJV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      324858 | PA      | $343076.44    | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ABBY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5781 | PA      | $5836.17      | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31411ARB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       58812 | PA      | $61799.65     | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410KJJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       96433 | PA      | $100590.49    | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417DF99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2979022 | PA      | $2766639.14   | 0.02%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419AL70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      633730 | PA      | $669276.03    | 0.00%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417NB34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       29604 | PA      | $29976.05     | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EGFA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3032357 | PA      | $3057884.62   | 0.02%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140LQPU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1547951 | PA      | $1431695.24   | 0.01%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418AK31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1631313 | PA      | $1558121.80   | 0.01%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31413CBE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3870 | PA      | $4055.74      | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140X7CA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6486176 | PA      | $6274384.54   | 0.04%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XCP51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6328878 | PA      | $6520598.11   | 0.04%             | 2044-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DE70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2073 | PA      | $2188.97      | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XA2E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    17810823 | PA      | $16105769.90  | 0.10%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416BN53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1759 | PA      | $1830.75      | 0.00%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31418EAV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    17974134 | PA      | $15288183.15  | 0.09%             | 2042-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416BN61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      140855 | PA      | $145313.26    | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EPW34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      676093 | PA      | $713959.16    | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138LXQH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2000871 | PA      | $1913565.80   | 0.01%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31371MXX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       27275 | PA      | $28931.25     | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416TMF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      422361 | PA      | $427665.17    | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QNEW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    18519208 | PA      | $15340445.04  | 0.09%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418DQ88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1005304 | PA      | $864106.99    | 0.01%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417KXK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      614025 | PA      | $621735.54    | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410WX37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7156 | PA      | $7488.70      | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31413CB24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5672 | PA      | $5947.49      | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QMZC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    27607309 | PA      | $23860215.74  | 0.14%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ERT59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7012358 | PA      | $6876594.75   | 0.04%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140FGMN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7071943 | PA      | $6482028.72   | 0.04%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31413LPV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       30229 | PA      | $31785.87     | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RFU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      254398 | PA      | $258908.36    | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3138WEMN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1092379 | PA      | $1063900.10   | 0.01%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419AF69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      621690 | PA      | $648235.47    | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419BBT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    12698289 | PA      | $12489113.53  | 0.07%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418SQ77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      577187 | PA      | $594660.35    | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QEJ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     9723404 | PA      | $8054820.06   | 0.05%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA ARM                                        | FANNIE MAE POOL                                                                 | CUSIP: 31408DVP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       56842 | PA      | $57403.33     | 0.00%             | 2035-12-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410FY90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1637 | PA      | $1703.11      | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138MBKY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1713935 | PA      | $1637031.90   | 0.01%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31409V5T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8765 | PA      | $9166.17      | 0.00%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EKF59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1501053 | PA      | $1517137.54   | 0.01%             | 2041-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QS4E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7378598 | PA      | $7573273.18   | 0.05%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XH4E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2455747 | PA      | $2475445.54   | 0.01%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140X7VE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1722109 | PA      | $1772261.21   | 0.01%             | 2047-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138AJNH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      599333 | PA      | $605078.48    | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31368HML4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         248 | PA      | $258.84       | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418NZW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       32715 | PA      | $33098.71     | 0.00%             | 2040-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QNQF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    23125399 | PA      | $18876474.41  | 0.11%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418DWR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    53713107 | PA      | $44030821.92  | 0.26%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3138LY2J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      206234 | PA      | $204339.36    | 0.00%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31414KE30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       69262 | PA      | $72444.79     | 0.00%             | 2038-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EJL48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      760094 | PA      | $766913.59    | 0.00%             | 2042-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410KT87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       51478 | PA      | $54362.32     | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140J9VD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2797397 | PA      | $2735871.57   | 0.02%             | 2033-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410KC93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      210925 | PA      | $222739.86    | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402C3Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      204115 | PA      | $211919.96    | 0.00%             | 2034-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QEYY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    40458081 | PA      | $35269527.83  | 0.21%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ELB36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1605500 | PA      | $1532966.04   | 0.01%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417GP67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18950 | PA      | $17593.08     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140W3GH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7719599 | PA      | $7854253.61   | 0.05%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3138EPXJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2399869 | PA      | $2360554.89   | 0.01%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31413HLH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10324 | PA      | $10893.84     | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EB90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19461 | PA      | $16650.92     | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410VJJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6684 | PA      | $7064.05      | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140X86M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      532481 | PA      | $532382.51    | 0.00%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31411GGW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      101605 | PA      | $105848.15    | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417Y5Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      278632 | PA      | $281046.25    | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419BCX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      159609 | PA      | $161253.69    | 0.00%             | 2041-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QVAM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    20977692 | PA      | $21664027.05  | 0.13%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410KJ39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      412568 | PA      | $424428.17    | 0.00%             | 2036-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EAN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7900253 | PA      | $6776485.42   | 0.04%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140E0E35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6146304 | PA      | $5837923.41   | 0.03%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138MFSZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      745743 | PA      | $692810.92    | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410LHS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      288644 | PA      | $292270.29    | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410PAZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6041 | PA      | $6311.91      | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140F5C35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5231323 | PA      | $4780399.06   | 0.03%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417NCE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19150 | PA      | $19386.43     | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140EVJC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3160249 | PA      | $2987788.65   | 0.02%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QQ3C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    14435656 | PA      | $14727430.98  | 0.09%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   130878068 | PA      | $107064768.53 | 0.64%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DBD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      398254 | PA      | $409537.81    | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EMYW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       90859 | PA      | $92361.03     | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402C4G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      138549 | PA      | $142670.73    | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WBQ57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2660011 | PA      | $2666089.39   | 0.02%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3138EKAT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      429050 | PA      | $424879.84    | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416BNN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      499384 | PA      | $529830.79    | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DMM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       20378 | PA      | $21439.15     | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418TJF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      547431 | PA      | $564007.67    | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                            | FANNIE MAE POOL                                                                 | CUSIP: 31404KHA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17116 | PA      | $17332.49     | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419AHX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       99683 | PA      | $105270.84    | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EBR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    12424688 | PA      | $10167907.96  | 0.06%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31411ETV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2872 | PA      | $3011.18      | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140QNRX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      416501 | PA      | $396588.21    | 0.00%             | 2037-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA ARM                                        | FANNIE MAE POOL                                                                 | CUSIP: 31413MUF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       40543 | PA      | $41459.99     | 0.00%             | 2037-09-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6982773 | PA      | $5725922.67   | 0.03%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418ET67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    24016068 | PA      | $24404955.02  | 0.15%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XH2F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2652985 | PA      | $2307446.86   | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J8ZH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4569548 | PA      | $4560179.34   | 0.03%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138A5BP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      259424 | PA      | $255070.39    | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31406KJW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1180 | PA      | $1231.47      | 0.00%             | 2035-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140XCV21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7225967 | PA      | $6710586.76   | 0.04%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418ES68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    20891155 | PA      | $21445450.96  | 0.13%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410KJT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      728618 | PA      | $769438.69    | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EGVB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       46591 | PA      | $47891.76     | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EGH56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18587 | PA      | $18866.07     | 0.00%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31412AWL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10907 | PA      | $11505.63     | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31405ULZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15795 | PA      | $16628.21     | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417CGZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1041714 | PA      | $996266.64    | 0.01%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138MQX99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4743477 | PA      | $4530616.78   | 0.03%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QNDJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    21861551 | PA      | $18894243.81  | 0.11%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138A8YF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       22920 | PA      | $23148.84     | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31414ALP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       32157 | PA      | $33544.29     | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QMCC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    44120209 | PA      | $38041160.26  | 0.23%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WFK39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4061143 | PA      | $3858647.78   | 0.02%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140LQPW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      618263 | PA      | $587787.19    | 0.00%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31409ADV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       22646 | PA      | $23913.73     | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31413BPJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7783 | PA      | $8187.72      | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ENF87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      137914 | PA      | $142107.13    | 0.00%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418ECP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    13024616 | PA      | $10644457.20  | 0.06%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XKX39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6112986 | PA      | $6077517.94   | 0.04%             | 2051-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EP38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7575629 | PA      | $7705093.89   | 0.05%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410YWF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       28251 | PA      | $29493.62     | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QCLD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      348906 | PA      | $337283.64    | 0.00%             | 2049-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EH7F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      815926 | PA      | $861690.82    | 0.01%             | 2042-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QNQS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      591708 | PA      | $506080.95    | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EMS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1061089 | PA      | $1064437.27   | 0.01%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31413HK56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3298 | PA      | $3443.78      | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QUNB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7820050 | PA      | $7947821.10   | 0.05%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WJNN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3330258 | PA      | $3150814.88   | 0.02%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ERCZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3604445 | PA      | $3541337.81   | 0.02%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31411CKC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7189 | PA      | $7516.87      | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31384DTJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         519 | PA      | $542.94       | 0.00%             | 2029-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XHK97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2633944 | PA      | $2588363.20   | 0.02%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140LQRX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19309 | PA      | $17858.97     | 0.00%             | 2037-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RFT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      237550 | PA      | $244130.88    | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140FMQW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      487775 | PA      | $447028.34    | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140MHSH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    14607702 | PA      | $12504178.98  | 0.07%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ELX73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1431434 | PA      | $1445006.57   | 0.01%             | 2042-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417SBL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      315024 | PA      | $318916.64    | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31412P2U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      246233 | PA      | $249324.91    | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419ADK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      598703 | PA      | $624771.79    | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140XG3C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2742702 | PA      | $2749282.16   | 0.02%             | 2035-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31408F7A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       64174 | PA      | $67122.30     | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140KQFJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18928 | PA      | $17601.66     | 0.00%             | 2035-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XGRW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      705252 | PA      | $678385.10    | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31416CKF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      325261 | PA      | $343498.27    | 0.00%             | 2039-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402RJN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      114008 | PA      | $115808.96    | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31371K7E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      237826 | PA      | $241894.35    | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417YVG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      691608 | PA      | $680072.00    | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140MMT73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1144609 | PA      | $975768.14    | 0.01%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DD97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      765010 | PA      | $798315.42    | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QDEN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      305858 | PA      | $276605.37    | 0.00%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417CNZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2402927 | PA      | $2298083.86   | 0.01%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EAQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    12451539 | PA      | $11591980.40  | 0.07%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419JSV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2101888 | PA      | $2122899.93   | 0.01%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31418EBD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    22203168 | PA      | $20014010.57  | 0.12%             | 2037-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31391LAN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       71908 | PA      | $73566.71     | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418MG63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      379668 | PA      | $400685.01    | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418EKS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1148411 | PA      | $1100163.45   | 0.01%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410F3D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       25810 | PA      | $27380.05     | 0.00%             | 2037-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DGY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      299185 | PA      | $307785.90    | 0.00%             | 2036-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QRKQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    18812201 | PA      | $19595209.51  | 0.12%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140XCBF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3618423 | PA      | $3573687.00   | 0.02%             | 2035-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ARBE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1098106 | PA      | $1078879.29   | 0.01%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138A7QM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1937261 | PA      | $1905548.15   | 0.01%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31376KL53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      266349 | PA      | $277611.82    | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WMW49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1180055 | PA      | $1126377.08   | 0.01%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410KHU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      438339 | PA      | $457421.97    | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140A0AH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4861311 | PA      | $4930218.17   | 0.03%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417GTZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      994421 | PA      | $949395.20    | 0.01%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140J6C47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1534963 | PA      | $1489394.50   | 0.01%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EKLE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      568833 | PA      | $543311.43    | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DGZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14156 | PA      | $14773.10     | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EPZP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      237852 | PA      | $238885.84    | 0.00%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WJMU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    13368685 | PA      | $12253523.20  | 0.07%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410F5C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      454331 | PA      | $467203.64    | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EJRA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      991779 | PA      | $1000575.99   | 0.01%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31406CLH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      187202 | PA      | $192192.69    | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WJNB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3897622 | PA      | $3579743.46   | 0.02%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31413LAZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4661 | PA      | $4821.43      | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402Q6Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      249858 | PA      | $257150.59    | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140F9WP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1240270 | PA      | $1136807.06   | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140Y67K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    16930915 | PA      | $17617294.62  | 0.11%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31409BDN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1446 | PA      | $1527.14      | 0.00%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410KGP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      186896 | PA      | $197363.17    | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31413MB63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6727 | PA      | $7118.11      | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QLM60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4858711 | PA      | $4172252.24   | 0.03%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31411VFV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       84130 | PA      | $88061.46     | 0.00%             | 2037-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138E0Q93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      471825 | PA      | $454159.34    | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ETGU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2549353 | PA      | $2433100.54   | 0.01%             | 2044-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140W3RE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3215481 | PA      | $3335374.19   | 0.02%             | 2055-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EPY99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      449919 | PA      | $462365.81    | 0.00%             | 2045-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J8VP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5635030 | PA      | $5231696.22   | 0.03%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138A4AM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      573873 | PA      | $564479.06    | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31376KML7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         673 | PA      | $710.79       | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XFY70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    15734764 | PA      | $13093089.91  | 0.08%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XALH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     9192041 | PA      | $9148646.65   | 0.05%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418ES43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4397685 | PA      | $4411563.00   | 0.03%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EHWG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3384320 | PA      | $3329270.60   | 0.02%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140W3PV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    15372449 | PA      | $15627558.87  | 0.09%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QTEF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     9505689 | PA      | $9746819.55   | 0.06%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QEAQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7849644 | PA      | $6990700.24   | 0.04%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31374TFV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         344 | PA      | $355.86       | 0.00%             | 2028-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410GGR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11353 | PA      | $11989.16     | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31371LWU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      100839 | PA      | $105151.33    | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ERTY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     8382339 | PA      | $7989348.41   | 0.05%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410KJY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1272534 | PA      | $1343889.82   | 0.01%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140BE7L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      515061 | PA      | $537910.20    | 0.00%             | 2055-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418CJA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4290293 | PA      | $3909150.62   | 0.02%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418ET59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    20624570 | PA      | $20671580.45  | 0.12%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417LCP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       38749 | PA      | $39235.55     | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31412NFD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      193539 | PA      | $204390.43    | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XJDK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      394349 | PA      | $337480.31    | 0.00%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140J9YQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1219841 | PA      | $1165096.89   | 0.01%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WKHN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      354555 | PA      | $329247.50    | 0.00%             | 2044-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140NGTB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6063968 | PA      | $6068284.76   | 0.04%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418DYY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5814610 | PA      | $4984015.90   | 0.03%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138WAXP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      160960 | PA      | $161460.89    | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EM5Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      486621 | PA      | $494491.52    | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31418EFE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4756029 | PA      | $4395881.27   | 0.03%             | 2037-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140MFYA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2916202 | PA      | $2758524.68   | 0.02%             | 2037-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EJSU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1791062 | PA      | $1759702.22   | 0.01%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31385XBF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       78662 | PA      | $80864.40     | 0.00%             | 2033-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31419JSM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1059415 | PA      | $1042182.36   | 0.01%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140Y6W48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    20787248 | PA      | $21433062.78  | 0.13%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410LC26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      141669 | PA      | $143157.46    | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140X9DD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5132757 | PA      | $4689517.78   | 0.03%             | 2049-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 20 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31371NH99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5503 | PA      | $5692.35      | 0.00%             | 2027-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418MGP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      425722 | PA      | $449605.55    | 0.00%             | 2039-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418WPP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      405728 | PA      | $409909.35    | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QVGT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1592451 | PA      | $1618797.88   | 0.01%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31418ECU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     