# EDGAR Filing Document

**Accession Number:** 0001120924
**File Stem:** 0001120924-23-000012
**Filing Date:** 2023-3
**Character Count:** 549570
**Document Hash:** de13df48b1841d653fea542a2400ed2f
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001120924-23-000012.hdr.sgml**: 20230330

**ACCESSION NUMBER**: 0001120924-23-000012

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20230131

**FILED AS OF DATE**: 20230330

**DATE AS OF CHANGE**: 20230330

**PERIOD START**: 20231031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** T. Rowe Price QM U.S. Bond Index Fund, Inc.
- **CENTRAL INDEX KEY:** 0001120924
- **IRS NUMBER:** 522273334
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-10093
- **FILM NUMBER:** 23779024

**BUSINESS ADDRESS:**
- **STREET 1:** 100 EAST PRATT STREET
- **CITY:** BALTIMORE
- **STATE:** MD
- **ZIP:** 21202
- **BUSINESS PHONE:** 410-345-2000

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

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** T. Rowe Price U.S. Bond Enhanced Index Fund, Inc.
- **DATE OF NAME CHANGE:** 20110509

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** T. Rowe Price U.S. Bond Index Fund, Inc.
- **DATE OF NAME CHANGE:** 20051028

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** T ROWE PRICE US BOND INDEX FUND INC
- **DATE OF NAME CHANGE:** 20000802

## Series and Classes Contracts Data

### T. Rowe Price QM U.S. Bond Index Fund (Series ID: S000002166)

| Class ID   | Class Name                                    | Ticker Symbol   |
|:---|:---|:---|
| C000005563 | T. Rowe Price QM U.S. Bond Index Fund         | PBDIX           |
| C000222342 | T. Rowe Price QM U.S. Bond Index Fund-Z Class | TSBZX           |
| C000222343 | T. Rowe Price QM U.S. Bond Index Fund-I Class | TSBLX           |

## 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 QM U.S. BOND INDEX FUND, INC.

- **b. Investment Company Act file number:** 811-10093

- **c. CIK number of Registrant:** 0001120924

- **d. LEI of Registrant:** 549300527OEH1B08TY97

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

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

  - **City:** Baltimore

  - **State:** MD

  - **Foreign country:** US

  - **Zip / Postal Code:** 21202

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

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

- **a. Name of Series:** T. Rowe Price QM U.S. Bond Index Fund

- **b. EDGAR series identifier (if any):** S000002166

- **c. LEI of Series:** 6CAOB2FK4HV4SJGM1O42

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

- **a. Date of fiscal year-end:** 2023-10-31

- **b. Date as of which information is reported:** 2023-01-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1251541322.96

**Total Liabilities:** $24676613.28

**Net Assets:** $1226864709.68

**Stand-by Commitments:** $11964865.21

**Cash Not Reported:** $113.49

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -920.215318 | **1-Year:** -29827.235674 | **5-Year:** -133062.213160 | **10-Year:** -210028.300919 | **30-Year:** -70316.143134

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

- **3-Month:** -8.218162 | **1-Year:** -198.660529 | **5-Year:** -550.819024 | **10-Year:** -434.169607 | **30-Year:** 0.000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000222342 | 3.51%                | -0.52%               | 3.32%                |
| Class ID C000222343 | 3.61%                | -0.53%               | 3.30%                |
| Class ID C000005563 | 3.49%                | -0.54%               | 3.30%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-280153.38              | $36842376.60                               |
| Month 2  | $-22440.80               | $-9405279.18                               |
| Month 3  | $-701453.27              | $35292502.32                               |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| ABN AMRO Bank NV                                                                 | ABN AMRO BANK NV                                                                 | CUSIP: 00080QAF2<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |    390000 | PA      | $382480.80    | 0.03%             | 2025-07-28      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| AIA Group Ltd                                                                    | AIA GROUP LTD                                                                    | CUSIP: 00131LAB1<br>LEI: ZP5ILWVSYE4LJGMMVD57 | Long             | DBT              | CORP              | HK        |    510000 | PA      | $493780.47    | 0.04%             | 2025-03-11      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