9235802 | PA      | $8536504.70   | 0.05%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140QNZL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5397973 | PA      | $5103118.21   | 0.03%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410TAK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3232 | PA      | $3371.80      | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138W9NY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2888575 | PA      | $2681694.09   | 0.02%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140XHHM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2208849 | PA      | $2042973.33   | 0.01%             | 2037-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140XKQG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6290539 | PA      | $5946929.07   | 0.04%             | 2038-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31411ADF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14780 | PA      | $15469.37     | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                            | FANNIE MAE POOL                                                                 | CUSIP: 31409AF53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5353 | PA      | $5652.54      | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31371NGH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         772 | PA      | $815.74       | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 31418EDF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6767909 | PA      | $6102513.49   | 0.04%             | 2037-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31402DCV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       88861 | PA      | $90178.76     | 0.00%             | 2034-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140J9VB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7764820 | PA      | $7613690.08   | 0.05%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31368HMT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      732287 | PA      | $773294.92    | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31409TS58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5772 | PA      | $5970.38      | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410UPY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       48834 | PA      | $50597.46     | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31410GWA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       56949 | PA      | $57860.52     | 0.00%             | 2034-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QHHL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    18262074 | PA      | $16506524.11  | 0.10%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140XJKB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2232786 | PA      | $2063717.67   | 0.01%             | 2037-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FANNIE MAE POOL                                                                 | CUSIP: 3140J7SA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4308449 | PA      | $4276220.77   | 0.03%             | 2032-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140XKXM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4289947 | PA      | $3686396.60   | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31403DSH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4341 | PA      | $4594.79      | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EHRP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      645238 | PA      | $651688.29    | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31417FU22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    12899836 | PA      | $11976144.84  | 0.07%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140QCCH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2595452 | PA      | $2504525.33   | 0.02%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138ERA59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      527090 | PA      | $508297.89    | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3140N5LL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       30017 | PA      | $30069.61     | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31371LDG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      135093 | PA      | $137418.00    | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 31418DV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    26432054 | PA      | $21671649.17  | 0.13%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FANNIE MAE POOL                                                                 | CUSIP: 3138EQCM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      565679 | PA      | $582788.67    | 0.00%             | 2044-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNR 2020-62 AI                                  | FANNIE MAE REMICS                                                               | CUSIP: 3136BBXG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    11421749 | PA      | $1925130.02   | 0.01%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNR 2023-2 EI                                   | FANNIE MAE REMICS                                                               | CUSIP: 3136BPVA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    16669920 | PA      | $2582862.40   | 0.02%             | 2051-04-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNR 2020-75 WI                                  | FANNIE MAE REMICS                                                               | CUSIP: 3136BCJC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    55956680 | PA      | $9490991.59   | 0.06%             | 2050-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FERGUSON ENTERPRISES INC                        | FERGUSON ENTERPRISES INC                                                        | CUSIP: 31488VAA5<br>LEI: 2138003JYQMRP3SLX189 | Long             | DBT              | CORP              | US        |     2245000 | PA      | $2270161.96   | 0.01%             | 2034-10-03      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FERGUSON ENTERPRISES INC                        | FERGUSON ENTERPRISES INC                                                        | CUSIP: 31488VAB3<br>LEI: 2138003JYQMRP3SLX189 | Long             | DBT              | CORP              | US        |     5575000 | PA      | $5560700.13   | 0.03%             | 2031-03-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| FERRARI NV                                      | FERRARI NV                                                                      | CUSIP: YX0724154<br>LEI: 549300RIVY5EX8RCON76 | Long             | DBT              | CORP              | NL        |     7090000 | PA      | $8428275.56   | 0.05%             | 2030-05-21      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                            | FI TRS REC APODS 6.7 31 02/23/26 CHAS_C                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |           1 | NC      | $90324.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                            | FI TRS REC ARCC 5.1 31 02/23/26 CHAS_C                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |           1 | NC      | $96482.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                            | FI TRS REC ARCC 5.8 32 02/23/26 CHAS_C                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |           1 | NC      | $23891.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                            | FI TRS REC ARESSI 5.8 30 02/23/26 CHAS_C                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |           1 | NC      | $20821.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                            | FI TRS REC BCSF 5.95 30 02/23/26 CHAS_C                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |           1 | NC      | $18221.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                            | FI TRS REC BXSL 5.125 31 02/23/26 CHAS_C                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |           1 | NC      | $24376.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                            | FI TRS REC CGBD 5.75 31 02/23/26 CHAS_C                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |           1 | NC      | $15899.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                            | FI TRS REC GSCRED 5.875 31 02/23/26 CHAS_C                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |           1 | NC      | $8913.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                            | FI TRS REC HLEND 5.45 30 02/23/26 CHAS_C                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |           1 | NC      | $31749.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                            | FI TRS REC HTGC 6 30 02/23/26 CHAS_C                                            | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |           1 | NC      | $43005.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                            | FI TRS REC OBDC 5.95 29 02/23/26 CHAS_C                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |           1 | NC      | $94334.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                            | FI TRS REC OBDC 6.2 30 02/23/26 CHAS_C                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |           1 | NC      | $194611.74    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                            | FI TRS REC OCINCC 5.8 30 02/23/26 CHAS_C                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |           1 | NC      | $34561.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                            | FI TRS REC OCINCC 5.8 30 02/23/26 CHAS_C                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |           1 | NC      | $34760.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                            | FI TRS REC OCINCC 6.6 29 02/23/26 CHAS_C                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |           1 | NC      | $36921.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                            | FI TRS REC OCINCC 6.6 29 02/23/26 CHAS_C                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |           1 | NC      | $36704.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                            | FI TRS REC OCINCC 6.65 31 02/23/26 CHAS_C                                       | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |           1 | NC      | $46677.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIEMEX ENERGIA - BANC AC 144A                   | FIEMEX ENERGIA - BANCO ACTINVER SA INSTITUCION DE BANCA MULTIPLE                | CUSIP: 05974EAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |    11593889 | PA      | $12137874.19  | 0.07%             | 2041-01-31      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| FILTRATION GROUP TL B 1L BANKDEBT               | FILTRATION GROUP CORP                                                           | CUSIP: 31732FAX4<br>LEI: 549300ZA0D9WN5ECE978 | Long             | LON              | CORP              | US        |     5036951 | PA      | $5064654.13   | 0.03%             | 2028-10-23      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| FIRST AMERICAN FINANCIAL                        | FIRST AMERICAN FINANCIAL CORP                                                   | CUSIP: 31847RAH5<br>LEI: 549300B6VEZK3N0A1P55 | Long             | DBT              | CORP              | US        |    15000000 | PA      | $13149075.00  | 0.08%             | 2031-08-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                | FIRSTENERGY CORP                                                                | CUSIP: 337932AP2<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |     2840000 | PA      | $2571276.36   | 0.02%             | 2030-09-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                | FIRSTENERGY CORP                                                                | CUSIP: 337932AL1<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |    15341000 | PA      | $14240528.71  | 0.09%             | 2030-03-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY TRANSMISSION                        | FIRSTENERGY TRANSMISSION LLC                                                    | CUSIP: 33767BAH2<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |     5680000 | PA      | $5694501.04   | 0.03%             | 2035-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                      | FISERV INC                                                                      | CUSIP: 337738BP2<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |    25550000 | PA      | $25259113.25  | 0.15%             | 2031-02-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FIVE CORNERS FND TR II 144A                     | FIVE CORNERS FUNDING TRUST II                                                   | CUSIP: 33834DAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2031000 | PA      | $1913567.58   | 0.01%             | 2030-05-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| FSMT 2018-6RR 2A4 144A                          | FLAGSTAR MORTGAGE TRUST 2018-6RR                                                | CUSIP: 33851FAP2<br>LEI: 549300H3PON1KOB2RF56 | Long             | ABS-MBS          | CORP              | US        |      409472 | PA      | $403420.08    | 0.00%             | 2048-09-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FSMT 2020-1INV A11 144A                         | FLAGSTAR MORTGAGE TRUST 2020-1NV                                                | CUSIP: 33851YAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3033840 | PA      | $2904794.10   | 0.02%             | 2050-03-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FSMT 2021-8INV A18 144A                         | FLAGSTAR MORTGAGE TRUST 2021-8INV                                               | CUSIP: 33852HAP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7535733 | PA      | $6300566.23   | 0.04%             | 2051-09-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FLUTTER TREASURY DAC 144A                       | FLUTTER TREASURY DAC                                                            | CUSIP: 344045AB5<br>LEI: 635400JE8VLL9UFVIC38 | Long             | DBT              | CORP              | IE        |     2470000 | PA      | $2492904.31   | 0.01%             | 2031-06-04      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FORDL 2023-B C                                  | FORD CREDIT AUTO LEASE TRUST 2023-B                                             | CUSIP: 34529NAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     9545000 | PA      | $9605458.03   | 0.06%             | 2027-04-15      | Fixed         | 6.43%                 | No            |                  2 | On Loan: No      |
| FORDL 2023-B D                                  | FORD CREDIT AUTO LEASE TRUST 2023-B                                             | CUSIP: 34529NAH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     7830000 | PA      | $7900131.74   | 0.05%             | 2028-06-15      | Fixed         | 6.97%                 | No            |                  2 | On Loan: No      |
| FORDR 2023-1 A 144A                             | FORD CREDIT AUTO OWNER TRUST 2023-REV1                                          | CUSIP: 34535QAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    33720000 | PA      | $34364881.51  | 0.21%             | 2035-08-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| FORDF 2025-2 A1                                 | FORD CREDIT FLOORPLAN MASTER OWNER TRUST A                                      | CUSIP: 34528QJU9<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-O            | CORP              | US        |    13510000 | PA      | $13556818.91  | 0.08%             | 2030-09-15      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| FORDF 2024-3 B 144A                             | FORD CREDIT FLOORPLAN MASTER OWNER TRUST A                                      | CUSIP: 34528QJM7<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-O            | CORP              | US        |     3480000 | PA      | $3500261.95   | 0.02%             | 2029-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FORDF 2025-2 B                                  | FORD CREDIT FLOORPLAN MASTER OWNER TRUST A                                      | CUSIP: 34528QJW5<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-O            | CORP              | US        |     2630000 | PA      | $2637237.23   | 0.02%             | 2030-09-15      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                        | FORD MOTOR CREDIT CO LLC                                                        | CUSIP: 345397D59<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     5070000 | PA      | $5309324.28   | 0.03%             | 2028-11-07      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                        | FORD MOTOR CREDIT CO LLC                                                        | CUSIP: 345397D42<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     8914000 | PA      | $9570382.39   | 0.06%             | 2030-06-10      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                        | FORD MOTOR CREDIT CO LLC                                                        | CUSIP: 345397H48<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     7820000 | PA      | $7936705.68   | 0.05%             | 2030-09-05      | Fixed         | 5.73%                 | No            |                  2 | On Loan: —       |
| FORD MOTOR CREDIT CO LLC                        | FORD MOTOR CREDIT CO LLC                                                        | CUSIP: 345397C92<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     4760000 | PA      | $4957487.64   | 0.03%             | 2028-05-12      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                        | FORD MOTOR CREDIT CO LLC                                                        | CUSIP: 345397C68<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    14378000 | PA      | $15424675.27  | 0.09%             | 2030-03-06      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| FORTITUDE GROUP HOLDINGS 144A                   | FORTITUDE GROUP HOLDINGS LLC                                                    | CUSIP: 34966XAA6<br>LEI: 2549006R9ZUL08JFIH12 | Long             | DBT              | CORP              | US        |     4280000 | PA      | $4437272.88   | 0.03%             | 2030-04-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FCBSL 2024-4A B 144A                            | FORTRESS CREDIT BSL XXVI LTD                                                    | CUSIP: 34966VAE2<br>LEI: 254900DPXY8BVCQBIY30 | Long             | ABS-CBDO         | CORP              | KY        |     2445000 | PA      | $2449890.00   | 0.01%             | 2038-01-15      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC 144A                      | FOUNDRY JV HOLDCO LLC                                                           | CUSIP: 350930AJ2<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |     3590000 | PA      | $3826878.97   | 0.02%             | 2037-01-25      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC 144A                      | FOUNDRY JV HOLDCO LLC                                                           | CUSIP: 350930AD5<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |     3125000 | PA      | $3364075.00   | 0.02%             | 2035-01-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC 144A                      | FOUNDRY JV HOLDCO LLC                                                           | CUSIP: 350930AH6<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |     3595000 | PA      | $3806971.99   | 0.02%             | 2036-01-25      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC 144A                      | FOUNDRY JV HOLDCO LLC                                                           | CUSIP: 350930AE3<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |     7385000 | PA      | $7933417.49   | 0.05%             | 2038-01-25      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31287UEV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2342 | PA      | $2453.64      | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MJAD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       11904 | PA      | $12434.08     | 0.00%             | 2034-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31296QYV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       12253 | PA      | $12757.90     | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M74T0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      551118 | PA      | $571714.89    | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31335ALP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3172319 | PA      | $3208020.88   | 0.02%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312941NS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      263698 | PA      | $271990.19    | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128K7MM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       20271 | PA      | $20857.07     | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M7YK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      477734 | PA      | $492520.47    | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M8AV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      367906 | PA      | $383144.25    | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31292SAV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    16413103 | PA      | $15691351.15  | 0.09%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312944LP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      658990 | PA      | $645673.58    | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC 15YR GOLD                                 | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MEE31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2584893 | PA      | $2519019.94   | 0.02%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31283HRL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         630 | PA      | $660.95       | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312945AM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6025 | PA      | $5901.52      | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312940AM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      487068 | PA      | $502402.01    | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31335APZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    16536267 | PA      | $15736270.27  | 0.09%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312945DS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1463081 | PA      | $1440782.62   | 0.01%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M6M88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      375032 | PA      | $395232.59    | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312943UJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      401364 | PA      | $395536.91    | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312939WT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      364224 | PA      | $375684.15    | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M4QG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      329574 | PA      | $343486.10    | 0.00%             | 2037-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M9ZN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      614278 | PA      | $620751.17    | 0.00%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M7ZN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      269377 | PA      | $272796.15    | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31335AFV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2438792 | PA      | $2468740.63   | 0.01%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M8R30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       25765 | PA      | $25369.73     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MJCR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       65916 | PA      | $67846.98     | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M9JW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     7566717 | PA      | $7244918.65   | 0.04%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31296QR51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       15280 | PA      | $15347.93     | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M76Q4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      888142 | PA      | $924655.89    | 0.01%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M7CW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      755074 | PA      | $787039.06    | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31296QR44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       30244 | PA      | $30506.80     | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312940EU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       41405 | PA      | $42706.98     | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31292HXN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1454 | PA      | $1480.31      | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M7TQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      644125 | PA      | $652962.02    | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLM GOLD                                       | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3132GK2F2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1631083 | PA      | $1597547.40   | 0.01%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31335ABF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    12744308 | PA      | $12183746.00  | 0.07%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128FWAJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       31703 | PA      | $31917.87     | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128K7U63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      498237 | PA      | $512933.80    | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3132H5BB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1115639 | PA      | $1068196.18   | 0.01%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312938BW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      673417 | PA      | $679915.13    | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128LXFP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      254908 | PA      | $262639.20    | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC 30YR GOLD                                 | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MJDS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6165 | PA      | $6517.59      | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M6QE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      433559 | PA      | $458210.47    | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MJWW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      591337 | PA      | $575731.91    | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M4B77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7773 | PA      | $8191.50      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128MJZW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1178466 | PA      | $1077757.41   | 0.01%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312942UJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       97433 | PA      | $94433.67     | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31287UDJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       11913 | PA      | $12481.78     | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M75Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      394215 | PA      | $406610.30    | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31292H4K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1051 | PA      | $1094.43      | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31296QQD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       13907 | PA      | $14039.38     | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M8W75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      163214 | PA      | $170109.65    | 0.00%             | 2039-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312933NW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      805823 | PA      | $816878.11    | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3132H3PR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3275230 | PA      | $3131871.70   | 0.02%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312942WL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       60217 | PA      | $59305.90     | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128M74W3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      426310 | PA      | $431459.86    | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312943GW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       88018 | PA      | $86675.94     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128K9GH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1422 | PA      | $1490.18      | 0.00%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC 20YR GOLD                                 | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128P7B85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         405 | PA      | $410.05       | 0.00%             | 2026-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31298TQ21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         105 | PA      | $110.00       | 0.00%             | 2031-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312943DQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      418160 | PA      | $422782.32    | 0.00%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3132H7C85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2465283 | PA      | $2357332.03   | 0.01%             | 2044-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                                           | CUSIP: 3128K9DJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      123453 | PA      | $129913.84    | 0.00%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                                           | CUSIP: 31288ALH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1816 | PA      | $1870.44      | 0.00%             | 2032-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                                      | FREDDIE MAC GOLD POOL                                                           | CUSIP: 312945ZY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1242683 | PA      | $1223742.97   | 0.01%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC ARM                                       | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128S4CS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       56111 | PA      | $57619.93     | 0.00%             | 2036-03-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FHLMC ARM                                       | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128NGEY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       14571 | PA      | $15042.28     | 0.00%             | 2036-10-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FHLMC ARM                                       | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128QJPK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      100455 | PA      | $103455.11    | 0.00%             | 2036-11-01      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| FHLMC ARM                                       | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128LUHZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       32806 | PA      | $33673.70     | 0.00%             | 2037-02-01      | Variable      | 6.93%                 | No            |                  2 | On Loan: No      |
| FHLMC ARM                                       | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128QJQE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       39472 | PA      | $40549.16     | 0.00%             | 2036-12-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FHLMC ARM                                       | FREDDIE MAC NON GOLD POOL                                                       | CUSIP: 3128JNNV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       60749 | PA      | $61994.17     | 0.00%             | 2037-01-01      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3142GVJY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    30697488 | PA      | $31280858.60  | 0.19%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3133WDQU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2029200 | PA      | $2059758.31   | 0.01%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3132DVCA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1381270 | PA      | $1436140.17   | 0.01%             | 2054-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 31427CYW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    13154194 | PA      | $13337495.48  | 0.08%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3132DNUW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    18887785 | PA      | $17540825.34  | 0.11%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3132DWFF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    39179438 | PA      | $38525240.90  | 0.23%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3133BPGR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4621182 | PA      | $4631761.29   | 0.03%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3133BJUU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      694880 | PA      | $696606.63    | 0.00%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3132DWCL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       16992 | PA      | $15818.68     | 0.00%             | 2051-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3132DWFB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      479546 | PA      | $409991.78    | 0.00%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3132DWDR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    39104318 | PA      | $33448716.39  | 0.20%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3132DULT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    11088274 | PA      | $11300849.31  | 0.07%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3132DUCT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     7337662 | PA      | $7334244.67   | 0.04%             | 2054-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3132DWDH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6249527 | PA      | $5112420.12   | 0.03%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3132DTG53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4516139 | PA      | $4749626.27   | 0.03%             | 2054-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3132DV7L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    12032830 | PA      | $10317445.30  | 0.06%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3132D6B33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1432137 | PA      | $1323683.92   | 0.01%             | 2037-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3132DSQU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     8843335 | PA      | $9021536.26   | 0.05%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3132D6CL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5248995 | PA      | $4962277.57   | 0.03%             | 2037-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 31426LK52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2000660 | PA      | $2054253.35   | 0.01%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3132CXJB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5855228 | PA      | $5749278.03   | 0.03%             | 2034-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3133KYVF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    14059215 | PA      | $12425355.76  | 0.07%             | 2041-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3133CWPC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6810098 | PA      | $7088988.96   | 0.04%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3132DQFU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     7494046 | PA      | $6772258.78   | 0.04%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3133BNNW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       95534 | PA      | $95726.79     | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3133KGKP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2917461 | PA      | $2736508.17   | 0.02%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3133CTLV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     9089724 | PA      | $9246310.37   | 0.06%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 31425VMB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      465793 | PA      | $481214.69    | 0.00%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3133GF6C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      112913 | PA      | $104704.77    | 0.00%             | 2036-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3132DQ6R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     8098649 | PA      | $6688565.69   | 0.04%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3133KH3Q7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2271349 | PA      | $2247525.12   | 0.01%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3133CWHZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3180093 | PA      | $3275869.01   | 0.02%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 31427QJ94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6225087 | PA      | $6236683.20   | 0.04%             | 2055-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3133KN4U4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    11769284 | PA      | $10098334.37  | 0.06%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3132DV7A7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    15412733 | PA      | $13236951.80  | 0.08%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3142GS4H8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2548812 | PA      | $2609456.31   | 0.02%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3132CWYY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5856033 | PA      | $5789076.44   | 0.03%             | 2037-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3133WJTN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5757538 | PA      | $5443042.31   | 0.03%             | 2037-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3133KHKY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     7606309 | PA      | $7375908.28   | 0.04%             | 2050-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3132DNJ46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4522277 | PA      | $4063996.20   | 0.02%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3132DTTP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    13338113 | PA      | $13837222.28  | 0.08%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3133BNW66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      478861 | PA      | $479779.12    | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3133KJL34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2243003 | PA      | $1858106.36   | 0.01%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3142GVJ28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    27980755 | PA      | $29101388.16  | 0.17%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3133AQFQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2195681 | PA      | $1880874.41   | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 31427PXU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    14122800 | PA      | $14705638.04  | 0.09%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3133B7ZF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       78996 | PA      | $73540.15     | 0.00%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3132DTAW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    23455144 | PA      | $20106365.43  | 0.12%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3132CWG73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2017709 | PA      | $1960860.07   | 0.01%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3132DSQ62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     8636239 | PA      | $8653701.67   | 0.05%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3132DTFE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     7631086 | PA      | $7815634.14   | 0.05%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 31427PHV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    15977448 | PA      | $16295791.02  | 0.10%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3133KNLC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    34142776 | PA      | $29488370.48  | 0.18%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3133BHRC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       31128 | PA      | $31178.58     | 0.00%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3133BEVK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       38503 | PA      | $35657.83     | 0.00%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3132DQLW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3535862 | PA      | $3553127.62   | 0.02%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3133AMYW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1875751 | PA      | $1607014.03   | 0.01%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3133KPD54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4321913 | PA      | $3596298.98   | 0.02%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3132D6CG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1308253 | PA      | $1290602.96   | 0.01%             | 2037-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3133BNW90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      543813 | PA      | $550907.95    | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3133BMWT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      357830 | PA      | $357919.08    | 0.00%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3142GVGD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    48210687 | PA      | $49500081.44  | 0.30%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3142GUKU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    31075131 | PA      | $31968580.17  | 0.19%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3133KNBR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3812243 | PA      | $3418639.31   | 0.02%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3133GG6G3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1188633 | PA      | $1130041.69   | 0.01%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3132DUJN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    12970721 | PA      | $13284425.93  | 0.08%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3132DVLL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3558582 | PA      | $3224172.24   | 0.02%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3133GEL97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6593412 | PA      | $6110669.97   | 0.04%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3133KYXA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2574098 | PA      | $2406600.44   | 0.01%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3133A1CC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2645718 | PA      | $2395399.85   | 0.01%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 31426JF53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     9153703 | PA      | $9427992.78   | 0.06%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3132DVE92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6968763 | PA      | $7159036.39   | 0.04%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3132CW6E9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5808714 | PA      | $5270488.71   | 0.03%             | 2036-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3132DNQN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    12937374 | PA      | $12321403.20  | 0.07%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3133WJDP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     7503861 | PA      | $6935682.50   | 0.04%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3133APTU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4365806 | PA      | $3770667.41   | 0.02%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3132D6BR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      723991 | PA      | $669173.38    | 0.00%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3132D6CX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1006099 | PA      | $1006626.01   | 0.01%             | 2037-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3133KYWJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    18792867 | PA      | $16956603.51  | 0.10%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3132DWF57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      822000 | PA      | $824212.19    | 0.00%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3133WJQA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      110001 | PA      | $101673.07    | 0.00%             | 2037-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3133WGCK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2078722 | PA      | $2138198.35   | 0.01%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3132DWC92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       33955 | PA      | $31554.26     | 0.00%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3133CFT66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      791183 | PA      | $803730.94    | 0.00%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3133KYW39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3326722 | PA      | $3112910.27   | 0.02%             | 2042-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3133WJJW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       23077 | PA      | $21342.23     | 0.00%             | 2037-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3132DMVJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2750208 | PA      | $2576106.54   | 0.02%             | 2050-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3132E0A77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    33796417 | PA      | $34627119.76  | 0.21%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                                       | FREDDIE MAC POOL                                                                | CUSIP: 3133GG2J1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4410210 | PA      | $4076293.35   | 0.02%             | 2037-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3132DWBH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    67997785 | PA      | $55729703.44  | 0.33%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3142GSB56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     8722007 | PA      | $8994777.60   | 0.05%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3133KLZX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    30325507 | PA      | $24846230.46  | 0.15%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3133ANVW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2376033 | PA      | $2070509.49   | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3132DWFG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1367946 | PA      | $1373101.33   | 0.01%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3142GSFR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4454406 | PA      | $4594033.22   | 0.03%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3133BNVE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3703375 | PA      | $3713722.96   | 0.02%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3133BNZS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       98897 | PA      | $99070.31     | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3132DNK69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     9121925 | PA      | $7590532.26   | 0.05%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 3132DWE74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      594820 | PA      | $596482.11    | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                                      | FREDDIE MAC POOL                                                                | CUSIP: 31426PDW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     8025882 | PA      | $8233274.62   | 0.05%             | 2055-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHR 5293 KI                                     | FREDDIE MAC REMICS                                                              | CUSIP: 3137H9QH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    75689518 | PA      | $10030231.15  | 0.06%             | 2051-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHR 5035 KI                                     | FREDDIE MAC REMICS                                                              | CUSIP: 3137F6G35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    25475612 | PA      | $2930635.43   | 0.02%             | 2050-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHR 5048 IN                                     | FREDDIE MAC REMICS                                                              | CUSIP: 3137F7EK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    14278140 | PA      | $2289819.64   | 0.01%             | 2050-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| STACR 2024-DNA2 A1 144A                         | FREDDIE MAC STACR REMIC TRUST 2024-DNA2                                         | CUSIP: 35564NCW1<br>LEI: 529900GRKKKHILZX4347 | Long             | ABS-MBS          | USGSE             | US        |    10737761 | PA      | $10791166.02  | 0.06%             | 2044-05-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| STACR 2024-HQA2 A1 144A                         | FREDDIE MAC STACR REMIC TRUST 2024-HQA2                                         | CUSIP: 35564NDY6<br>LEI: 5299002OYNAPMJKK2A73 | Long             | ABS-MBS          | USGSE             | US        |    16091660 | PA      | $16177298.31  | 0.10%             | 2044-08-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| STACR 2025-DNA3 M1 144A                         | FREDDIE MAC STACR REMIC TRUST 2025-DNA3                                         | CUSIP: 35564UAR8<br>LEI: 5299009HC4IGFM6RXF30 | Long             | ABS-MBS          | USGSE             | US        |    10496722 | PA      | $10489684.11  | 0.06%             | 2045-09-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FHS 375 C4                                      | FREDDIE MAC STRIPS                                                              | CUSIP: 3133Q5AR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    23756489 | PA      | $3462686.21   | 0.02%             | 2051-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHS 199 PO                                      | FREDDIE MAC STRIPS                                                              | CUSIP: 31351B3K9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1810 | PA      | $1737.86      | 0.00%             | 2028-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHS 386 C5                                      | FREDDIE MAC STRIPS                                                              | CUSIP: 31325YCN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    62320415 | PA      | $9301095.11   | 0.06%             | 2051-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHS 386 C3                                      | FREDDIE MAC STRIPS                                                              | CUSIP: 31325YCL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    31503456 | PA      | $4968205.55   | 0.03%             | 2052-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                            | FREEPORT-MCMORAN INC                                                            | CUSIP: 35671DCC7<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |     1558000 | PA      | $1557918.98   | 0.01%             | 2027-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                            | FREEPORT-MCMORAN INC                                                            | CUSIP: 35671DCG8<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |     6681000 | PA      | $6674786.67   | 0.04%             | 2028-08-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                            | FREEPORT-MCMORAN INC                                                            | CUSIP: 35671DCF0<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |     4247000 | PA      | $4227463.80   | 0.03%             | 2030-03-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                            | FREEPORT-MCMORAN INC                                                            | CUSIP: 35671DBC8<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |     7215000 | PA      | $7034076.66   | 0.04%             | 2043-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                            | FREEPORT-MCMORAN INC                                                            | CUSIP: 35671DCH6<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |     2715000 | PA      | $2733494.58   | 0.02%             | 2030-08-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FYBR 2024-1 A2 144A                             | FRONTIER ISSUER LLC                                                             | CUSIP: 35910EAK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     6105000 | PA      | $6299446.08   | 0.04%             | 2054-06-20      | Fixed         | 6.19%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST 144A                    | GA GLOBAL FUNDING TRUST                                                         | CUSIP: 36143L2T1<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |    10780000 | PA      | $10979322.20  | 0.07%             | 2032-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST 144A                    | GA GLOBAL FUNDING TRUST                                                         | CUSIP: 36143L2R5<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |    10015000 | PA      | $10286005.90  | 0.06%             | 2030-01-13      | Fixed         | 5.40%                 | No            |                  2 | On Loan: —       |
| GALDERMA FINANCE EUROPE                         | GALDERMA FINANCE EUROPE BV                                                      | CUSIP: YQ2652101<br>LEI: 7245004RN4I1ORSTHY93 | Long             | DBT              | CORP              | NL        |     5334000 | PA      | $6265373.48   | 0.04%             | 2030-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GFMT 2018-1 A23 144A                            | GALTON FUNDING MORTGAGE TRUST 2017-1                                            | CUSIP: 36417JAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      513819 | PA      | $474447.48    | 0.00%             | 2057-11-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| GFMT 2018-2 A22 144A                            | GALTON FUNDING MORTGAGE TRUST 2018-2                                            | CUSIP: 36418GAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      831261 | PA      | $793855.58    | 0.00%             | 2058-10-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC - Wholesale (SING)            | GBP/USD FWD 20260220 BARCGB5G                                                   | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              | CORP              | GB        |           1 | NC      | $-429283.23   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA                                 | GBP/USD FWD 20260220 BOFAUS6N                                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | GB        |           1 | NC      | $-183526.98   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GCAT 2025-NQM1 A1 144A                          | GCAT 2025-NQM1 TRUST                                                            | CUSIP: 36171GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11601731 | PA      | $11650529.96  | 0.07%             | 2069-11-25      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| GENERAL ELECTRIC CO                             | GENERAL ELECTRIC CO                                                             | CUSIP: 369604BZ5<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | DBT              | CORP              | US        |     8980000 | PA      | $9081662.58   | 0.05%             | 2030-07-29      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| GENERAL ELECTRIC CO                             | GENERAL ELECTRIC CO                                                             | CUSIP: 369604CA9<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | DBT              | CORP              | US        |     6935000 | PA      | $7112376.50   | 0.04%             | 2036-01-29      | Fixed         | 4.90%                 | No            |                  2 | On Loan: —       |
| GENERAL MOTORS FINL CO                          | GENERAL MOTORS FINANCIAL CO INC                                                 | CUSIP: 37045XFL5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     7080000 | PA      | $7077493.68   | 0.04%             | 2028-10-27      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                          | GENERAL MOTORS FINANCIAL CO INC                                                 | CUSIP: 37045XED4<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     4466000 | PA      | $4811873.84   | 0.03%             | 2033-01-09      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                          | GENERAL MOTORS FINANCIAL CO INC                                                 | CUSIP: 37045XEU6<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    12735000 | PA      | $13192925.13  | 0.08%             | 2029-07-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: —       |
| GNMA II TBA DEC                                 | GINNIE MAE                                                                      | CUSIP: 21H0606C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     7920000 | PA      | $8072065.98   | 0.05%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA II TBA DEC                                 | GINNIE MAE                                                                      | CUSIP: 21H0426C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    34320000 | PA      | $33561876.35  | 0.20%             | 2035-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA II TBA DEC                                 | GINNIE MAE                                                                      | CUSIP: 21H0506C1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   116585000 | PA      | $116444806.54 | 0.70%             | 2033-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA II TBA DEC                                 | GINNIE MAE                                                                      | CUSIP: 21H0526C7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    61310000 | PA      | $61915598.72  | 0.37%             | 2032-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                                      | GINNIE MAE I POOL                                                               | CUSIP: 36208DJM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       14159 | PA      | $14337.45     | 0.00%             | 2028-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                                      | GINNIE MAE I POOL                                                               | CUSIP: 36178NGA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    11564549 | PA      | $10673286.68  | 0.06%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR PLAT                                 | GINNIE MAE I POOL                                                               | CUSIP: 3622A2QW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      797955 | PA      | $820581.92    | 0.00%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                                      | GINNIE MAE I POOL                                                               | CUSIP: 36200MV83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      340252 | PA      | $344690.75    | 0.00%             | 2033-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR PLAT                                 | GINNIE MAE I POOL                                                               | CUSIP: 36241LX84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2403606 | PA      | $2262040.56   | 0.01%             | 2041-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                                      | GINNIE MAE I POOL                                                               | CUSIP: 3620A9S44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1010320 | PA      | $1037477.92   | 0.01%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                                      | GINNIE MAE I POOL                                                               | CUSIP: 36178NF87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1856089 | PA      | $1715346.19   | 0.01%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVT NATL MORTG ASSN                            | GINNIE MAE I POOL                                                               | CUSIP: 36208EXF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        7885 | PA      | $7981.25      | 0.00%             | 2027-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                                      | GINNIE MAE I POOL                                                               | CUSIP: 36209W2W1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5907 | PA      | $5985.36      | 0.00%             | 2028-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA 15 YR                                      | GINNIE MAE I POOL                                                               | CUSIP: 3622A2KC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        8728 | PA      | $8716.00      | 0.00%             | 2026-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR PLAT                                 | GINNIE MAE I POOL                                                               | CUSIP: 36241LF68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1960007 | PA      | $2018039.04   | 0.01%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR PLAT                                 | GINNIE MAE I POOL                                                               | CUSIP: 36241LF50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1958130 | PA      | $2016105.68   | 0.01%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR PLAT                                 | GINNIE MAE I POOL                                                               | CUSIP: 3622A2MV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2130223 | PA      | $2193621.97   | 0.01%             | 2039-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR PLAT                                 | GINNIE MAE I POOL                                                               | CUSIP: 3622A2N57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        8027 | PA      | $8306.54      | 0.00%             | 2038-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                                      | GINNIE MAE I POOL                                                               | CUSIP: 36184BZ34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      565791 | PA      | $531732.13    | 0.00%             | 2045-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVT NATL MTG ASSN I NEW                        | GINNIE MAE I POOL                                                               | CUSIP: 36206PS27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          15 | PA      | $15.12        | 0.00%             | 2026-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR PLAT                                 | GINNIE MAE I POOL                                                               | CUSIP: 36225BEA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         505 | PA      | $519.91       | 0.00%             | 2029-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVT NATL MTG ASSN I                            | GINNIE MAE I POOL                                                               | CUSIP: 36208HQZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       20135 | PA      | $20374.85     | 0.00%             | 2027-10-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                                      | GINNIE MAE I POOL                                                               | CUSIP: 36297FYY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      722195 | PA      | $740499.89    | 0.00%             | 2039-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR PLAT                                 | GINNIE MAE I POOL                                                               | CUSIP: 3622A2MG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       37462 | PA      | $39228.78     | 0.00%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                                      | GINNIE MAE I POOL                                                               | CUSIP: 36213EP34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       20968 | PA      | $21576.61     | 0.00%             | 2031-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR PLAT                                 | GINNIE MAE I POOL                                                               | CUSIP: 3622A2QJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1427128 | PA      | $1427675.44   | 0.01%             | 2045-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 3622ABCY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     5224337 | PA      | $4889401.54   | 0.03%             | 2044-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36202FX84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2209024 | PA      | $2155475.43   | 0.01%             | 2041-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179WVT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     9252832 | PA      | $7704861.10   | 0.05%             | 2052-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179SGK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2154049 | PA      | $1972270.04   | 0.01%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 3622A2ZK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      556674 | PA      | $517269.21    | 0.00%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36202FQ74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      441199 | PA      | $445987.97    | 0.00%             | 2041-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36202FB47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      144074 | PA      | $148921.62    | 0.00%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179RF87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    12143543 | PA      | $11140902.21  | 0.07%             | 2045-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36241KYG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1088735 | PA      | $1144331.97   | 0.01%             | 2038-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36193VG22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      623697 | PA      | $564110.78    | 0.00%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 3622AB5L2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     5056297 | PA      | $4799900.09   | 0.03%             | 2052-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179UEC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      226334 | PA      | $232311.70    | 0.00%             | 2048-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36194BZE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3773492 | PA      | $3410527.60   | 0.02%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179M5M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2612862 | PA      | $2483488.33   | 0.01%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36202EG45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       53642 | PA      | $55575.07     | 0.00%             | 2036-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179WZZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1492289 | PA      | $1355839.85   | 0.01%             | 2037-04-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36202D3J8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        8378 | PA      | $8769.50      | 0.00%             | 2034-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36181KC81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     4083957 | PA      | $3842005.16   | 0.02%             | 2043-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36202FGE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      583389 | PA      | $600532.20    | 0.00%             | 2040-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179SNU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    10959443 | PA      | $10020513.74  | 0.06%             | 2046-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179XHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     9787256 | PA      | $9642167.81   | 0.06%             | 2052-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36194BZF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3280776 | PA      | $2961145.07   | 0.02%             | 2046-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     4811104 | PA      | $4006376.64   | 0.02%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179SB71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3736116 | PA      | $3421789.58   | 0.02%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179WUV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2437266 | PA      | $2214630.85   | 0.01%             | 2037-01-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179TZ73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2351518 | PA      | $2384593.04   | 0.01%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36202FY75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3786602 | PA      | $3826545.28   | 0.02%             | 2041-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179VDC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     4066440 | PA      | $3618609.07   | 0.02%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36202EYM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      124556 | PA      | $131114.65    | 0.00%             | 2038-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36202EAL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6964 | PA      | $7278.63      | 0.00%             | 2034-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179TXY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3096954 | PA      | $3193897.66   | 0.02%             | 2048-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179NDV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1509088 | PA      | $1563513.13   | 0.01%             | 2043-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179TC29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1173686 | PA      | $1200273.28   | 0.01%             | 2047-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179RLN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1734346 | PA      | $1587362.67   | 0.01%             | 2045-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     8400034 | PA      | $7293189.30   | 0.04%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 3622A2D74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     4540056 | PA      | $4192088.06   | 0.03%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179UGF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1081508 | PA      | $1112641.60   | 0.01%             | 2048-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179M2Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     6619508 | PA      | $6202831.14   | 0.04%             | 2043-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179WKT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      384241 | PA      | $349123.08    | 0.00%             | 2036-08-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179QGG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1580761 | PA      | $1637779.24   | 0.01%             | 2044-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36202FKN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2101193 | PA      | $2123143.21   | 0.01%             | 2040-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36195KHC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      922007 | PA      | $834471.64    | 0.01%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36202FE77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      356054 | PA      | $366725.74    | 0.00%             | 2040-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 3622ABZU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2277283 | PA      | $2230936.18   | 0.01%             | 2049-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179TQS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1579385 | PA      | $1611304.53   | 0.01%             | 2048-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179RXE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      125923 | PA      | $122000.78    | 0.00%             | 2046-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    21185767 | PA      | $18394129.87  | 0.11%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179XHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    21545952 | PA      | $20602824.27  | 0.12%             | 2052-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179XH33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3827316 | PA      | $3934542.57   | 0.02%             | 2052-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 3617A9KW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1224664 | PA      | $1138438.79   | 0.01%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179WTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    35121584 | PA      | $30493496.00  | 0.18%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179SUX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1623901 | PA      | $1623250.20   | 0.01%             | 2047-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179S2Q9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       87320 | PA      | $84464.24     | 0.00%             | 2047-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179XFL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     6019714 | PA      | $6189073.95   | 0.04%             | 2052-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 3617B5DY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2089908 | PA      | $1933058.78   | 0.01%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179MG61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3715015 | PA      | $3624938.64   | 0.02%             | 2042-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179RXF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1282461 | PA      | $1281683.23   | 0.01%             | 2046-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179WJQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    20424407 | PA      | $17007795.87  | 0.10%             | 2051-07-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179TG41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      498173 | PA      | $464189.40    | 0.00%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179NF78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     7751939 | PA      | $7346095.22   | 0.04%             | 2043-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36202C6L2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3287 | PA      | $3388.44      | 0.00%             | 2028-11-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36202ECP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       32736 | PA      | $33914.71     | 0.00%             | 2035-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179XLK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     6848401 | PA      | $7036609.22   | 0.04%             | 2052-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36178WP45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       50853 | PA      | $46866.98     | 0.00%             | 2042-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179TG58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      148625 | PA      | $143610.94    | 0.00%             | 2047-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179WY85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    20887809 | PA      | $17393240.69  | 0.10%             | 2052-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179VSG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     8727060 | PA      | $7588130.93   | 0.05%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 3622A2TA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     5694756 | PA      | $5256309.77   | 0.03%             | 2046-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179T7L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1174687 | PA      | $1171800.11   | 0.01%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36184BAH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2525260 | PA      | $2327206.93   | 0.01%             | 2045-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179SB97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     8166054 | PA      | $7911840.20   | 0.05%             | 2046-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    33463964 | PA      | $29054469.82  | 0.17%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179TLV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1595079 | PA      | $1631214.32   | 0.01%             | 2047-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179WLN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    16936852 | PA      | $14103612.38  | 0.08%             | 2051-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179W7K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    18357591 | PA      | $16574378.93  | 0.10%             | 2052-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179MSY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      175501 | PA      | $171245.06    | 0.00%             | 2042-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179TAN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1866660 | PA      | $1908932.23   | 0.01%             | 2047-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36189MBR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1846425 | PA      | $1705023.53   | 0.01%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179WDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    10496861 | PA      | $9117462.36   | 0.05%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179UPD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1361863 | PA      | $1400319.40   | 0.01%             | 2049-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179TCX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1422373 | PA      | $1331135.18   | 0.01%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179WR26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    17583755 | PA      | $15266726.03  | 0.09%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179UCE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       10347 | PA      | $10657.82     | 0.00%             | 2048-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179N2K3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     6606549 | PA      | $6424533.46   | 0.04%             | 2044-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36202FLP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      443752 | PA      | $448659.57    | 0.00%             | 2040-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179WSZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1749149 | PA      | $1589393.67   | 0.01%             | 2036-12-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36202DUU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       26239 | PA      | $27292.16     | 0.00%             | 2032-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179TZ65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5306 | PA      | $5292.88      | 0.00%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179TV93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      854633 | PA      | $883471.90    | 0.01%             | 2048-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179RD63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     8847902 | PA      | $8120114.36   | 0.05%             | 2045-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179WYD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1871460 | PA      | $1691299.96   | 0.01%             | 2037-03-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179SEH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2198651 | PA      | $2060053.22   | 0.01%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 3617G8VD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      207144 | PA      | $208070.40    | 0.00%             | 2048-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36202EAK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       11237 | PA      | $11642.25     | 0.00%             | 2034-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36183FLP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      538100 | PA      | $495896.94    | 0.00%             | 2044-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179TE43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1987814 | PA      | $2032841.60   | 0.01%             | 2047-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36202FQ82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1726849 | PA      | $1775449.40   | 0.01%             | 2041-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179VL32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1424138 | PA      | $1269499.28   | 0.01%             | 2050-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179TLT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2834283 | PA      | $2737487.15   | 0.02%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36202E4H9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      916532 | PA      | $943990.44    | 0.01%             | 2039-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36194MH87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1034929 | PA      | $936034.44    | 0.01%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36194MJQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1584070 | PA      | $1433680.77   | 0.01%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179Q3H2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1554595 | PA      | $1423448.75   | 0.01%             | 2045-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179UZH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      650240 | PA      | $579627.25    | 0.00%             | 2049-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 3622AAYY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1555746 | PA      | $1431540.21   | 0.01%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 3622AAGA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      154235 | PA      | $142864.30    | 0.00%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179SLS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1577788 | PA      | $1478161.63   | 0.01%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179UK27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      998335 | PA      | $1024717.22   | 0.01%             | 2049-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36202FFU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      235058 | PA      | $242103.91    | 0.00%             | 2040-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36202FGY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1115020 | PA      | $1151179.84   | 0.01%             | 2040-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36202FCN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      399648 | PA      | $404086.57    | 0.00%             | 2039-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179TUC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1390001 | PA      | $1390876.86   | 0.01%             | 2048-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36202EWE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      222290 | PA      | $238681.17    | 0.00%             | 2038-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179S5M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2198176 | PA      | $2125827.14   | 0.01%             | 2047-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179R7J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     6054030 | PA      | $5672733.26   | 0.03%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36202FMB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     5044127 | PA      | $5099649.11   | 0.03%             | 2040-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179XX43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     8770536 | PA      | $8632359.85   | 0.05%             | 2053-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36202E7H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      215835 | PA      | $222301.60    | 0.00%             | 2039-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36202FDD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       35270 | PA      | $36543.90     | 0.00%             | 2039-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179X5F9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    16687932 | PA      | $16394055.63  | 0.10%             | 2053-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36202FLQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1005848 | PA      | $1035995.65   | 0.01%             | 2040-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179VHG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2842903 | PA      | $2534211.02   | 0.02%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179TUE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1147513 | PA      | $1186230.06   | 0.01%             | 2048-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179UKY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1925533 | PA      | $1917232.77   | 0.01%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179WY93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     4618961 | PA      | $4010305.75   | 0.02%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      229001 | PA      | $223450.86    | 0.00%             | 2041-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVT NATL MTG ASSN II30Y                        | GINNIE MAE II POOL                                                              | CUSIP: 36202C2Y8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1652 | PA      | $1702.53      | 0.00%             | 2028-05-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    52707787 | PA      | $43891799.49  | 0.26%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179VV31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    11252660 | PA      | $10816358.39  | 0.06%             | 2050-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179U3S9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2867493 | PA      | $2545461.11   | 0.02%             | 2049-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179RVB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     4095544 | PA      | $3832690.46   | 0.02%             | 2045-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179MNJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      206017 | PA      | $201021.26    | 0.00%             | 2042-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36202D4P3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       24975 | PA      | $25824.56     | 0.00%             | 2034-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179UXH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      144699 | PA      | $128985.11    | 0.00%             | 2049-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179TJ22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      794822 | PA      | $810873.15    | 0.00%             | 2047-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36202FCP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      948203 | PA      | $976618.42    | 0.01%             | 2039-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179TAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2201134 | PA      | $2128233.38   | 0.01%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 3617G8YM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      411038 | PA      | $412269.50    | 0.00%             | 2048-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 3622A26L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     4492307 | PA      | $4170861.79   | 0.03%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36202FJR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      140453 | PA      | $144236.07    | 0.00%             | 2040-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36195KHB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      813803 | PA      | $736030.06    | 0.00%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                                   | GINNIE MAE II POOL                                                              | CUSIP: 36179W6F0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       69183 | PA      | $62850.37     | 0.00%             | 2037-06-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                         | GLP CAPITAL LP / GLP FINANCING II INC                                           | CUSIP: 361841AV1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    10545000 | PA      | $10548036.96  | 0.06%             | 2033-02-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                         | GOLDMAN SACHS GROUP INC/THE                                                     | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    17802000 | PA      | $15963551.86  | 0.10%             | 2032-07-21      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                         | GOLDMAN SACHS GROUP INC/THE                                                     | CUSIP: 38141GB60<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    17765000 | PA      | $18051567.22  | 0.11%             | 2030-10-23      | Variable      | 4.69%                 | No            |                  2 | On Loan: —       |
| GOLDMAN SACHS GROUP INC                         | GOLDMAN SACHS GROUP INC/THE                                                     | CUSIP: 38141GZR8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    20205000 | PA      | $20084376.15  | 0.12%             | 2028-03-15      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                         | GOLDMAN SACHS GROUP INC/THE                                                     | CUSIP: 38141GB78<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    18865000 | PA      | $19074571.29  | 0.11%             | 2035-10-23      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| GOLUB CAPITAL CAP FND                           | GOLUB CAPITAL PRIVATE CREDIT FUND                                               | CUSIP: 38179RAD7<br>LEI: 254900B5KBW6OY1F9951 | Long             | DBT              | CORP              | US        |     9581000 | PA      | $9677423.18   | 0.06%             | 2030-05-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| GNR 2022-63 LM                                  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38383REY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     9510000 | PA      | $8202886.64   | 0.05%             | 2050-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNR 2018-8 DA                                   | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38380UPK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1188126 | PA      | $1126535.02   | 0.01%             | 2047-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNR 2017-184 JH                                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38380H5W8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1093899 | PA      | $1016890.11   | 0.01%             | 2047-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNR 2023-69 IL                                  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38384AYB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    24408213 | PA      | $3101492.98   | 0.02%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNR 2020-181 WI                                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38382LXR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    56404816 | PA      | $6317502.99   | 0.04%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNR 2021-23 JI                                  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38382NWP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    12551238 | PA      | $1655943.83   | 0.01%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNR 2020-167 YI                                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38382LAC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    15500482 | PA      | $2031703.92   | 0.01%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNR 2013-82 IG                                  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38378TDR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2280248 | PA      | $327099.60    | 0.00%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNR 2013-24 OI                                  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38378FK74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1632135 | PA      | $259908.40    | 0.00%             | 2043-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNR 2020-173 MI                                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                        | CUSIP: 38382LNV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     6644684 | PA      | $955662.42    | 0.01%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GSMBS 2020-INV1 A14 144A                        | GS MORTGAGE-BACKED SECURITIES TRUST 2020-INV1                                   | CUSIP: 36258KAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13627053 | PA      | $11924829.48  | 0.07%             | 2050-10-25      | Variable      | 2.91%                 | No            |                  2 | On Loan: No      |
| GSMBS 2014-EB1A 2A1 144A                        | GS MORTGAGE-BACKED SECURITIES TRUST 2022-GR2                                    | CUSIP: 36250BAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      189697 | PA      | $188476.16    | 0.00%             | 2044-07-25      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| GSMBS 2025-NQM3 A1 144A                         | GS MORTGAGE-BACKED SECURITIES TRUST 2025-NQM3                                   | CUSIP: 36274TAA7<br>LEI: 2549007JKCA9H9HUGZ71 | Long             | ABS-MBS          | CORP              | US        |     4362440 | PA      | $4372181.03   | 0.03%             | 2065-11-25      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| HA SUSTAINABLE INF CAP                          | HA SUSTAINABLE INFRASTRUCTURE CAPITAL INC                                       | CUSIP: 41068XAF7<br>LEI: 254900ZZRL7MWL1X8E92 | Long             | DBT              | CORP              | US        |    30488000 | PA      | $31173980.00  | 0.19%             | 2034-07-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| HARBOUR ENERGY PLC 144A                         | HARBOUR ENERGY PLC                                                              | CUSIP: 411618AD3<br>LEI: 213800YPC42DYBKVPF97 | Long             | DBT              | CORP              | GB        |    12145000 | PA      | $12450094.55  | 0.07%             | 2035-04-01      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| HNGRY 2024-1A A2 144A                           | HARDEE'S FUNDING LLC                                                            | CUSIP: 411707AM4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    11928970 | PA      | $12347045.36  | 0.07%             | 2054-03-20      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| HNGRY 2021-1A A2 144A                           | HARDEE'S FUNDING LLC                                                            | CUSIP: 411707AK8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4031075 | PA      | $3759856.21   | 0.02%             | 2051-06-20      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| HAT HOLDINGS I LLC/HAT 144A                     | HAT HOLDINGS I LLC / HAT HOLDINGS II LLC                                        | CUSIP: 418751AL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    10245000 | PA      | $10629187.50  | 0.06%             | 2027-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                         | HCA INC                                                                         | CUSIP: 404119DE6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    19960000 | PA      | $19907285.64  | 0.12%             | 2032-11-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| HCA INC                                         | HCA INC                                                                         | CUSIP: 404119CZ0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     6810000 | PA      | $7045476.18   | 0.04%             | 2030-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: —       |
| HEALTH CARE SERVICE CORP 144A                   | HEALTH CARE SERVICE CORP A MUTUAL LEGAL RESERVE CO                              | CUSIP: 42218SAM0<br>LEI: 549300TMJ1FKCKECR148 | Long             | DBT              | CORP              | US        |    17935000 | PA      | $17473747.67  | 0.10%             | 2054-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| HEALTH CARE SERVICE CORP 144A                   | HEALTH CARE SERVICE CORP A MUTUAL LEGAL RESERVE CO                              | CUSIP: 42218SAK4<br>LEI: 549300TMJ1FKCKECR148 | Long             | DBT              | CORP              | US        |     6825000 | PA      | $7019874.23   | 0.04%             | 2029-06-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| HEALTH CARE SERVICE CORP 144A                   | HEALTH CARE SERVICE CORP A MUTUAL LEGAL RESERVE CO                              | CUSIP: 42218SAL2<br>LEI: 549300TMJ1FKCKECR148 | Long             | DBT              | CORP              | US        |     8635000 | PA      | $8891131.37   | 0.05%             | 2034-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE RLTY HLDGS LP                        | HEALTHCARE REALTY HOLDINGS LP                                                   | CUSIP: 42225UAM6<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |     4931000 | PA      | $4227656.95   | 0.03%             | 2031-03-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| HEATHROW FUNDING LTD                            | HEATHROW FUNDING LTD                                                            | CUSIP: YS5265238<br>LEI: 7TI96JO3DYEIQWZ7Z726 | Long             | DBT              | CORP              | JE        |     1740000 | PA      | $1995063.55   | 0.01%             | 2036-01-16      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| HEATHROW FUNDING LTD                            | HEATHROW FUNDING LTD                                                            | CUSIP: AX5204471<br>LEI: 7TI96JO3DYEIQWZ7Z726 | Long             | DBT              | CORP              | JE        |     7117000 | PA      | $7175642.08   | 0.04%             | 2034-03-14      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| HF SINCLAIR CORP                                | HF SINCLAIR CORP                                                                | CUSIP: 403949AR1<br>LEI: 2549009G116AM01XHN24 | Long             | DBT              | CORP              | US        |    14265000 | PA      | $14755644.68  | 0.09%             | 2031-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| HILCORP TL B 1L BANKDEBT                        | HILCORP ENERGY I LP                                                             | CUSIP: 431319AH5<br>LEI: 549300ITPIHLG0LHEC09 | Long             | LON              | CORP              | US        |    24347701 | PA      | $24347700.82  | 0.15%             | 2030-02-11      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| HILCORP ENERGY I/HILCORP 144A                   | HILCORP ENERGY I LP / HILCORP FINANCE CO                                        | CUSIP: 431318BG8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3400000 | PA      | $3230000.00   | 0.02%             | 2035-02-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| HILCORP ENERGY I/HILCORP 144A                   | HILCORP ENERGY I LP / HILCORP FINANCE CO                                        | CUSIP: 431318BC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     8056000 | PA      | $8257400.00   | 0.05%             | 2033-11-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| HILTON WORLDWIDE FIN TL B 1L BANKDEBT           | HILTON DOMESTIC OPERATIN                                                        | CUSIP: 43289D9A3<br>LEI: 5493003EG7H0N1E4XV50 | Long             | LON              | CORP              | US        |    53680000 | PA      | $53871100.80  | 0.32%             | 2030-11-08      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATIN 144A                   | HILTON DOMESTIC OPERATING CO INC                                                | CUSIP: 432833AQ4<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |     2955000 | PA      | $3065812.50   | 0.02%             | 2032-04-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| HOMES 2025-AFC2 A1B 144A                        | HOMES 2025-AFC2 TRUST                                                           | CUSIP: 43761YAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2315712 | PA      | $2330247.38   | 0.01%             | 2060-06-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| HOMES 2025-NQM2 A1 144A                         | HOMES 2025-NQM2 TRUST                                                           | CUSIP: 403966AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9652996 | PA      | $9694316.13   | 0.06%             | 2070-02-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| HOWARD HUGHES CORP 144A                         | HOWARD HUGHES CORP/THE                                                          | CUSIP: 44267DAD9<br>LEI: 549300BVHY25JZC1KI49 | Long             | DBT              | CORP              | US        |     3143000 | PA      | $3131213.75   | 0.02%             | 2028-08-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| HPEFS 2023-2A D 144A                            | HPEFS EQUIPMENT TRUST 2023-2                                                    | CUSIP: 44328UAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3320000 | PA      | $3358389.49   | 0.02%             | 2031-07-21      | Fixed         | 6.97%                 | No            |                  2 | On Loan: No      |
| HPEFS 2023-2A B 144A                            | HPEFS EQUIPMENT TRUST 2023-2                                                    | CUSIP: 44328UAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      424993 | PA      | $425432.86    | 0.00%             | 2031-01-21      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| HPEFS 2023-2A C 144A                            | HPEFS EQUIPMENT TRUST 2023-2                                                    | CUSIP: 44328UAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5005000 | PA      | $5023244.23   | 0.03%             | 2031-01-21      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| HPEFS 2024-2A B 144A                            | HPEFS EQUIPMENT TRUST 2024-2                                                    | CUSIP: 40444MAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2730000 | PA      | $2759384.90   | 0.02%             | 2031-10-20      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| HPEFS 2024-2A A3 144A                           | HPEFS EQUIPMENT TRUST 2024-2                                                    | CUSIP: 40444MAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     6085000 | PA      | $6117741.56   | 0.04%             | 2031-10-20      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                               | HSBC HOLDINGS PLC                                                               | CUSIP: 404280FE4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     8930000 | PA      | $8971211.95   | 0.05%             | 2031-11-06      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| HUB INTERNATIONAL LTD 144A                      | HUB INTERNATIONAL LTD                                                           | CUSIP: 44332PAH4<br>LEI: 549300JQT6ATTUNS5E06 | Long             | DBT              | CORP              | US        |     7205000 | PA      | $7529225.00   | 0.05%             | 2030-06-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| HUB INTERNATIONAL LTD TL B 1L BANKDEBT          | HUB INTERNATIONAL LTD                                                           | CUSIP: 44332EAZ9<br>LEI: 549300JQT6ATTUNS5E06 | Long             | LON              | CORP              | US        |    19971420 | PA      | $20040122.15  | 0.12%             | 2030-06-20      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| HY 2025-SPRL A 144A                             | HUDSON YARDS 2025-SPRL MORTGAGE TRUST                                           | CUSIP: 44855PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7175000 | PA      | $7452193.93   | 0.04%             | 2040-01-13      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK OF COMMERCE              | HUF/USD FWD 20260116 CIBCCATT                                                   | CUSIP: 000000000<br>LEI: 2IGI19DL77OX0HC3ZE78 | N/A              | DFE              | CORP              | HU        |           1 | NC      | $-774692.98   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N A                                    | HUF/USD FWD 20260116 CITIGB2L                                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | HU        |           1 | NC      | $-915450.91   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK                                   | HUF/USD FWD 20260116 DEUTGB2L                                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | HU        |           1 | NC      | $-450710.62   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET GLOBAL MARKETS LLC                 | HUF/USD FWD 20260116 SBOSGB2X                                                   | CUSIP: 000000000<br>LEI: 549300FDEDF5ORXCMQ56 | N/A              | DFE              | CORP              | HU        |           1 | NC      | $114868.13    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HUNGARY GOVERNMENT BOND                         | HUNGARY GOVERNMENT BOND                                                         | CUSIP: ZI7193496<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        | 37058880000 | PA      | $112652389.23 | 0.68%             | 2035-10-24      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| HACLN 2024-1 B1 144A                            | HUNTINGTON BANK AUTO CREDIT-LINKED NOTES SERIES 2024-1                          | CUSIP: 44644NAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     6690268 | PA      | $6799097.63   | 0.04%             | 2032-05-20      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| HACLN 2025-1 B1 144A                            | HUNTINGTON BANK AUTO CREDIT-LINKED NOTES SERIES 2025-1                          | CUSIP: 446438SX2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    10556010 | PA      | $10640531.20  | 0.06%             | 2033-03-21      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA 144A                    | HYUNDAI CAPITAL AMERICA                                                         | CUSIP: 44891ACV7<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     3290000 | PA      | $3407179.93   | 0.02%             | 2031-01-08      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA 144A                    | HYUNDAI CAPITAL AMERICA                                                         | CUSIP: 44891ADG9<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    11135000 | PA      | $11175999.07  | 0.07%             | 2029-09-26      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA 144A                    | HYUNDAI CAPITAL AMERICA                                                         | CUSIP: 44891ACR6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     6620000 | PA      | $7017041.12   | 0.04%             | 2029-01-16      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA 144A                    | HYUNDAI CAPITAL AMERICA                                                         | CUSIP: 44891ACY1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     5630000 | PA      | $5792588.77   | 0.03%             | 2029-03-19      | Fixed         | 5.35%                 | No            |                  2 | On Loan: —       |
| HYUNDAI CAPITAL AMERICA 144A                    | HYUNDAI CAPITAL AMERICA                                                         | CUSIP: 44891ADH7<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     7295000 | PA      | $7351047.49   | 0.04%             | 2031-09-26      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                             | ICE_CDX IG CDSI S45 5Y 12/20/2030 BARC                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |           1 | NC      | $32733753.84  | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | ICE_ORACLE CORP CDS 12/20/2030 MSLN                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | US        |           1 | NC      | $-335472.79   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | ICE_SES SA CDS 12/20/2030 CHAS                                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              | CORP              | N/A       |           1 | NC      | $-933297.61   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ICON INVESTMENTS SIX DAC                        | ICON INVESTMENTS SIX DAC                                                        | CUSIP: 45115AAC8<br>LEI: 635400FQ1M7J2CHLAS59 | Long             | DBT              | CORP              | IE        |     5710000 | PA      | $6034887.58   | 0.04%             | 2034-05-08      | Fixed         | 6.00%                 | No            |                  2 | On Loan: —       |
| ICON INVESTMENTS SIX DAC                        | ICON INVESTMENTS SIX DAC                                                        | CUSIP: 45115AAB0<br>LEI: 635400FQ1M7J2CHLAS59 | Long             | DBT              | CORP              | IE        |     4535000 | PA      | $4732277.04   | 0.03%             | 2029-05-08      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| ICON LUXEMBOURG TL B 1L BANKDEBT STRIP          | ICON LUXEMBOURG SARL                                                            | CUSIP: 000000000<br>LEI: 635400PUWMHSPI2DDA35 | Long             | LON              | CORP              | LU        |     1365941 | PA      | $1377469.88   | 0.01%             | 2028-07-03      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| IMCD NV                                         | IMCD NV                                                                         | CUSIP: YV4272758<br>LEI: 724500NSJPNFJPDAUP02 | Long             | DBT              | CORP              | NL        |     7730000 | PA      | $9006818.64   | 0.05%             | 2030-04-30      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FIN PLC 144A                    | IMPERIAL BRANDS FINANCE PLC                                                     | CUSIP: 45262BAJ2<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |     3180000 | PA      | $3210721.98   | 0.02%             | 2028-06-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FIN PLC 144A                    | IMPERIAL BRANDS FINANCE PLC                                                     | CUSIP: 45262BAK9<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |    11330000 | PA      | $11680538.87  | 0.07%             | 2035-07-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FIN PLC 144A                    | IMPERIAL BRANDS FINANCE PLC                                                     | CUSIP: 45262BAL7<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |     8670000 | PA      | $8958528.93   | 0.05%             | 2055-07-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| IMPRL 2021-NQM2 A1 144A                         | IMPERIAL FUND MORTGAGE TRUST 2021-NQM2                                          | CUSIP: 452761AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8930294 | PA      | $7605535.59   | 0.05%             | 2056-09-25      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| INFRASTRUTTURE WIRELESS                         | INFRASTRUTTURE WIRELESS ITALIANE SPA                                            | CUSIP: YQ6778167<br>LEI: 81560066183FE361C071 | Long             | DBT              | CORP              | IT        |     6885000 | PA      | $8095183.69   | 0.05%             | 2030-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| INTER-AMERICAN DEVEL BK                         | INTER-AMERICAN DEVELOPMENT BANK                                                 | CUSIP: YJ9986359<br>LEI: VKU1UKDS9E7LYLMACP54 | Long             | DBT              | CORP              | N/A       |     8115000 | PA      | $8152085.55   | 0.05%             | 2030-11-12      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| INTL BK RECON & DEVELOP                         | INTERNATIONAL BANK FOR RECONSTRUCTION & DEVELOPMENT                             | CUSIP: YV1295778<br>LEI: ZTMSNXROF84AHWJNKQ93 | Long             | DBT              | NUSS              | N/A       |     6400000 | PA      | $6660864.00   | 0.04%             | 2033-07-31      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| INTERPUBLIC GROUP COS                           | INTERPUBLIC GROUP OF COS INC/THE                                                | CUSIP: 460690BP4<br>LEI: 5493008IUOJ5VWTRC333 | Long             | DBT              | CORP              | US        |     7525000 | PA      | $7500882.38   | 0.04%             | 2028-10-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| INVCO 2021-3A A1R 144A                          | INVESCO CLO 2021-3 LTD                                                          | CUSIP: 46151VAA9<br>LEI: 5493000BVI47XOSBML18 | Long             | ABS-CBDO         | CORP              | KY        |    17000000 | PA      | $17007248.80  | 0.10%             | 2034-10-22      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| INVCO 2023-1A AR 144A                           | INVESCO US CLO 2023-1 LTD                                                       | CUSIP: 46146GAQ5<br>LEI: 54930008KXQ75MGXPQ71 | Long             | ABS-CBDO         | CORP              | JE        |     7800000 | PA      | $7816648.32   | 0.05%             | 2037-04-22      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OP                             | INVITATION HOMES OPERATING PARTNERSHIP LP                                       | CUSIP: 46188BAE2<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              | CORP              | US        |     4206000 | PA      | $4380616.30   | 0.03%             | 2030-08-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OP                             | INVITATION HOMES OPERATING PARTNERSHIP LP                                       | CUSIP: 46188BAA0<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              | CORP              | US        |     4175000 | PA      | $3641130.23   | 0.02%             | 2031-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| IPALCO ENTERPRISES INC                          | IPALCO ENTERPRISES INC                                                          | CUSIP: 462613AR1<br>LEI: 5493000YFVK2DZX0JV43 | Long             | DBT              | CORP              | US        |     9230000 | PA      | $9398696.71   | 0.06%             | 2034-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| IQVIA INC 144A                                  | IQVIA INC                                                                       | CUSIP: 46266TAG3<br>LEI: 549300PLWY28YB00C717 | Long             | DBT              | CORP              | US        |     4585000 | PA      | $4785593.75   | 0.03%             | 2032-06-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| IQVIA INC TL B5 1L USD BANKDEBT                 | IQVIA INC                                                                       | CUSIP: 44969CBP4<br>LEI: 549300PLWY28YB00C717 | Long             | LON              | CORP              | US        |    40408209 | PA      | $40620352.48  | 0.24%             | 2031-01-02      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| IQVIA INC 144A                                  | IQVIA INC                                                                       | CUSIP: 46266TAD0<br>LEI: 549300PLWY28YB00C717 | Long             | DBT              | CORP              | US        |      435000 | PA      | $450225.00    | 0.00%             | 2030-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ISRAEL                                          | ISRAEL GOVERNMENT INTERNATIONAL BOND                                            | CUSIP: 46514Y8B6<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    21745000 | PA      | $22771407.49  | 0.14%             | 2035-02-19      | Fixed         | 5.62%                 | No            |                  2 | On Loan: —       |
| STATE OF ISRAEL                                 | ISRAEL GOVERNMENT INTERNATIONAL BOND                                            | CUSIP: 46514BRL3<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    17955000 | PA      | $18656070.93  | 0.11%             | 2034-03-12      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JACKSON NATL LIFE GLOBAL 144A                   | JACKSON NATIONAL LIFE GLOBAL FUNDING                                            | CUSIP: 46849LVE8<br>LEI: 635400PQXLYXWJI5QD78 | Long             | DBT              | CORP              | US        |     9930000 | PA      | $10309435.23  | 0.06%             | 2030-01-13      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN 144A                    | JANE STREET GROUP / JSG FINANCE INC                                             | CUSIP: 47077WAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     4352000 | PA      | $4575040.00   | 0.03%             | 2031-04-30      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN 144A                    | JANE STREET GROUP / JSG FINANCE INC                                             | CUSIP: 47077WAE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     9630000 | PA      | $10039275.00  | 0.06%             | 2033-05-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN 144A                    | JANE STREET GROUP / JSG FINANCE INC                                             | CUSIP: 47077WAD0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     5305000 | PA      | $5397837.50   | 0.03%             | 2032-11-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| JANE STREET GROUP LLC TL B 1L BANKDEBT          | JANE STREET GROUP LLC                                                           | CUSIP: 47077DAM2<br>LEI: 5493002N1IVX6KHGYO08 | Long             | LON              | CORP              | US        |     9917549 | PA      | $9814108.72   | 0.06%             | 2031-12-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| JERSEY CENTRAL PWR & LT 144A                    | JERSEY CENTRAL POWER & LIGHT CO                                                 | CUSIP: 476556DH5<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |     9780000 | PA      | $9942514.26   | 0.06%             | 2036-01-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| JMIKE 2021-1A A2I 144A                          | JERSEY MIKE'S FUNDING                                                           | CUSIP: 476681AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      452115 | PA      | $442904.11    | 0.00%             | 2052-02-15      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| JONES DESLAURIERS INSURA 144A                   | JONES DESLAURIERS INSURANCE MANAGEMENT INC                                      | CUSIP: 48020RAB1<br>LEI: 549300JQIWNFU00E5424 | Long             | DBT              | CORP              | CA        |     4758000 | PA      | $4978057.50   | 0.03%             | 2030-03-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| JPMCC 2018-WPT AFX 144A                         | JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-WPT                   | CUSIP: 46645WAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9825000 | PA      | $9333946.50   | 0.06%             | 2033-07-05      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| JPMMT 2019-INV3 A3 144A                         | JP MORGAN MORTGAGE TRUST 2019-INV3                                              | CUSIP: 46591LAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3537327 | PA      | $3233734.80   | 0.02%             | 2050-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMMT 2020-INV1 A3 144A                         | JP MORGAN MORTGAGE TRUST 2020-INV1                                              | CUSIP: 46591VAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3120343 | PA      | $2844265.11   | 0.02%             | 2050-08-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMMT 2020-LTV1 A3 144A                         | JP MORGAN MORTGAGE TRUST 2020-LTV1                                              | CUSIP: 46591NAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      254360 | PA      | $251952.54    | 0.00%             | 2050-06-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMMT 2020-LTV1 A15 144A                        | JP MORGAN MORTGAGE TRUST 2020-LTV1                                              | CUSIP: 46591NBH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      102816 | PA      | $101822.39    | 0.00%             | 2050-06-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMMT 2025-DSC2 A1 144A                         | JP MORGAN MORTGAGE TRUST 2025-DSC2                                              | CUSIP: 46659VAA6<br>LEI: 529900SXYOW2J5ABY729 | Long             | ABS-MBS          | CORP              | US        |     9850179 | PA      | $9883377.89   | 0.06%             | 2065-10-25      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| JPMMT 2025-NMQ3 A1 144A                         | JP MORGAN MORTGAGE TRUST SERIES 2025-NQM3                                       | CUSIP: 46659QAC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    14438326 | PA      | $14543714.43  | 0.09%             | 2065-11-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                             | JPMORGAN CHASE & CO                                                             | CUSIP: 46647PBP0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    38833000 | PA      | $36645964.27  | 0.22%             | 2031-05-13      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                             | JPMORGAN CHASE & CO                                                             | CUSIP: 46647PEC6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     8860000 | PA      | $9237108.18   | 0.06%             | 2035-01-23      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                             | JPMORGAN CHASE & CO                                                             | CUSIP: 46647PFE1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    10785000 | PA      | $10801856.96  | 0.06%             | 2036-10-22      | Variable      | 4.81%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                             | JPMORGAN CHASE & CO                                                             | CUSIP: 46647PEQ5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    17695000 | PA      | $17989586.36  | 0.11%             | 2030-10-22      | Variable      | 4.60%                 | No            |                  2 | On Loan: —       |
| JPMORGAN CHASE & CO                             | JPMORGAN CHASE & CO                                                             | CUSIP: 46647PBL9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     4475000 | PA      | $4177416.98   | 0.03%             | 2031-04-22      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                             | JPMORGAN CHASE & CO                                                             | CUSIP: 46647PER3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    12805000 | PA      | $13042084.58  | 0.08%             | 2035-10-22      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                             | JPMORGAN CHASE & CO                                                             | CUSIP: 46647PEY8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     6295000 | PA      | $6527109.24   | 0.04%             | 2031-04-22      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                             | JPMORGAN CHASE & CO                                                             | CUSIP: 46647PBE5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    12398000 | PA      | $11781695.42  | 0.07%             | 2030-10-15      | Variable      | 2.74%                 | No            |                  2 | On Loan: No      |
| KENTUCKY UTILITIES CO                           | KENTUCKY UTILITIES CO                                                           | CUSIP: 491674BP1<br>LEI: AGX0G2MXE54NFNNICD28 | Long             | DBT              | CORP              | US        |     1735000 | PA      | $1776929.75   | 0.01%             | 2055-08-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| KINETIK HOLDINGS LP 144A                        | KINETIK HOLDINGS LP                                                             | CUSIP: 49461MAB6<br>LEI: 549300RD6AJIMYC0HY12 | Long             | DBT              | CORP              | US        |      593000 | PA      | $608566.25    | 0.00%             | 2028-12-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| KKR 34A AR 144A                                 | KKR CLO 34 LTD                                                                  | CUSIP: 48253UAJ5<br>LEI: 254900DSRKUNUNRNUG13 | Long             | ABS-CBDO         | CORP              | KY        |    22740000 | PA      | $22723004.12  | 0.14%             | 2034-07-15      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| KKR 40A AR 144A                                 | KKR CLO 40 LTD                                                                  | CUSIP: 48254UAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     7130000 | PA      | $7131425.29   | 0.04%             | 2034-10-20      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| KKR 2022-43A A1R 144A                           | KKR CLO 43 LTD                                                                  | CUSIP: 48255UAJ3<br>LEI: 25490088LQLWORRKOM10 | Long             | ABS-CBDO         | CORP              | JE        |    11620000 | PA      | $11641535.35  | 0.07%             | 2036-01-15      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| KRAFT FOODS GROUP INC                           | KRAFT HEINZ FOODS CO                                                            | CUSIP: 50076QAE6<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |     2541000 | PA      | $2355984.71   | 0.01%             | 2042-06-04      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| KUWAIT 144A                                     | KUWAIT INTERNATIONAL GOVERNMENT BOND                                            | CUSIP: 501499AF4<br>LEI: 549300FSC1YD0D9XX589 | Long             | DBT              | NUSS              | KW        |    11860000 | PA      | $11901423.78  | 0.07%             | 2035-10-09      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| LAMAR MEDIA CORP TL B 1L BANKDEBT               | LAMAR MEDIA CORP                                                                | CUSIP: 513076BE8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    16225000 | PA      | $16184437.50  | 0.10%             | 2032-09-23      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| LANDSBANKINN HF                                 | LANDSBANKINN HF                                                                 | CUSIP: ZD4547497<br>LEI: 549300TLZPT6JELDWM92 | Long             | DBT              | CORP              | IS        |     1490000 | PA      | $1819124.78   | 0.01%             | 2028-05-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Landsvirkjun Series B Senior Green Notes        | LANDSVIRKJUN SERIES A SNR GREEN NOTES PP                                        | CUSIP: 000000000<br>LEI: 213800Z3CFZOLXPJWN61 | Long             | DBT              | CORP              | IS        |     2435000 | PA      | $2435000.00   | 0.01%             | 2033-05-15      | Fixed         | 5.37%                 | Yes           |                  3 | On Loan: No      |
| LAS VEGAS SANDS CORP                            | LAS VEGAS SANDS CORP                                                            | CUSIP: 517834AE7<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    10677000 | PA      | $10601214.65  | 0.06%             | 2026-08-18      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                             | LCH-PLN IRS 7/21/30 PAY FIX BOFA_C                                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |           1 | NC      | $-1422655.84  | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                             | LCH-PLN IRS 7/22/30 PAY FIX BOFA_C                                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |           1 | NC      | $-1458098.79  | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LEVEL 3 TL B4 1L BANKDEBT                       | LEVEL 3 FINANCING INC                                                           | CUSIP: 52729KAU0<br>LEI: 254900AE5FEFIJOXWL19 | Long             | LON              | CORP              | US        |     8535000 | PA      | $8545668.75   | 0.05%             | 2032-03-29      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC 144A                      | LEVEL 3 FINANCING INC                                                           | CUSIP: 527298CN1<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |    11840000 | PA      | $12136000.00  | 0.07%             | 2034-03-31      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC 144A                      | LEVEL 3 FINANCING INC                                                           | CUSIP: 527298CM3<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |     1380000 | PA      | $1407600.00   | 0.01%             | 2033-06-30      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| LOGICOR FINANCING SARL                          | LOGICOR FINANCING SARL                                                          | CUSIP: ZF4260518<br>LEI: 254900IS16Q1A2TQFN22 | Long             | DBT              | CORP              | LU        |     3055000 | PA      | $3692973.89   | 0.02%             | 2028-07-25      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| LOGICOR FINANCING SARL                          | LOGICOR FINANCING SARL                                                          | CUSIP: YW3213660<br>LEI: 254900IS16Q1A2TQFN22 | Long             | DBT              | CORP              | LU        |     3095000 | PA      | $3717337.29   | 0.02%             | 2029-07-18      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| LOUISVILLE GAS & ELEC                           | LOUISVILLE GAS AND ELECTRIC CO                                                  | CUSIP: 546676BA4<br>LEI: KO3GRIB3RPH1XDX50U72 | Long             | DBT              | CORP              | US        |     1735000 | PA      | $1769387.70   | 0.01%             | 2055-08-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                  | LOWE'S COS INC                                                                  | CUSIP: 548661EM5<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |     2440000 | PA      | $2404341.84   | 0.01%             | 2053-04-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: —       |
| LOWE'S COS INC                                  | LOWE'S COS INC                                                                  | CUSIP: 548661EJ2<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |     4918000 | PA      | $3929914.78   | 0.02%             | 2052-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| LPL HOLDINGS INC                                | LPL HOLDINGS INC                                                                | CUSIP: 50212YAM6<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |     9315000 | PA      | $9526292.15   | 0.06%             | 2035-03-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| LPL HOLDINGS INC                                | LPL HOLDINGS INC                                                                | CUSIP: 50212YAQ7<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |     9123000 | PA      | $9372450.19   | 0.06%             | 2035-06-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: —       |
| MA'ADEN SUKUK LTD 144A                          | MA'ADEN SUKUK LTD                                                               | CUSIP: 55407NAA0<br>LEI: 254900QDNU6I6VA8UL14 | Long             | DBT              | NUSS              | KY        |    29579000 | PA      | $30395633.60  | 0.18%             | 2030-02-13      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MA'ADEN SUKUK LTD 144A                          | MA'ADEN SUKUK LTD                                                               | CUSIP: 55407NAB8<br>LEI: 254900QDNU6I6VA8UL14 | Long             | DBT              | NUSS              | KY        |     5633000 | PA      | $5879293.97   | 0.04%             | 2035-02-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: —       |
| MDPK 2022-60A BR 144A                           | MADISON PARK FUNDING LX LTD                                                     | CUSIP: 557910AS5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     6270000 | PA      | $6287954.15   | 0.04%             | 2037-10-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| MDPK 2023-61A A 144A                            | MADISON PARK FUNDING LXI LTD                                                    | CUSIP: 55822NAA7<br>LEI: 2138008EAUXBYEZRP521 | Long             | ABS-CBDO         | CORP              | JE        |    11305000 | PA      | $11337180.81  | 0.07%             | 2037-01-20      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| MDPK 2020-47A BR 144A                           | MADISON PARK FUNDING XLVII LTD                                                  | CUSIP: 55820FAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4000000 | PA      | $4008000.00   | 0.02%             | 2037-04-19      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| MDPK 2020-47A A1R 144A                          | MADISON PARK FUNDING XLVII LTD                                                  | CUSIP: 55820FAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     5495000 | PA      | $5506580.71   | 0.03%             | 2037-04-19      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| MAGNA INTERNATIONAL INC                         | MAGNA INTERNATIONAL INC                                                         | CUSIP: 559222BD5<br>LEI: 95RWVLFZX6VGDZNNTN43 | Long             | DBT              | CORP              | CA        |      715000 | PA      | $760555.51    | 0.00%             | 2035-06-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| MARS INC 144A                                   | MARS INC                                                                        | CUSIP: 571676BA2<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    16175000 | PA      | $16699053.83  | 0.10%             | 2035-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| MARS INC 144A                                   | MARS INC                                                                        | CUSIP: 571676BB0<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    11635000 | PA      | $11870341.15  | 0.07%             | 2045-05-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                          | MARVELL TECHNOLOGY INC                                                          | CUSIP: 573874AJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    13927000 | PA      | $12942305.39  | 0.08%             | 2031-04-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                          | MARVELL TECHNOLOGY INC                                                          | CUSIP: 573874AS3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    10260000 | PA      | $10582256.34  | 0.06%             | 2035-07-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: —       |
| MARVELL TECHNOLOGY INC                          | MARVELL TECHNOLOGY INC                                                          | CUSIP: 573874AR5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2375000 | PA      | $2405521.13   | 0.01%             | 2030-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| MATCH GROUP HLD II LLC 144A                     | MATCH GROUP HOLDINGS II LLC                                                     | CUSIP: 57667JAC6<br>LEI: 5493003RFFE030RC9167 | Long             | DBT              | CORP              | US        |     7178000 | PA      | $7249780.00   | 0.04%             | 2033-09-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| MED 2024-MOB A 144A                             | MED COMMERCIAL MORTGAGE TRUST 2024-MOB                                          | CUSIP: 55287BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13148793 | PA      | $13102823.50  | 0.08%             | 2041-05-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| MEDLINE TL B 1L BANKDEBT                        | MEDLINE BORROWER LP                                                             | CUSIP: 58503UAJ2<br>LEI: 254900QT3R363TVK6F09 | Long             | LON              | CORP              | US        |     6354850 | PA      | $6361649.69   | 0.04%             | 2030-10-23      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| MEDLINE TL B 1L BANKDEBT                        | MEDLINE BORROWER LP                                                             | CUSIP: 58503UAH6<br>LEI: 254900QT3R363TVK6F09 | Long             | LON              | CORP              | US        |     3650850 | PA      | $3655523.09   | 0.02%             | 2028-10-23      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| MEDLINE BORROWER LP 144A                        | MEDLINE BORROWER LP/MEDLINE CO-ISSUER INC                                       | CUSIP: 58506DAA6<br>LEI: 254900QT3R363TVK6F09 | Long             | DBT              | CORP              | US        |     5260000 | PA      | $5411225.00   | 0.03%             | 2029-04-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                              | META PLATFORMS INC                                                              | CUSIP: 30303MAE2<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    58920000 | PA      | $58511036.28  | 0.35%             | 2055-11-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                              | META PLATFORMS INC                                                              | CUSIP: 30303MAD4<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    11265000 | PA      | $11365247.24  | 0.07%             | 2035-11-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                              | META PLATFORMS INC                                                              | CUSIP: 30303M8X3<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    13900000 | PA      | $13842176.00  | 0.08%             | 2045-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                           | MEXICO GOVERNMENT INTERNATIONAL BOND                                            | CUSIP: 91087BBK5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     8870000 | PA      | $8873568.31   | 0.05%             | 2033-03-22      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| MIDO 2016-6A ARRR 144A                          | MIDOCEAN CREDIT CLO VI                                                          | CUSIP: 59802XBN2<br>LEI: 549300YUUBR2C1GYW366 | Long             | ABS-CBDO         | CORP              | KY        |     1907876 | PA      | $1907938.47   | 0.01%             | 2033-04-20      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| MINERA MEXICO SA DE CV 144A                     | MINERA MEXICO SA DE CV                                                          | CUSIP: 60284MAC6<br>LEI: 2549005BMA2EK49I0T98 | Long             | DBT              | CORP              | MX        |    24830000 | PA      | $25622077.00  | 0.15%             | 2032-02-12      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| MMAF 2021-A A5 144A                             | MMAF EQUIPMENT FINANCE LLC 2021-A                                               | CUSIP: 55317JAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5020000 | PA      | $4973417.91   | 0.03%             | 2043-11-13      | Fixed         | 1.19%                 | No            |                  2 | On Loan: No      |
| MMAF 2024-A A3 144A                             | MMAF EQUIPMENT FINANCE LLC 2024-A                                               | CUSIP: 55318CAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    23220000 | PA      | $23586260.67  | 0.14%             | 2031-07-14      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| MOLINA HEALTHCARE INC 144A                      | MOLINA HEALTHCARE INC                                                           | CUSIP: 60855RAM2<br>LEI: 549300NQQCEQ46YHZ591 | Long             | DBT              | CORP              | US        |     3405000 | PA      | $3400743.75   | 0.02%             | 2033-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MOLINA HEALTHCARE INC 144A                      | MOLINA HEALTHCARE INC                                                           | CUSIP: 60855RAN0<br>LEI: 549300NQQCEQ46YHZ591 | Long             | DBT              | CORP              | US        |     1515000 | PA      | $1543406.25   | 0.01%             | 2031-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                  | MORGAN STANLEY                                                                  | CUSIP: 61747YFK6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    15220000 | PA      | $15649965.00  | 0.09%             | 2030-01-16      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                  | MORGAN STANLEY                                                                  | CUSIP: 61747YFT7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     4674000 | PA      | $4855799.90   | 0.03%             | 2035-07-19      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                  | MORGAN STANLEY                                                                  | CUSIP: 61747YGA7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     7595000 | PA      | $8036208.74   | 0.05%             | 2036-04-17      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| MSRM 2025-DSC2 A1 144A                          | MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-DSC2                        | CUSIP: 61778XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3184712 | PA      | $3209903.63   | 0.02%             | 2070-07-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| MSRM 2025-NQM5 A1 144A                          | MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM5                        | CUSIP: 61779BAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3367615 | PA      | $3390924.13   | 0.02%             | 2070-07-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| MOTOROLA SOLUTIONS INC                          | MOTOROLA SOLUTIONS INC                                                          | CUSIP: 620076CC1<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |    15800000 | PA      | $16459729.00  | 0.10%             | 2035-08-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| MOTOROLA SOLUTIONS INC                          | MOTOROLA SOLUTIONS INC                                                          | CUSIP: 620076BZ1<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |     7860000 | PA      | $8140043.94   | 0.05%             | 2034-04-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                         | MPLX LP                                                                         | CUSIP: 55336VCB4<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     9340000 | PA      | $9373978.92   | 0.06%             | 2033-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                         | MPLX LP                                                                         | CUSIP: 55336VCD0<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     7255000 | PA      | $7292566.39   | 0.04%             | 2055-09-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| MVWOT 2023-1A A 144A                            | MVW 2023-1 LLC                                                                  | CUSIP: 62848PAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    11509202 | PA      | $11645730.65  | 0.07%             | 2040-10-20      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| MVWOT 2023-2A A 144A                            | MVW 2023-2 LLC                                                                  | CUSIP: 55400WAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3274355 | PA      | $3364264.76   | 0.02%             | 2040-11-20      | Fixed         | 6.18%                 | No            |                  2 | On Loan: No      |
| MVWOT 2023-2A B 144A                            | MVW 2023-2 LLC                                                                  | CUSIP: 55400WAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2194106 | PA      | $2245654.61   | 0.01%             | 2040-11-20      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA                                 | MXN/USD FWD 20260116 BOFAUS6N                                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | MX        |           1 | NC      | $-184118.81   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA                                 | MXN/USD FWD 20260116 BOFAUS6N                                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | MX        |           1 | NC      | $439806.96    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NAT GRID ELECTY EM                              | NATIONAL GRID ELECTRICITY DISTRIBUTION EAST MIDLANDS PLC                        | CUSIP: BY9532239<br>LEI: 549300KXFU5Q7NZE9L79 | Long             | DBT              | CORP              | GB        |     3070000 | PA      | $3685208.59   | 0.02%             | 2032-09-20      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| NAVIENT CORP                                    | NAVIENT CORP                                                                    | CUSIP: 63938CAP3<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |     6225000 | PA      | $6917531.25   | 0.04%             | 2031-03-15      | Fixed         | 11.50%                | No            |                  2 | On Loan: No      |
| SLM CORP                                        | NAVIENT CORP                                                                    | CUSIP: 78442FAZ1<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |     3850000 | PA      | $3455375.00   | 0.02%             | 2033-08-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: —       |
| NAVIENT CORP                                    | NAVIENT CORP                                                                    | CUSIP: 63938CAQ1<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |     2924000 | PA      | $3011720.00   | 0.02%             | 2032-06-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: —       |
| NAVIENT CORP                                    | NAVIENT CORP                                                                    | CUSIP: 63938CAN8<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |     9240000 | PA      | $10164000.00  | 0.06%             | 2030-07-25      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| NAVSL 2017-A B 144A                             | NAVIENT PRIVATE EDUCATION LOAN TRUST 2017-A                                     | CUSIP: 63939XAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2833627 | PA      | $2820768.48   | 0.02%             | 2058-12-16      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| NAVSL 2020-CA B 144A                            | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-C                                | CUSIP: 63941KAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    20755000 | PA      | $18824986.32  | 0.11%             | 2068-11-15      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| NAVMT 2025-1 A 144A                             | NAVISTAR FINANCIAL DEALER NOTE MASTER OWNER TRUST II 2025-1                     | CUSIP: 63938PBZ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    13710000 | PA      | $13749783.68  | 0.08%             | 2030-09-25      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| NBN CO LTD                                      | NBN CO LTD                                                                      | CUSIP: ZL1819172<br>LEI: 2549007CRZ2NT7S96A24 | Long             | DBT              | CORP              | AU        |     2965000 | PA      | $3585211.37   | 0.02%             | 2029-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| NBN CO LTD                                      | NBN CO LTD                                                                      | CUSIP: ZL1819206<br>LEI: 2549007CRZ2NT7S96A24 | Long             | DBT              | CORP              | AU        |     2870000 | PA      | $3562852.59   | 0.02%             | 2033-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| NETFLIX INC                                     | NETFLIX INC                                                                     | CUSIP: ZS2938422<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |     3015000 | PA      | $3630766.83   | 0.02%             | 2029-11-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| NETFLIX INC                                     | NETFLIX INC                                                                     | CUSIP: AV1834432<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |     7605000 | PA      | $9347575.84   | 0.06%             | 2029-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| NEUB 2016-21A A1R3 144A                         | NEUBERGER BERMAN CLO XXI LTD                                                    | CUSIP: 64130DBS8<br>LEI: 549300VBBLOSKH8XQ869 | Long             | ABS-CBDO         | CORP              | KY        |    17895000 | PA      | $17935263.75  | 0.11%             | 2039-01-20      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| NEUB 2021-43A AR 144A                           | NEUBERGER BERMAN LOAN ADVISERS CLO 43 LTD                                       | CUSIP: 64134AAJ1<br>LEI: 549300N83MM16HCONB28 | Long             | ABS-CBDO         | CORP              | KY        |     9410000 | PA      | $9403957.84   | 0.06%             | 2036-07-17      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| NRZT 2021-INV2 A4 144A                          | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-INV2                                   | CUSIP: 64831GAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9510729 | PA      | $7864751.57   | 0.05%             | 2051-09-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| NRZT 2025-NQM3 A1 144A                          | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM3                                   | CUSIP: 64832CAC7<br>LEI: 2138002D8CMDYG7QOU84 | Long             | ABS-MBS          | CORP              | US        |    17939028 | PA      | $18153394.44  | 0.11%             | 2065-05-25      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| NRZT 2025-NQM4 A1 144A                          | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM4                                   | CUSIP: 64832FAC0<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |    24959613 | PA      | $25138571.29  | 0.15%             | 2065-07-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| NFL SR SECURED NOTE PP                          | NFL SR SECURED NOTE PP                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     9520000 | PA      | $9520000.00   | 0.06%             | 2030-10-05      | Fixed         | 4.78%                 | Yes           |                  3 | On Loan: No      |
| NIAGARA MOHAWK POWER 144A                       | NIAGARA MOHAWK POWER CORP                                                       | CUSIP: 65364UAU0<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |     9190000 | PA      | $9074913.63   | 0.05%             | 2054-01-17      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| NIAGARA MOHAWK POWER 144A                       | NIAGARA MOHAWK POWER CORP                                                       | CUSIP: 653522DV1<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |    15391000 | PA      | $15837569.87  | 0.09%             | 2055-07-03      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NIAGARA MOHAWK POWER 144A                       | NIAGARA MOHAWK POWER CORP                                                       | CUSIP: 653522DT6<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |    10185000 | PA      | $10240314.74  | 0.06%             | 2030-10-03      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE 144A                    | NISSAN MOTOR ACCEPTANCE CO LLC                                                  | CUSIP: 65480CAL9<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |     8415000 | PA      | $8341158.38   | 0.05%             | 2030-09-30      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE 144A                    | NISSAN MOTOR ACCEPTANCE CO LLC                                                  | CUSIP: 65480CAK1<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |     1802000 | PA      | $1794184.73   | 0.01%             | 2028-09-29      | Fixed         | 5.62%                 | No            |                  2 | On Loan: —       |
| NISSAN MOTOR CO 144A                            | NISSAN MOTOR CO LTD                                                             | CUSIP: 654922AB9<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |     4465000 | PA      | $4656526.18   | 0.03%             | 2030-07-17      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| WOODS 2018-12BA BR 144A                         | NORTHWOODS CAPITAL XII-B LTD                                                    | CUSIP: 66858CAQ0<br>LEI: 549300R06FSYRU75ZW78 | Long             | ABS-CBDO         | CORP              | KY        |    10175000 | PA      | $10177420.63  | 0.06%             | 2031-06-15      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| WOODS 2018-14BA AR 144A                         | NORTHWOODS CAPITAL XIV-B LTD                                                    | CUSIP: 66860CAL7<br>LEI: 549300QQDSTCZ860F679 | Long             | ABS-CBDO         | CORP              | KY        |    12491290 | PA      | $12492793.03  | 0.07%             | 2031-11-13      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC 144A                             | NRG ENERGY INC                                                                  | CUSIP: 629377CL4<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     9592000 | PA      | $9545133.49   | 0.06%             | 2029-06-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC 144A                             | NRG ENERGY INC                                                                  | CUSIP: 629377DD1<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     3035000 | PA      | $3072937.50   | 0.02%             | 2036-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC TL B 1L BANKDEBT                 | NRG ENERGY INC                                                                  | CUSIP: 62937NBC0<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | LON              | CORP              | US        |    76046603 | PA      | $76141661.53  | 0.46%             | 2031-04-16      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP 144A                           | NTT FINANCE CORP                                                                | CUSIP: 62954WAS4<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |     4860000 | PA      | $4962118.32   | 0.03%             | 2030-07-16      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP 144A                           | NTT FINANCE CORP                                                                | CUSIP: 62954WAV7<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |     7105000 | PA      | $7427922.25   | 0.04%             | 2035-07-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP 144A                           | NTT FINANCE CORP                                                                | CUSIP: 62954WAU9<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |     3650000 | PA      | $3767161.35   | 0.02%             | 2032-07-16      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                          | NXP BV / NXP FUNDING LLC / NXP USA INC                                          | CUSIP: 62954HAL2<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    11284000 | PA      | $8311658.99   | 0.05%             | 2042-02-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                          | NXP BV / NXP FUNDING LLC / NXP USA INC                                          | CUSIP: 62954HAY4<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    20770000 | PA      | $19994738.98  | 0.12%             | 2030-05-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                          | NXP BV / NXP FUNDING LLC / NXP USA INC                                          | CUSIP: 62954HAV0<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |     5242000 | PA      | $5238299.15   | 0.03%             | 2029-06-18      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                          | NXP BV / NXP FUNDING LLC / NXP USA INC                                          | CUSIP: 62954HAN8<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    35200000 | PA      | $23631942.40  | 0.14%             | 2051-11-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| NXPT 2024-STOR A 144A                           | NXPT COMMERCIAL MORTGAGE TRUST 2024-STOR                                        | CUSIP: 67119YAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5070000 | PA      | $5039317.37   | 0.03%             | 2041-11-05      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| NYMT 2025-INV1 A1 144A                          | NYMT LOAN TRUST 2025-INV1                                                       | CUSIP: 67120YAC3<br>LEI: 254900KJ201MTW2K6G74 | Long             | ABS-MBS          | CORP              | US        |     2207458 | PA      | $2220960.30   | 0.01%             | 2060-04-25      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| OBX 2019-INV2 A25 144A                          | OBX 2019-INV2 TRUST                                                             | CUSIP: 67112VBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      729801 | PA      | $688471.25    | 0.00%             | 2049-05-27      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| OBX 2019-INV2 A5 144A                           | OBX 2019-INV2 TRUST                                                             | CUSIP: 67112VAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1975270 | PA      | $1868564.62   | 0.01%             | 2049-05-27      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| OBX 2020-EXP2 A8 144A                           | OBX 2020-EXP2 TRUST                                                             | CUSIP: 67448VAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      404810 | PA      | $361788.97    | 0.00%             | 2060-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| OBX 2025-NQM15 A1 144A                          | OBX 2025-NQM15 TRUST                                                            | CUSIP: 67122CAC9<br>LEI: 254900Y3YIZHUWMEGC78 | Long             | ABS-MBS          | CORP              | US        |     6530518 | PA      | $6566856.64   | 0.04%             | 2065-07-27      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| OBX 2025-NQM15 A1F 144A                         | OBX 2025-NQM15 TRUST                                                            | CUSIP: 67122CAD7<br>LEI: 254900Y3YIZHUWMEGC78 | Long             | ABS-MBS          | CORP              | US        |     6909307 | PA      | $6912516.13   | 0.04%             | 2065-07-27      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                        | OCCIDENTAL PETROLEUM CORP                                                       | CUSIP: 674599EA9<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    26910000 | PA      | $31114687.50  | 0.19%             | 2030-07-15      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                        | OCCIDENTAL PETROLEUM CORP                                                       | CUSIP: 674599DJ1<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     2261000 | PA      | $2317525.00   | 0.01%             | 2040-03-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                        | OCCIDENTAL PETROLEUM CORP                                                       | CUSIP: 674599EM3<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     8515000 | PA      | $8225549.61   | 0.05%             | 2054-10-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| OCP 2017-13A AR2 144A                           | OCP CLO 2017-13 LTD                                                             | CUSIP: 67097LAV8<br>LEI: 254900M77QLN2EBJHE11 | Long             | ABS-CBDO         | CORP              | KY        |    10370000 | PA      | $10384351.04  | 0.06%             | 2037-11-26      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| OCP 2017-13A B1R2 144A                          | OCP CLO 2017-13 LTD                                                             | CUSIP: 67097LAX4<br>LEI: 254900M77QLN2EBJHE11 | Long             | ABS-CBDO         | CORP              | KY        |     7015000 | PA      | $7034612.54   | 0.04%             | 2037-11-26      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| OCT49 2020-5A AR 144A                           | OCTAGON INVESTMENT PARTNERS 49 LTD                                              | CUSIP: 67578FAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    13935000 | PA      | $13964758.19  | 0.08%             | 2037-04-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| OCTL 2023-1A A 144A                             | OCTANE RECEIVABLES TRUST 2023-1                                                 | CUSIP: 67571BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      117364 | PA      | $117465.71    | 0.00%             | 2029-05-21      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| OCTL 2023-3A C 144A                             | OCTANE RECEIVABLES TRUST 2023-3                                                 | CUSIP: 67571CAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1160000 | PA      | $1189654.94   | 0.01%             | 2029-08-20      | Fixed         | 6.74%                 | No            |                  2 | On Loan: No      |
| OCTL 2023-3A B 144A                             | OCTANE RECEIVABLES TRUST 2023-3                                                 | CUSIP: 67571CAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3023000 | PA      | $3067286.65   | 0.02%             | 2029-07-20      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| OCTL 2024-1A A2 144A                            | OCTANE RECEIVABLES TRUST 2024-1                                                 | CUSIP: 67571FAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3760476 | PA      | $3788443.12   | 0.02%             | 2030-05-20      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| OCTL 2025-RVM1 A 144A                           | OCTANE RECEIVABLES TRUST 2025-RVM1                                              | CUSIP: 67571HAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     8850000 | PA      | $8867704.43   | 0.05%             | 2046-12-20      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                            | ONEMAIN FINANCE CORP                                                            | CUSIP: 682691AF7<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |     2685000 | PA      | $2819250.00   | 0.02%             | 2031-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                       | ONEOK INC                                                                       | CUSIP: 682680BL6<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    25359000 | PA      | $26988797.57  | 0.16%             | 2033-09-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| OPELLA TL B 1L BANKDEBT                         | OPAL US LLC                                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    14000000 | PA      | $14089740.00  | 0.08%             | 2032-04-28      | Floating      | 6.90%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                     | ORACLE CORP                                                                     | CUSIP: 68389XDK8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     6965000 | PA      | $6846156.21   | 0.04%             | 2032-09-26      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                     | ORACLE CORP                                                                     | CUSIP: 68389XDR3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    43465000 | PA      | $40364033.04  | 0.24%             | 2055-09-26      | Fixed         | 5.95%                 | No            |                  2 | On Loan: —       |
| ORACLE CORP                                     | ORACLE CORP                                                                     | CUSIP: 68389XDM4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     8785000 | PA      | $8588751.89   | 0.05%             | 2035-09-26      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| ORBIA ADVANCE CORP SAB 144A                     | ORBIA ADVANCE CORP SAB DE CV                                                    | CUSIP: 68560EAC2<br>LEI: 549300MVHZ20SBIOEQ79 | Long             | DBT              | CORP              | MX        |    16050000 | PA      | $16027048.50  | 0.10%             | 2030-05-13      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| OZLMF 2012-2A AR4 144A                          | OZLM FUNDING II LTD                                                             | CUSIP: 67108BCG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    11450000 | PA      | $11455862.40  | 0.07%             | 2037-07-30      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                          | PACIFIC GAS AND ELECTRIC CO                                                     | CUSIP: 694308KT3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     3326000 | PA      | $3250666.10   | 0.02%             | 2054-10-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                          | PACIFIC GAS AND ELECTRIC CO                                                     | CUSIP: 694308KY2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    13330000 | PA      | $13431974.50  | 0.08%             | 2032-10-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                          | PACIFIC GAS AND ELECTRIC CO                                                     | CUSIP: 694308KW6<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     7465000 | PA      | $7568390.25   | 0.05%             | 2028-06-04      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                          | PACIFIC GAS AND ELECTRIC CO                                                     | CUSIP: 694308JN8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     5605000 | PA      | $4827423.96   | 0.03%             | 2050-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                          | PACIFIC GAS AND ELECTRIC CO                                                     | CUSIP: 694308JJ7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     6018000 | PA      | $4134799.30   | 0.02%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: —       |
| PALOMINO FUNDING TRUST I 144A                   | PALOMINO FUNDING TRUST I                                                        | CUSIP: 69754AAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     9700000 | PA      | $10273628.90  | 0.06%             | 2028-05-17      | Fixed         | 7.23%                 | No            |                  2 | On Loan: No      |
| PANTHER ESCROW ISSUER 144A                      | PANTHER ESCROW ISSUER LLC                                                       | CUSIP: 69867RAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3040000 | PA      | $3146400.00   | 0.02%             | 2031-06-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| PAYCHEX INC                                     | PAYCHEX INC                                                                     | CUSIP: 704326AC1<br>LEI: 529900K900DW6SUBM174 | Long             | DBT              | CORP              | US        |     6070000 | PA      | $6360953.31   | 0.04%             | 2035-04-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: —       |
| PERMIAN RESOURC OPTG LLC 144A                   | PERMIAN RESOURCES OPERATING LLC                                                 | CUSIP: 71424VAB6<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |     3085000 | PA      | $3150556.25   | 0.02%             | 2033-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| PERU                                            | PERUVIAN GOVERNMENT INTERNATIONAL BOND                                          | CUSIP: 715638FD9<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    16970000 | PA      | $17775226.50  | 0.11%             | 2055-06-30      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                             | PETROLEOS MEXICANOS                                                             | CUSIP: 71654QDE9<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    17110000 | PA      | $16530311.49  | 0.10%             | 2031-01-28      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                             | PETROLEOS MEXICANOS                                                             | CUSIP: 71654QDD1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     9285000 | PA      | $8293396.35   | 0.05%             | 2050-01-23      | Fixed         | 7.69%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                             | PETROLEOS MEXICANOS                                                             | CUSIP: 71654QDL3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    25660000 | PA      | $27373318.20  | 0.16%             | 2029-06-02      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                          | PHILIP MORRIS INTERNATIONAL INC                                                 | CUSIP: 718172EA3<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    16945000 | PA      | $16684385.90  | 0.10%             | 2035-10-29      | Fixed         | 4.62%                 | No            |                  2 | On Loan: —       |
| PNC FINANCIAL SERVICES                          | PNC FINANCIAL SERVICES GROUP INC/THE                                            | CUSIP: 693475CC7<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |     8445000 | PA      | $8863660.88   | 0.05%             | 2036-01-29      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                          | PNC FINANCIAL SERVICES GROUP INC/THE                                            | CUSIP: 693475CE3<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |     5710000 | PA      | $5896340.14   | 0.04%             | 2036-07-21      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| PREF 2024-1A A2 144A                            | POST ROAD EQUIPMENT FINANCE 2024-1 LLC                                          | CUSIP: 737473AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1572408 | PA      | $1579224.24   | 0.01%             | 2029-11-15      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| PROG 2021-SFR8 B 144A                           | PROGRESS RESIDENTIAL 2021-SFR8 TRUST                                            | CUSIP: 74333TAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4920000 | PA      | $4829232.89   | 0.03%             | 2038-10-17      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| PROLOGIS TARGETED US 144A                       | PROLOGIS TARGETED US LOGISTICS FUND LP                                          | CUSIP: 74350LAE4<br>LEI: 5493004DTBWUQ9F2VJ87 | Long             | DBT              | CORP              | US        |     9215000 | PA      | $9035298.29   | 0.05%             | 2036-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| PROLOGIS TARGETED US 144A                       | PROLOGIS TARGETED US LOGISTICS FUND LP                                          | CUSIP: 74350LAD6<br>LEI: 5493004DTBWUQ9F2VJ87 | Long             | DBT              | CORP              | US        |     8500000 | PA      | $8441715.50   | 0.05%             | 2031-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                       | PROSUS NV                                                                       | CUSIP: BT4891235<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |     1710000 | PA      | $1894136.64   | 0.01%             | 2030-01-19      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| PSEG POWER LLC 144A                             | PSEG POWER LLC                                                                  | CUSIP: 69362BBD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1909000 | PA      | $1956236.30   | 0.01%             | 2030-05-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: —       |
| PUBLIC SERVICE OKLAHOMA                         | PUBLIC SERVICE CO OF OKLAHOMA                                                   | CUSIP: 744533BS8<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |    19460000 | PA      | $20068125.00  | 0.12%             | 2036-01-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: —       |
| QNITY TL B 1L BANKDEBT                          | QNITY ELECTRONICS INC                                                           | CUSIP: 74737SAB9<br>LEI: 254900RSUG4J9TFFZX53 | Long             | LON              | CORP              | US        |     2665000 | PA      | $2671662.50   | 0.02%             | 2032-11-01      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| QNITY ELECTRONICS INC 144A                      | QNITY ELECTRONICS INC                                                           | CUSIP: 74743LAB6<br>LEI: 254900RSUG4J9TFFZX53 | Long             | DBT              | CORP              | US        |      335000 | PA      | $345887.50    | 0.00%             | 2033-08-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| QUIKRETE HOLDINGS INC 144A                      | QUIKRETE HOLDINGS INC                                                           | CUSIP: 74843PAA8<br>LEI: 5493007KIN86DIZWZT22 | Long             | DBT              | CORP              | US        |     5039000 | PA      | $5240560.00   | 0.03%             | 2032-03-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| QUIKRETE HOLDINGS INC TL B 1L BANKDEBT          | QUIKRETE HOLDINGS INC                                                           | CUSIP: 74839XAL3<br>LEI: 5493007KIN86DIZWZT22 | Long             | LON              | CORP              | US        |     8806779 | PA      | $8814705.41   | 0.05%             | 2032-01-30      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| RAIZEN FUELS FINANCE 144A                       | RAIZEN FUELS FINANCE SA                                                         | CUSIP: 75102XAE6<br>LEI: 52990010NH26VC32Q522 | Long             | DBT              | CORP              | LU        |     5930000 | PA      | $5088681.25   | 0.03%             | 2037-02-25      | Fixed         | 6.70%                 | No            |                  2 | On Loan: —       |
| RAIZEN FUELS FINANCE 144A                       | RAIZEN FUELS FINANCE SA                                                         | CUSIP: 75102XAB2<br>LEI: 52990010NH26VC32Q522 | Long             | DBT              | CORP              | LU        |     3860000 | PA      | $3341182.30   | 0.02%             | 2034-03-05      | Fixed         | 6.45%                 | No            |                  2 | On Loan: —       |
| RAIZEN FUELS FINANCE 144A                       | RAIZEN FUELS FINANCE SA                                                         | CUSIP: 75102XAD8<br>LEI: 52990010NH26VC32Q522 | Long             | DBT              | CORP              | LU        |    19650000 | PA      | $16183650.40  | 0.10%             | 2035-01-17      | Fixed         | 5.70%                 | No            |                  2 | On Loan: —       |
| RITCHIE BROS AUCTIONEERS 144A                   | RB GLOBAL HOLDINGS INC                                                          | CUSIP: 76774LAC1<br>LEI: 254900LH3N0EGB1LQ203 | Long             | DBT              | CORP              | US        |     3662000 | PA      | $3831367.50   | 0.02%             | 2031-03-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| REALT 2025-1A A1 144A                           | REAL ESTATE ASSET LIQUIDITY TRUST                                               | CUSIP: 75585RSS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | CA        |    59354145 | PA      | $42606121.11  | 0.26%             | 2060-01-12      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                              | REALTY INCOME CORP                                                              | CUSIP: 756109CT9<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |     2805000 | PA      | $2863313.15   | 0.02%             | 2035-04-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| REGAL REXNORD CORP                              | REGAL REXNORD CORP                                                              | CUSIP: 758750AM5<br>LEI: QH78R09VCJGQKPBPYU33 | Long             | DBT              | CORP              | US        |    16795000 | PA      | $17377047.52  | 0.10%             | 2028-04-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| RENAISSANCERE HOLDINGS L                        | RENAISSANCERE HOLDINGS LTD                                                      | CUSIP: 75968NAG6<br>LEI: EK6GB9U3U58PDI411C94 | Long             | DBT              | CORP              | BM        |     1630000 | PA      | $1717564.68   | 0.01%             | 2035-04-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: —       |
| RENTOKIL TERMINIX LLC 144A                      | RENTOKIL TERMINIX FUNDING LLC                                                   | CUSIP: 760130AA2<br>LEI: 984500D5BAA7560EKJ44 | Long             | DBT              | CORP              | US        |    15894000 | PA      | $16216314.43  | 0.10%             | 2030-04-28      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| REVVITY INC                                     | REVVITY INC                                                                     | CUSIP: 714046AM1<br>LEI: 549300IKL1SDPFI7N655 | Long             | DBT              | CORP              | US        |     5508000 | PA      | $5163909.73   | 0.03%             | 2028-09-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| REVVITY INC                                     | REVVITY INC                                                                     | CUSIP: 714046AN9<br>LEI: 549300IKL1SDPFI7N655 | Long             | DBT              | CORP              | US        |     7580000 | PA      | $6647015.70   | 0.04%             | 2031-09-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| RGA GLOBAL FUNDING 144A                         | RGA GLOBAL FUNDING                                                              | CUSIP: 76209PAJ2<br>LEI: 549300Y22K5FOEBMSK42 | Long             | DBT              | CORP              | US        |    10725000 | PA      | $10777327.28  | 0.06%             | 2032-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RIVIAN HLD/AUTO LLC 144A                        | RIVIAN HOLDINGS LLC/RIVIAN LLC/RIVIAN AUTOMOTIVE LLC                            | CUSIP: 76954LAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     5240000 | PA      | $4978000.00   | 0.03%             | 2031-01-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: —       |
| ROCKT 2019-2A AR2 144A                          | ROCKFORD TOWER CLO 2019-2 LTD                                                   | CUSIP: 77341GAS9<br>LEI: 549300IG5M07NI4QKK80 | Long             | ABS-CBDO         | CORP              | KY        |     7742011 | PA      | $7740751.80   | 0.05%             | 2032-08-20      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| ROCKT 2021-2A A1R 144A                          | ROCKFORD TOWER CLO 2021-2 LTD                                                   | CUSIP: 77341LAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     5515000 | PA      | $5512406.85   | 0.03%             | 2034-07-20      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                        | ROGERS COMMUNICATIONS INC                                                       | CUSIP: 775109DE8<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |    18431000 | PA      | $18794090.70  | 0.11%             | 2029-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                        | ROGERS COMMUNICATIONS INC                                                       | CUSIP: 775109DF5<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |    20675000 | PA      | $20983471.00  | 0.13%             | 2034-02-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                        | ROGERS COMMUNICATIONS INC                                                       | CUSIP: 775109DH1<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |     4420000 | PA      | $4657575.00   | 0.03%             | 2055-04-15      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| ROMANIA 144A                                    | ROMANIAN GOVERNMENT INTERNATIONAL BOND                                          | CUSIP: YK6552730<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     9250000 | PA      | $10923842.84  | 0.07%             | 2033-06-07      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ROMANIA 144A                                    | ROMANIAN GOVERNMENT INTERNATIONAL BOND                                          | CUSIP: 77586RAX8<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    23772000 | PA      | $24576409.06  | 0.15%             | 2036-05-16      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| ROMANIA 144A                                    | ROMANIAN GOVERNMENT INTERNATIONAL BOND                                          | CUSIP: 77586RAY6<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    28140000 | PA      | $28898514.26  | 0.17%             | 2030-09-16      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ROSS STORES INC                                 | ROSS STORES INC                                                                 | CUSIP: 778296AG8<br>LEI: 549300ENZFLPGRDFZQ60 | Long             | DBT              | CORP              | US        |    20720000 | PA      | $18219303.20  | 0.11%             | 2031-04-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| RRAM 2024-28RA A1R 144A                         | RR 28 LTD                                                                       | CUSIP: 74989NAA7<br>LEI: 254900ZSKVCYOXP11C98 | Long             | ABS-CBDO         | CORP              | KY        |    21300000 | PA      | $21345170.91  | 0.13%             | 2037-04-15      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| RRAM 2024-34RA A2AR 144A                        | RR 34 LTD                                                                       | CUSIP: 74988WAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     8260000 | PA      | $8283500.53   | 0.05%             | 2039-10-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| RTE RESEAU DE TRANSPORT                         | RTE RESEAU DE TRANSPORT D'ELECTRICITE SADIR                                     | CUSIP: AU5894319<br>LEI: 969500JRJW0K2ET1UP76 | Long             | DBT              | CORP              | FR        |     3900000 | PA      | $4199674.48   | 0.03%             | 2030-09-27      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                        | RTX CORP                                                                        | CUSIP: 75513ECR0<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     5881000 | PA      | $6126743.47   | 0.04%             | 2033-02-27      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                        | RTX CORP                                                                        | CUSIP: 75513ECL3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     2581000 | PA      | $1651321.22   | 0.01%             | 2051-09-01      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| SAMMONS FINANCIAL GLOBAL 144A                   | SAMMONS FINANCIAL GROUP GLOBAL FUNDING                                          | CUSIP: 79587J2A0<br>LEI: 635400IPRNPM6HDHRS48 | Long             | DBT              | CORP              | US        |     9000000 | PA      | $9247887.00   | 0.06%             | 2029-12-10      | Fixed         | 5.10%                 | No            |                  2 | On Loan: —       |
| SAMMONS FINANCIAL GLOBAL 144A                   | SAMMONS FINANCIAL GROUP GLOBAL FUNDING                                          | CUSIP: 79587J2B8<br>LEI: 635400IPRNPM6HDHRS48 | Long             | DBT              | CORP              | US        |     4775000 | PA      | $4849685.78   | 0.03%             | 2028-01-10      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| SANDISK TL 1L BANKDEBT                          | SANDISK CORP                                                                    | CUSIP: 80004YAC7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     4237616 | PA      | $4261474.00   | 0.03%             | 2032-02-20      | Floating      | 6.86%                 | No            |                  2 | On Loan: No      |
| SBCLN 2023-B B 144A                             | SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2023-B                           | CUSIP: 80290CCB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      296033 | PA      | $300065.43    | 0.00%             | 2033-12-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| SDART 2021-1 E                                  | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2021-1                                   | CUSIP: 80286NAH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    24989123 | PA      | $24962159.64  | 0.15%             | 2028-12-15      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| SDART 2021-4 E 144A                             | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2021-4                                   | CUSIP: 80285VAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    34950000 | PA      | $34913477.25  | 0.21%             | 2029-03-15      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| SDART 2025-1 A3                                 | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2025-1                                   | CUSIP: 80288DAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     7575000 | PA      | $7594558.65   | 0.05%             | 2029-01-16      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| SDART 2025-4 A3                                 | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2025-4                                   | CUSIP: 802923AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5125000 | PA      | $5133202.05   | 0.03%             | 2030-04-15      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA                          | SANTANDER HOLDINGS USA INC                                                      | CUSIP: 80282KBN5<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |     9975000 | PA      | $10157931.53  | 0.06%             | 2029-03-20      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| SAN 2025-NQM2 A1 144A                           | SANTANDER MORTGAGE ASSET RECEIVABLE TRUST 2025-NQM2                             | CUSIP: 802638AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7960251 | PA      | $8032222.69   | 0.05%             | 2065-02-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| SARTORIUS FINANCE BV                            | SARTORIUS FINANCE BV                                                            | CUSIP: ZI6854262<br>LEI: 529900JCAKTMRXK9EA58 | Long             | DBT              | CORP              | NL        |    14300000 | PA      | $17627744.79  | 0.11%             | 2035-09-14      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| SAUDI INTERNATIONAL BOND 144A                   | SAUDI GOVERNMENT INTERNATIONAL BOND                                             | CUSIP: 80413TBJ7<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     9600000 | PA      | $9814559.23   | 0.06%             | 2028-01-13      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TRUST 144A                            | SBA TOWER TRUST                                                                 | CUSIP: 78403DAV2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    21685000 | PA      | $20965587.33  | 0.13%             | 2027-04-15      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TRUST 144A                            | SBA TOWER TRUST                                                                 | CUSIP: 78403DBD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    17915000 | PA      | $18020310.10  | 0.11%             | 2029-10-15      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TRUST 144A                            | SBA TOWER TRUST                                                                 | CUSIP: 78403DAX8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    17515000 | PA      | $15662726.75  | 0.09%             | 2031-10-15      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| SDR 2024-DSNY A 144A                            | SDR COMMERCIAL MORTGAGE TRUST 2024-DSNY                                         | CUSIP: 811304AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    24450000 | PA      | $24454393.67  | 0.15%             | 2039-05-15      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| SEB4P 2024-1A A2 144A                           | SEB FUNDING LLC                                                                 | CUSIP: 78433DAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    18126000 | PA      | $18541576.61  | 0.11%             | 2054-04-30      | Fixed         | 7.39%                 | No            |                  2 | On Loan: No      |
| SSTRT 2025-B B 144A                             | SECURITIZED TERM AUTO RECEIVABLES TRUST 2025-B                                  | CUSIP: 81378WAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |     6395501 | PA      | $6446339.78   | 0.04%             | 2032-12-29      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| SEGRO CAPITAL SARL                              | SEGRO CAPITAL SARL                                                              | CUSIP: BV2275139<br>LEI: 549300HY425AKJLQVX75 | Long             | DBT              | CORP              | LU        |     1685000 | PA      | $1870471.38   | 0.01%             | 2030-03-23      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| SEMT 2018-CH1 A2 144A                           | SEQUOIA MORTGAGE TRUST 2018-CH1                                                 | CUSIP: 81747DAB5<br>LEI: 549300ZUG1L9OO3W6B29 | Long             | ABS-MBS          | CORP              | US        |      469643 | PA      | $432557.26    | 0.00%             | 2048-03-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| SEMT 2018-CH2 A3 144A                           | SEQUOIA MORTGAGE TRUST 2018-CH2                                                 | CUSIP: 81747EAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2033546 | PA      | $1922581.52   | 0.01%             | 2048-06-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| SEMT 2018-CH3 A2 144A                           | SEQUOIA MORTGAGE TRUST 2018-CH3                                                 | CUSIP: 81746WAB4<br>LEI: 549300FECQ7XLTBL1027 | Long             | ABS-MBS          | CORP              | US        |      154385 | PA      | $153309.28    | 0.00%             | 2048-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST 144A                   | SERVICE PROPERTIES TRUST                                                        | CUSIP: 81761LAF9<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              | CORP              | US        |     1545000 | PA      | $1373118.75   | 0.01%             | 2027-09-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST 144A                   | SERVICE PROPERTIES TRUST                                                        | CUSIP: 81761LAC6<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              | CORP              | US        |     6575000 | PA      | $6911968.75   | 0.04%             | 2031-11-15      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| SFAST 2024-1A A4 144A                           | SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-1                                | CUSIP: 78435VAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4615000 | PA      | $4687328.13   | 0.03%             | 2031-01-21      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| SFAST 2024-1A C 144A                            | SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-1                                | CUSIP: 78435VAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2340000 | PA      | $2391766.42   | 0.01%             | 2032-01-20      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| SFAST 2024-2A A3 144A                           | SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-2                                | CUSIP: 78397XAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    13299769 | PA      | $13432683.03  | 0.08%             | 2029-11-20      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| SFAST 2024-2A B 144A                            | SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-2                                | CUSIP: 78397XAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2920000 | PA      | $3005201.51   | 0.02%             | 2030-08-20      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| SRFC 2022-3A B 144A                             | SIERRA TIMESHARE 2022-3 RECEIVABLES FUNDING LLC                                 | CUSIP: 826934AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      754025 | PA      | $768331.45    | 0.00%             | 2039-07-20      | Fixed         | 6.32%                 | No            |                  2 | On Loan: No      |
| SRFC 2025-3A A 144A                             | SIERRA TIMESHARE 2025-3 RECEIVABLES FUNDING LLC                                 | CUSIP: 82650FAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     6005740 | PA      | $6027095.83   | 0.04%             | 2044-08-22      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| SPEAK 2018-5A A1R 144A                          | SIGNAL PEAK CLO 5 LTD                                                           | CUSIP: 82666VAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    29505000 | PA      | $29567290.96  | 0.18%             | 2037-04-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO INC 144A                        | SIRIUS XM RADIO LLC                                                             | CUSIP: 82967NBJ6<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |     2645000 | PA      | $2568956.25   | 0.02%             | 2028-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA                          | SKANDINAVISKA ENSKILDA BANKEN AB                                                | CUSIP: ZI3103200<br>LEI: F3JS33DEI6XQ4ZBPTN86 | Long             | DBT              | CORP              | SE        |     3005000 | PA      | $3656835.77   | 0.02%             | 2033-08-17      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA                          | SKANDINAVISKA ENSKILDA BANKEN AB                                                | CUSIP: ZH8095577<br>LEI: F3JS33DEI6XQ4ZBPTN86 | Long             | DBT              | CORP              | SE        |     2905000 | PA      | $3530020.43   | 0.02%             | 2028-11-06      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| SMB 2018-C A2A 144A                             | SMB PRIVATE EDUCATION LOAN TRUST 2018-C                                         | CUSIP: 78449QAB3<br>LEI: 549300V1P5RKG8RJI005 | Long             | ABS-O            | CORP              | US        |     1953580 | PA      | $1944866.61   | 0.01%             | 2035-11-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| SMB 2021-A APT1 144A                            | SMB PRIVATE EDUCATION LOAN TRUST 2021-A                                         | CUSIP: 78448YAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     9793104 | PA      | $8990744.63   | 0.05%             | 2053-01-15      | Fixed         | 1.07%                 | No            |                  2 | On Loan: No      |
| SMURFIT WESTROCK FIN                            | SMURFIT WESTROCK FINANCING DAC                                                  | CUSIP: 83272YAB8<br>LEI: 6354005S6ZLHLVX7VT12 | Long             | DBT              | CORP              | IE        |     3205000 | PA      | $3301015.39   | 0.02%             | 2035-01-15      | Fixed         | 5.42%                 | No            |                  2 | On Loan: —       |
| SNAM SPA 144A                                   | SNAM SPA                                                                        | CUSIP: 83304JAB3<br>LEI: 8156002278562044AF79 | Long             | DBT              | CORP              | IT        |     7900000 | PA      | $8274704.90   | 0.05%             | 2035-05-28      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SNAM SPA 144A                                   | SNAM SPA                                                                        | CUSIP: 83304JAC1<br>LEI: 8156002278562044AF79 | Long             | DBT              | CORP              | IT        |     4425000 | PA      | $4774990.95   | 0.03%             | 2055-05-28      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE 144A                           | SOCIETE GENERALE SA                                                             | CUSIP: 83368RBS0<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    13351000 | PA      | $14605740.33  | 0.09%             | 2034-01-10      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE 144A                           | SOCIETE GENERALE SA                                                             | CUSIP: 83368RBH4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    24245000 | PA      | $23796540.24  | 0.14%             | 2028-01-19      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE 144A                           | SOCIETE GENERALE SA                                                             | CUSIP: 83368RBT8<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    14430000 | PA      | $15678238.29  | 0.09%             | 2053-01-10      | Fixed         | 7.37%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE 144A                           | SOCIETE GENERALE SA                                                             | CUSIP: 83368RCC4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    17160000 | PA      | $17567550.00  | 0.11%             | 2029-04-13      | Variable      | 5.50%                 | No            |                  2 | On Loan: —       |
| SOLVENTUM CORP                                  | SOLVENTUM CORP                                                                  | CUSIP: 83444MAS0<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |    31477000 | PA      | $32199523.06  | 0.19%             | 2054-04-30      | Fixed         | 5.90%                 | No            |                  2 | On Loan: —       |
| SNDPT 2019-1A BRR 144A                          | SOUND POINT CLO XXII LTD                                                        | CUSIP: 83611KAY8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     5045000 | PA      | $5064037.31   | 0.03%             | 2032-01-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIF GAS CO                           | SOUTHERN CALIFORNIA GAS CO                                                      | CUSIP: 842434DC3<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |     7780000 | PA      | $8122957.96   | 0.05%             | 2035-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL                         | SOUTHERN CO GAS CAPITAL CORP                                                    | CUSIP: 8426EPAK4<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |     5660000 | PA      | $5721931.72   | 0.03%             | 2035-09-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL                         | SOUTHERN CO GAS CAPITAL CORP                                                    | CUSIP: 8426EPAJ7<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |     1515000 | PA      | $1514910.62   | 0.01%             | 2028-09-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| SOUTHERN POWER CO                               | SOUTHERN POWER CO                                                               | CUSIP: 843646AY6<br>LEI: 5LADC78JBG2BMZD5XF57 | Long             | DBT              | CORP              | US        |     5100000 | PA      | $5052697.50   | 0.03%             | 2035-10-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| SPRINT CAPITAL CORP                             | SPRINT CAPITAL CORP                                                             | CUSIP: 852060AT9<br>LEI: 549300L17W0GQBR1PO80 | Long             | DBT              | CORP              | US        |    15530000 | PA      | $18907775.00  | 0.11%             | 2032-03-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| SPRINT CAP CORP                                 | SPRINT CAPITAL CORP                                                             | CUSIP: 852060AD4<br>LEI: 549300L17W0GQBR1PO80 | Long             | DBT              | CORP              | US        |    24540000 | PA      | $26441850.00  | 0.16%             | 2028-11-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC 144A                     | STANDARD CHARTERED PLC                                                          | CUSIP: 853254CS7<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |     6880000 | PA      | $7156018.72   | 0.04%             | 2029-01-09      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| IL ST BABS                                      | STATE OF ILLINOIS                                                               | CUSIP: 452152GS4<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |     3042857 | PA      | $3319845.38   | 0.02%             | 2035-07-01      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORP                               | STATE STREET CORP                                                               | CUSIP: 857477DE0<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |     4245000 | PA      | $4243013.34   | 0.03%             | 2036-10-23      | Variable      | 4.78%                 | No            |                  2 | On Loan: No      |
| SFUEL 2025-BA A4 144A                           | STELLANTIS FINANCIAL UNDERWRITTEN ENHANCED LEASE TRUST 2025-B                   | CUSIP: 858933AD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3375000 | PA      | $3396023.89   | 0.02%             | 2029-06-20      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| SFUEL 2025-BA B 144A                            | STELLANTIS FINANCIAL UNDERWRITTEN ENHANCED LEASE TRUST 2025-B                   | CUSIP: 858933AE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1930000 | PA      | $1938012.40   | 0.01%             | 2029-07-20      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| STRIPE INC SERIES A 5.04 2030 PP                | STRIPE INC SERIES A 5.04 2030 PP                                                | CUSIP: 000000000<br>LEI: 549300CLHGIPTCYHQ143 | Long             | DBT              | CORP              | US        |    17200000 | PA      | $17200000.00  | 0.10%             | 2030-09-26      | Fixed         | 5.04%                 | Yes           |                  3 | On Loan: No      |
| SUNOCO LP 144A                                  | SUNOCO LP                                                                       | CUSIP: 86765KAC3<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |     3641000 | PA      | $3836703.75   | 0.02%             | 2032-05-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP 144A                                  | SUNOCO LP                                                                       | CUSIP: 86765KAE9<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |    11410000 | PA      | $11609675.00  | 0.07%             | N/A             | Variable      | 7.88%                 | No            |                  2 | On Loan: No      |
| SUTTER HEALTH                                   | SUTTER HEALTH                                                                   | CUSIP: 86944BAP8<br>LEI: 549300MJCC12LU768G81 | Long             | DBT              | CORP              | US        |     3400000 | PA      | $3546682.80   | 0.02%             | 2032-08-15      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| SUTTER HEALTH                                   | SUTTER HEALTH                                                                   | CUSIP: 86944BAQ6<br>LEI: 549300MJCC12LU768G81 | Long             | DBT              | CORP              | US        |    11135000 | PA      | $11783112.68  | 0.07%             | 2035-08-15      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| SUTTER HEALTH                                   | SUTTER HEALTH                                                                   | CUSIP: 86944BAK9<br>LEI: 549300MJCC12LU768G81 | Long             | DBT              | CORP              | US        |     5265000 | PA      | $5450917.68   | 0.03%             | 2033-08-15      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| SUZANO NETHERLANDS BV                           | SUZANO NETHERLANDS BV                                                           | CUSIP: 86960YAA0<br>LEI: 9845009ZB9F5D6DB3602 | Long             | DBT              | CORP              | NL        |     9140000 | PA      | $9088587.50   | 0.05%             | 2036-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SYMP 2023-40A BR 144A                           | SYMPHONY CLO 40 LTD                                                             | CUSIP: 871989AR0<br>LEI: 25490001HYY3IX1I5Z32 | Long             | ABS-CBDO         | CORP              | BM        |     8515000 | PA      | $8544862.11   | 0.05%             | 2038-01-05      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| SYMP 2015-16A ARR 144A                          | SYMPHONY CLO XVI LTD                                                            | CUSIP: 87165VAX7<br>LEI: 5493004PWOYFPAFQVT02 | Long             | ABS-CBDO         | CORP              | KY        |    13936946 | PA      | $13937260.77  | 0.08%             | 2031-10-15      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| SYMP 2022-31A BR 144A                           | SYMPHONY CLO XXXI LTD                                                           | CUSIP: 87168YAQ3<br>LEI: 549300OJB1EXT6QKOX87 | Long             | ABS-CBDO         | CORP              | BM        |    13970000 | PA      | $13946266.37  | 0.08%             | 2038-01-22      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| SYNIT 2025-A1 A                                 | SYNCHRONY CARD ISSUANCE TRUST                                                   | CUSIP: 87166PAP6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    16765000 | PA      | $17069410.49  | 0.10%             | 2031-02-15      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                    | SYNOPSYS INC                                                                    | CUSIP: 871607AC1<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    11925000 | PA      | $12192143.85  | 0.07%             | 2030-04-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                    | SYNOPSYS INC                                                                    | CUSIP: 871607AG2<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    12155000 | PA      | $12161709.56  | 0.07%             | 2055-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                | T-MOBILE USA INC                                                                | CUSIP: 87264ACY9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    25155000 | PA      | $25750066.68  | 0.15%             | 2033-07-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                | T-MOBILE USA INC                                                                | CUSIP: 87264ADU6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     7650000 | PA      | $7762646.25   | 0.05%             | 2055-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                | T-MOBILE USA INC                                                                | CUSIP: 87264ADY8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    16700000 | PA      | $16548614.50  | 0.10%             | 2056-01-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                | T-MOBILE USA INC                                                                | CUSIP: 87264ABW4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    14080000 | PA      | $13496440.32  | 0.08%             | 2031-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                | T-MOBILE USA INC                                                                | CUSIP: 87264ADW2<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    25215000 | PA      | $25173117.89  | 0.15%             | 2033-01-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| T. Rowe Price Government Reserve Fund           | T. Rowe Price Government Reserve Fund                                           | CUSIP: 76105Y109<br>LEI: 5493002Y0IYARJVQ5N24 | Long             | STIV             | RF                | US        |   807172902 | NS      | $807172902.10 | 4.84%             |  |  |  | No            |                  1 | On Loan: No      |
| TRP INSTITUTIONAL FLOATING RATE FD-Z            | T. Rowe Price Institutional Floating Rate Fund - Class Z                        | CUSIP: 77958B873<br>LEI: 863VOPTBPYYVTH00FU88 | Long             | EC               | RF                | US        |       38256 | NS      | $359220.54    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| TALEN ENERGY SUPPLY TL B 1L BANKDEBT            | TALEN ENERGY SUPPLY LLC                                                         | CUSIP: 87422LBA7<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | LON              | CORP              | US        |     2724589 | PA      | $2724589.34   | 0.02%             | 2032-10-09      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| TALEN ENERGY SUPPLY TL B 1L BANKDEBT            | TALEN ENERGY SUPPLY LLC                                                         | CUSIP: 87422LAY6<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | LON              | CORP              | US        |     5220550 | PA      | $5228015.39   | 0.03%             | 2031-12-13      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| TALEN ENERGY SUPPLY LLC 144A                    | TALEN ENERGY SUPPLY LLC                                                         | CUSIP: 87422VAN8<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | DBT              | CORP              | US        |     5445000 | PA      | $5615156.25   | 0.03%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| TALEN ENERGY SUPPLY LLC 144A                    | TALEN ENERGY SUPPLY LLC                                                         | CUSIP: 87422VAM0<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | DBT              | CORP              | US        |     3020000 | PA      | $3076776.00   | 0.02%             | 2034-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| TALEN ENERGY SUPPLY LLC TL B 1L USD BANKDEBT    | TALEN ENERGY SUPPLY LLC                                                         | CUSIP: 87422LAV2<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | LON              | CORP              | US        |     3204685 | PA      | $3210421.56   | 0.02%             | 2030-05-17      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| TALEN ENERGY SUPPLY LLC 144A                    | TALEN ENERGY SUPPLY LLC                                                         | CUSIP: 87422VAK4<br>LEI: K5K33XN0PQAU1XF7NN66 | Long             | DBT              | CORP              | US        |     5968000 | PA      | $6318620.00   | 0.04%             | 2030-06-01      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                            | TARGA RESOURCES CORP                                                            | CUSIP: 87612GAM3<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |     8995000 | PA      | $9212885.89   | 0.06%             | 2035-08-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                            | TARGA RESOURCES CORP                                                            | CUSIP: 87612GAN1<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |     2705000 | PA      | $2689200.10   | 0.02%             | 2055-05-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                            | TARGA RESOURCES CORP                                                            | CUSIP: 87612GAQ4<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |     5745000 | PA      | $5909036.99   | 0.04%             | 2036-02-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: —       |
| TARGA RESOURCES CORP                            | TARGA RESOURCES CORP                                                            | CUSIP: 87612GAE1<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    15155000 | PA      | $15989949.57  | 0.10%             | 2029-03-01      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                        | TARGA RESOURCES PARTNERS LP / TARGA RESOURCES PARTNERS FINANCE CORP             | CUSIP: 87612BBQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     5907000 | PA      | $6000649.58   | 0.04%             | 2030-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TDC NET AS                                      | TDC NET A/S                                                                     | CUSIP: ZK3492350<br>LEI: 549300SH2G3R15Y3FX20 | Long             | DBT              | CORP              | DK        |     5340000 | PA      | $6860447.07   | 0.04%             | 2031-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP 144A                      | TENET HEALTHCARE CORP                                                           | CUSIP: 88033GDV9<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |      645000 | PA      | $665962.50    | 0.00%             | 2033-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: —       |
| TEXAS INSTRUMENTS INC                           | TEXAS INSTRUMENTS INC                                                           | CUSIP: 882508CM4<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |    16175000 | PA      | $16734347.68  | 0.10%             | 2035-05-23      | Fixed         | 5.10%                 | No            |                  2 | On Loan: —       |
| THERMO FISHER SCIENTIFIC                        | THERMO FISHER SCIENTIFIC INC                                                    | CUSIP: 883556DF6<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |    15170000 | PA      | $15208152.55  | 0.09%             | 2037-10-07      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| TIA 2016-1A ARR 144A                            | TIAA CLO I LTD                                                                  | CUSIP: 87271LAY8<br>LEI: 549300SWQCCOXV4X1761 | Long             | ABS-CBDO         | CORP              | KY        |     5418723 | PA      | $5418883.05   | 0.03%             | 2031-07-20      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| TIME WARNER ENT                                 | TIME WARNER CABLE ENTERPRISES LLC                                               | CUSIP: 88731EAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     7749000 | PA      | $8965174.55   | 0.05%             | 2033-07-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE INC                           | TIME WARNER CABLE LLC                                                           | CUSIP: 88732JAU2<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |     7092000 | PA      | $7174160.82   | 0.04%             | 2039-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE INC                           | TIME WARNER CABLE LLC                                                           | CUSIP: 88732JAJ7<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |     1398000 | PA      | $1426445.11   | 0.01%             | 2037-05-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE INC                           | TIME WARNER CABLE LLC                                                           | CUSIP: 88732JAN8<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |     2193000 | PA      | $2328444.07   | 0.01%             | 2038-07-01      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| TK ELEVATOR TL B 1L BANKDEBT                    | TK ELEVATOR US NEWCO INC                                                        | CUSIP: 8869969C3<br>LEI: 549300C2AFWPAYWS5574 | Long             | LON              | CORP              | US        |     8273079 | PA      | $8318746.36   | 0.05%             | 2030-04-30      | Floating      | 6.95%                 | No            |                  2 | On Loan: No      |
| TKO GROUP TL B5 1L BANKDEBT                     | TKO WORLDWIDE HOLDINGS L                                                        | CUSIP: 90266UAL7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    12105957 | PA      | $12142759.09  | 0.07%             | 2031-11-21      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                           | TORONTO-DOMINION BANK/THE                                                       | CUSIP: 89115KAJ9<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |     9815000 | PA      | $9897338.04   | 0.06%             | 2035-10-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| TOTAL CAPITAL INTL SA                           | TOTALENERGIES CAPITAL INTERNATIONAL SA                                          | CUSIP: 89153VAV1<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |     7904000 | PA      | $5402534.18   | 0.03%             | 2050-05-29      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES CAP INTL                          | TOTALENERGIES CAPITAL INTERNATIONAL SA                                          | CUSIP: 89153VAU3<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |     7180000 | PA      | $5191757.48   | 0.03%             | 2049-07-12      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| TPMT 2019-HY3 A1A 144A                          | TOWD POINT MORTGAGE TRUST 2019-HY3                                              | CUSIP: 89177XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1805503 | PA      | $1806862.27   | 0.01%             | 2059-10-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| TPMT 2024-5 A1B 144A                            | TOWD POINT MORTGAGE TRUST 2024-5                                                | CUSIP: 891944AB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6841377 | PA      | $6844182.19   | 0.04%             | 2064-10-25      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| TPMT 2025-1 A1B 144A                            | TOWD POINT MORTGAGE TRUST 2025-1                                                | CUSIP: 89190KAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7081467 | PA      | $7102045.30   | 0.04%             | 2065-06-25      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| TPMT 2025-1 A1A 144A                            | TOWD POINT MORTGAGE TRUST 2025-1                                                | CUSIP: 89190KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    14037967 | PA      | $14161281.18  | 0.08%             | 2065-06-25      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| TPMT 2025-CES4 A1A 144A                         | TOWD POINT MORTGAGE TRUST 2025-CES4                                             | CUSIP: 89170UAA8<br>LEI: 254900V1XGR6BSB30T32 | Long             | ABS-MBS          | CORP              | US        |    13888726 | PA      | $13949946.54  | 0.08%             | 2065-10-25      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORP                        | TOYOTA MOTOR CREDIT CORP                                                        | CUSIP: 89236TNR2<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |    16175000 | PA      | $16242579.15  | 0.10%             | 2028-09-05      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| TPIC SPV I LLC 2024-1 A1 PP                     | TPIC SPV I LLC                                                                  | CUSIP: 872660AA3<br>LEI: 98450079E44D2D1B6432 | Long             | ABS-O            | CORP              | US        |    21107578 | PA      | $21223669.37  | 0.13%             | 2044-11-30      | Fixed         | 7.13%                 | Yes           |                  3 | On Loan: No      |
| TRANS-ALLEGHENY INTERSTA 144A                   | TRANS-ALLEGHENY INTERSTATE LINE CO                                              | CUSIP: 893045AF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2080000 | PA      | $2138158.88   | 0.01%             | 2031-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TRANSCONT GAS PIPE LINE 144A                    | TRANSCONTINENTAL GAS PIPE LINE CO LLC                                           | CUSIP: 893574AT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     4335000 | PA      | $4354602.87   | 0.03%             | 2056-03-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| TRANSCONT GAS PIPE LINE 144A                    | TRANSCONTINENTAL GAS PIPE LINE CO LLC                                           | CUSIP: 893574AS2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     6230000 | PA      | $6335243.39   | 0.04%             | 2036-03-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC 144A                              | TRANSDIGM INC                                                                   | CUSIP: 893647BS5<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |     2555000 | PA      | $2663587.50   | 0.02%             | 2030-12-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC 144A                              | TRANSDIGM INC                                                                   | CUSIP: 893647BT3<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |     4720000 | PA      | $4944200.00   | 0.03%             | 2031-12-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC 144A                              | TRANSDIGM INC                                                                   | CUSIP: 893647CA3<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |     1690000 | PA      | $1761825.00   | 0.01%             | 2034-01-31      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC TL K 1L BANKDEBT                  | TRANSDIGM INC                                                                   | CUSIP: 89364MCF9<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | LON              | CORP              | US        |     7817596 | PA      | $7825257.07   | 0.05%             | 2030-03-22      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC 144A                              | TRANSDIGM INC                                                                   | CUSIP: 893647BZ9<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |     1480000 | PA      | $1531800.00   | 0.01%             | 2034-01-31      | Fixed         | 6.25%                 | No            |                  2 | On Loan: —       |
| TRANSDIGM TL M 1L BANKDEBT                      | TRANSDIGM INC                                                                   | CUSIP: 89364MCE2<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | LON              | CORP              | US        |     2040000 | PA      | $2043998.40   | 0.01%             | 2032-08-19      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| GRS - SECURITY LENDING COLLATERAL               | TREASURY RESERVE FUND - Collateral                                              | CUSIP: 000000000<br>LEI: 549300SIV6FPS9Y7IH33 | Long             | STIV             | RF                | US        |    99169980 | NS      | $99169980.00  | 0.59%             |  |  |  | No            |                  1 | On Loan: No      |
| TCN 2024-SFR2 A 144A                            | TRICON RESIDENTIAL 2024-SFR2 TRUST                                              | CUSIP: 89616VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     7016782 | PA      | $7050051.68   | 0.04%             | 2040-06-17      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| TRNTS 2018-9A ARRR 144A                         | TRINITAS CLO IX LTD                                                             | CUSIP: 89641JAW6<br>LEI: 549300QFERVNPGSISO16 | Long             | ABS-CBDO         | CORP              | KY        |      370415 | PA      | $370406.38    | 0.00%             | 2032-01-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| TRNTS 2017-7A A1R2 144A                         | TRINITAS CLO VII LTD                                                            | CUSIP: 89641CAU5<br>LEI: 549300F3XEPDOX3FOP69 | Long             | ABS-CBDO         | CORP              | KY        |    14130000 | PA      | $14094549.24  | 0.08%             | 2035-01-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| TX 2024-HOU A 144A                              | TX TRUST 2024-HOU                                                               | CUSIP: 90216DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12745000 | PA      | $12732911.37  | 0.08%             | 2039-06-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                           | UBER TECHNOLOGIES INC                                                           | CUSIP: 90353TAN0<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |    19620000 | PA      | $19750728.06  | 0.12%             | 2030-01-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                           | UBER TECHNOLOGIES INC                                                           | CUSIP: 90353TAU4<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |    13560000 | PA      | $13552257.24  | 0.08%             | 2035-09-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                           | UBER TECHNOLOGIES INC                                                           | CUSIP: 90353TAP5<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |     2750000 | PA      | $2765922.50   | 0.02%             | 2034-09-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC 144A                      | UBER TECHNOLOGIES INC                                                           | CUSIP: 90353TAK6<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |    17774000 | PA      | $17713301.79  | 0.11%             | 2029-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| UCB SA                                          | UCB SA                                                                          | CUSIP: ZD5876747<br>LEI: 2138008J191VLSGY5A09 | Long             | DBT              | CORP              | BE        |     3100000 | PA      | $3716795.99   | 0.02%             | 2030-03-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: —       |
| UKG INC 144A                                    | UKG INC                                                                         | CUSIP: 90279XAA0<br>LEI: 529900FKHWSTQ1GXK240 | Long             | DBT              | CORP              | US        |     3205000 | PA      | $3301150.00   | 0.02%             | 2031-02-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| UKG INC TL B 1L USD BANKDEBT                    | UKG INC                                                                         | CUSIP: 89841EAB1<br>LEI: 529900FKHWSTQ1GXK240 | Long             | LON              | CORP              | US        |    18174680 | PA      | $18159231.63  | 0.11%             | 2031-02-10      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CMG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   116375000 | PA      | $119429843.75 | 0.72%             | 2030-01-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    24515000 | PA      | $24311027.60  | 0.15%             | 2055-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    76690000 | PA      | $65189495.51  | 0.39%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CMM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   126720000 | PA      | $133120349.68 | 0.80%             | 2035-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CLN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    51240000 | PA      | $51147927.87  | 0.31%             | 2029-09-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   304955000 | PA      | $284930416.58 | 1.71%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810UA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    20665000 | PA      | $20486602.98  | 0.12%             | 2054-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   300420000 | PA      | $258842340.66 | 1.55%             | 2042-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CFM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   178645000 | PA      | $180550081.00 | 1.08%             | 2027-09-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    17435000 | PA      | $13076931.01  | 0.08%             | 2041-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   292825000 | PA      | $272727597.41 | 1.63%             | 2054-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CMT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    93360000 | PA      | $95402250.00  | 0.57%             | 2032-03-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CMD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    83985000 | PA      | $86557040.63  | 0.52%             | 2029-12-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   159815000 | PA      | $146655233.59 | 0.88%             | 2043-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CFT3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    30180000 | PA      | $30663351.41  | 0.18%             | 2029-10-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810UB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    25840000 | PA      | $25915703.19  | 0.16%             | 2044-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CJM4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   203480000 | PA      | $210450779.18 | 1.26%             | 2030-11-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   212795000 | PA      | $214299526.62 | 1.28%             | 2027-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CLK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   153940000 | PA      | $154360928.92 | 0.93%             | 2029-08-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    54660000 | PA      | $51363318.75  | 0.31%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   115975000 | PA      | $105745642.00 | 0.63%             | 2053-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    20090000 | PA      | $20543594.43  | 0.12%             | 2034-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: —       |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CJN2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   268140000 | PA      | $274759706.25 | 1.65%             | 2028-11-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   389730000 | PA      | $385117179.10 | 2.31%             | 2044-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CMU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    16555000 | PA      | $16835658.90  | 0.10%             | 2030-03-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CEW7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   120870000 | PA      | $120331750.18 | 0.72%             | 2027-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     7870000 | PA      | $7958537.50   | 0.05%             | 2027-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   106035000 | PA      | $105604232.81 | 0.63%             | 2034-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    37775000 | PA      | $24423898.44  | 0.15%             | 2040-05-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CLJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    60355000 | PA      | $60562470.31  | 0.36%             | 2031-08-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    70785000 | PA      | $66363702.36  | 0.40%             | 2044-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CJX0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   220085000 | PA      | $223867710.94 | 1.34%             | 2031-01-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CKQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   267715000 | PA      | $276813125.61 | 1.66%             | 2034-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810TU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   272825000 | PA      | $265972402.64 | 1.59%             | 2043-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   272955000 | PA      | $254178682.13 | 1.52%             | 2054-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    74730000 | PA      | $72584431.45  | 0.44%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CLR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    97625000 | PA      | $99646142.09  | 0.60%             | 2029-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 91282CBB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   106375000 | PA      | $100275058.59 | 0.60%             | 2027-12-31      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                 | UNITED STATES TREASURY NOTE/BOND                                                | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   145830000 | PA      | $145921143.75 | 0.87%             | 2044-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                          | UNITEDHEALTH GROUP INC                                                          | CUSIP: 91324PEW8<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    24469000 | PA      | $22504848.90  | 0.13%             | 2053-04-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                          | UNITEDHEALTH GROUP INC                                                          | CUSIP: 91324PFQ0<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     7575000 | PA      | $7866463.28   | 0.05%             | 2035-06-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: —       |
| UNITEDHEALTH GROUP INC                          | UNITEDHEALTH GROUP INC                                                          | CUSIP: 91324PFR8<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     4270000 | PA      | $4472295.52   | 0.03%             | 2055-06-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: —       |
| UNITEDHEALTH GROUP INC                          | UNITEDHEALTH GROUP INC                                                          | CUSIP: 91324PEV0<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    16060000 | PA      | $15978864.88  | 0.10%             | 2033-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TYH6 US 10YR NOTE (CBT)MAR26                    | US 10YR NOTE (CBT)MAR26                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |        1964 | NC      | $43247.28     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UXYH6 US 10YR ULTRA FUT MAR26                   | US 10YR ULTRA FUT MAR26                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |       -4334 | NC      | $-156271.08   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| TUH6 US 2YR NOTE (CBT) MAR26                    | US 2YR NOTE (CBT) MAR26                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |       10006 | NC      | $-561401.64   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FVH6 US 5YR NOTE (CBT) MAR26                    | US 5YR NOTE (CBT) MAR26                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |       15822 | NC      | $842837.94    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| USCLN 2023-1 B 144A                             | US BANK NA                                                                      | CUSIP: 90357PAV6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1799559 | PA      | $1818723.93   | 0.01%             | 2032-08-25      | Fixed         | 6.79%                 | No            |                  2 | On Loan: No      |
| WNH6 US ULTRA BOND CBT MAR26                    | US ULTRA BOND CBT MAR26                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |       -2845 | NC      | $-2220227.40  | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA                                 | USD/CHF FWD 20260123 BOFAUS6N                                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-265371.30   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RBC DOMINION SECURITIES INC                     | USD/CHF FWD 20260123 ROYCGB2L                                                   | CUSIP: 000000000<br>LEI: 549300QJJX6CVVUXLE15 | N/A              | DFE              | CORP              | US        |           1 | NC      | $181510.36    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE BANK                            | USD/EUR FWD 20260220 CHASGB2L                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3503.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO                              | USD/EUR FWD 20260220 GSILGB2X                                                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-438900.02   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES INC                             | USD/EUR FWD 20260220 MRMDUS33                                                   | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $11672.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & COMPANY LLC                    | USD/EUR FWD 20260220 MSLNGB2X                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2747.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES                   | USD/EUR FWD 20260220 SCBLGB2L                                                   | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2927.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO DOMINION SECURITIES                     | USD/EUR FWD 20260220 TDOMCATT                                                   | CUSIP: 000000000<br>LEI: SUVUFHICNZMP2WKHG940 | N/A              | DFE              | CORP              | US        |           1 | NC      | $76780.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS SECURITIES LLC                              | USD/EUR FWD 20260220 UBSWGB2L                                                   | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-218785.77   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET GLOBAL MARKETS LLC                 | USD/HUF FWD 20260116 SBOSGB2X                                                   | CUSIP: 000000000<br>LEI: 549300FDEDF5ORXCMQ56 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1476350.69  | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC 144A                     | VENTURE GLOBAL LNG INC                                                          | CUSIP: 92332YAF8<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |     6325000 | PA      | $5384156.25   | 0.03%             | N/A             | Variable      | 9.00%                 | No            |                  2 | On Loan: —       |
| VENTURE GLOBAL LNG INC 144A                     | VENTURE GLOBAL LNG INC                                                          | CUSIP: 92332YAC5<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |     4275000 | PA      | $4504781.25   | 0.03%             | 2029-02-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUE 144A                      | VENTURE GLOBAL PLAQUEMINES LNG LLC                                              | CUSIP: 922966AA4<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |     2905000 | PA      | $3159187.50   | 0.02%             | 2033-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUE 144A                      | VENTURE GLOBAL PLAQUEMINES LNG LLC                                              | CUSIP: 922966AB2<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |     5780000 | PA      | $6430250.00   | 0.04%             | 2035-05-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUE 144A                      | VENTURE GLOBAL PLAQUEMINES LNG LLC                                              | CUSIP: 922966AC0<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |     5655000 | PA      | $5824650.00   | 0.03%             | 2034-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUE 144A                      | VENTURE GLOBAL PLAQUEMINES LNG LLC                                              | CUSIP: 922966AD8<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |     4295000 | PA      | $4466800.00   | 0.03%             | 2036-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| VERD 2024-1A A2 144A                            | VERDANT RECEIVABLES 2024-1 LLC                                                  | CUSIP: 92339MAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3925165 | PA      | $3998672.18   | 0.02%             | 2031-12-12      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| VERISK ANALYTICS INC                            | VERISK ANALYTICS INC                                                            | CUSIP: 92345YAN6<br>LEI: 549300I1YSWNIRKBWP67 | Long             | DBT              | CORP              | US        |     7540000 | PA      | $7627154.86   | 0.05%             | 2036-02-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: —       |
| VERIZON COMMUNICATIONS                          | VERIZON COMMUNICATIONS INC                                                      | CUSIP: 92343VHJ6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    18955000 | PA      | $18994653.86  | 0.11%             | 2055-11-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                          | VERIZON COMMUNICATIONS INC                                                      | CUSIP: 92343VHG2<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     8135000 | PA      | $8110237.06   | 0.05%             | 2036-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VZMT 2023-1 C                                   | VERIZON MASTER TRUST                                                            | CUSIP: 92348KBK8<br>LEI: 5493007MUBNP1GFMEB89 | Long             | ABS-O            | CORP              | US        |     9270000 | PA      | $9275309.86   | 0.06%             | 2029-01-22      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| VERUS 2022-1 A1 144A                            | VERUS SECURITIZATION TRUST 2022-1                                               | CUSIP: 92538WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4510359 | PA      | $4257125.34   | 0.03%             | 2067-01-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| VERUS 2025-8 A1F 144A                           | VERUS SECURITIZATION TRUST 2025-8                                               | CUSIP: 924930AD2<br>LEI: 213800K8E68XJS6Z1D09 | Long             | ABS-MBS          | CORP              | US        |     5217237 | PA      | $5212066.12   | 0.03%             | 2070-09-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| VSTA 2020-2 A1 144A                             | VISTA POINT SECURITIZATION TRUST 2020-2                                         | CUSIP: 92838TAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1080509 | PA      | $1044280.33   | 0.01%             | 2065-04-25      | Variable      | 1.48%                 | No            |                  2 | On Loan: No      |
| VISTRA CORP 144A                                | VISTRA CORP                                                                     | CUSIP: 92840MAB8<br>LEI: 549300KP43CPCUJOOG15 | Long             | DBT              | CORP              | US        |     2470000 | PA      | $2513225.00   | 0.02%             | N/A             | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| VISTRA CORP 144A                                | VISTRA CORP                                                                     | CUSIP: 92840MAD4<br>LEI: 549300KP43CPCUJOOG15 | Long             | DBT              | CORP              | US        |    17455000 | PA      | $19244137.50  | 0.12%             | N/A             | Variable      | 8.88%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC 144A                   | VISTRA OPERATIONS CO LLC                                                        | CUSIP: 92840VAU6<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |      443000 | PA      | $457197.26    | 0.00%             | 2034-12-30      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC 144A                   | VISTRA OPERATIONS CO LLC                                                        | CUSIP: 92840VAQ5<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    20930000 | PA      | $23328473.35  | 0.14%             | 2033-10-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC 144A                   | VISTRA OPERATIONS CO LLC                                                        | CUSIP: 92840VAS1<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     5820000 | PA      | $6122028.90   | 0.04%             | 2034-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VMED O2 UK FINANCING I 144A                     | VMED O2 UK FINANCING I PLC                                                      | CUSIP: 92858RAD2<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |     3509000 | PA      | $3645949.25   | 0.02%             | 2032-04-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: —       |
| VNDO 2016-350P D 144A                           | VNDO TRUST 2016-350P                                                            | CUSIP: 91831UAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8849000 | PA      | $8705175.43   | 0.05%             | 2035-01-10      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA 144A                   | VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                                         | CUSIP: 928668CW0<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |     6185000 | PA      | $6215696.16   | 0.04%             | 2028-09-11      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN LEASING GMBH                         | VOLKSWAGEN LEASING GMBH                                                         | CUSIP: ZF1455392<br>LEI: 5299004GLEUX88BSNB74 | Long             | DBT              | CORP              | DE        |     3035000 | PA      | $3619740.54   | 0.02%             | 2028-10-11      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| VOYA 2021-2A A1R 144A                           | VOYA CLO 2021-2 LTD                                                             | CUSIP: 92919AAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    35005000 | PA      | $34961243.75  | 0.21%             | 2038-04-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                        | WARNERMEDIA HOLDINGS INC                                                        | CUSIP: 55903VBW2<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    10040000 | PA      | $8006900.00   | 0.05%             | 2042-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| WB 2024-HQ A 144A                               | WB COMMERCIAL MORTGAGE TRUST 2024-HQ                                            | CUSIP: 92943PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13100000 | PA      | $13107028.15  | 0.08%             | 2040-03-15      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| WEC ENERGY PP                                   | WEC ENERGY PP                                                                   | CUSIP: 000000000<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |     5060000 | PA      | $5150321.00   | 0.03%             | 2055-06-15      | Variable      | 6.69%                 | Yes           |                  3 | On Loan: No      |
| WELLS FARGO & COMPANY                           | WELLS FARGO & CO                                                                | CUSIP: 95000U2J1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    49550000 | PA      | $46325484.20  | 0.28%             | 2031-02-11      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                           | WELLS FARGO & CO                                                                | CUSIP: 95000U3W1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    39452000 | PA      | $40784412.40  | 0.24%             | 2031-04-23      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| WFCM 2025-5C6 A3                                | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-5C6                                  | CUSIP: 95004TAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    19800000 | PA      | $20459203.38  | 0.12%             | 2058-10-15      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| WFLF 2025-3A A1 144A                            | WHEELS FLEET LEASE FUNDING 1 LLC                                                | CUSIP: 96328GCP0<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-O            | CORP              | US        |    18005000 | PA      | $18021879.69  | 0.11%             | 2040-09-18      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| WEF 2025-1A A2 144A                             | WINGSPIRE EQUIPMENT FINANCE 2025-1 LLC                                          | CUSIP: 97415CAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2520000 | PA      | $2521469.66   | 0.02%             | 2033-09-20      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| WINTERSHALL DEA FINANCE                         | WINTERSHALL DEA FINANCE BV                                                      | CUSIP: ZR6354867<br>LEI: 529900SUC9JUI6M74U66 | Long             | DBT              | CORP              | NL        |     1800000 | PA      | $1861407.94   | 0.01%             | 2031-09-25      | Fixed         | 1.82%                 | No            |                  2 | On Loan: No      |
| WYNNTON FUNDING TRUST 144A                      | WYNNTON FUNDING TRUST                                                           | CUSIP: 983196AA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     7995000 | PA      | $8099806.46   | 0.05%             | 2035-08-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| XPLR INFRAST OPERATING 144A                     | XPLR INFRASTRUCTURE OPERATING PARTNERS LP                                       | CUSIP: 98380MAB1<br>LEI: 549300KJEC5IUVJWR786 | Long             | DBT              | CORP              | US        |     4360000 | PA      | $4561650.00   | 0.03%             | 2033-03-15      | Fixed         | 8.62%                 | No            |                  2 | On Loan: —       |
| YUM! BRANDS INC                                 | YUM! BRANDS INC                                                                 | CUSIP: 988498AR2<br>LEI: 549300JE8XHZZ7OHN517 | Long             | DBT              | CORP              | US        |     3270000 | PA      | $3310875.00   | 0.02%             | 2032-04-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-01-05

**Name of Applicant:** T. ROWE PRICE NEW INCOME FUND, INC.

**Signature:** /s/ Alan Dupski

**Name of Signer:** Alan Dupski

**Title:** Treasurer & Vice President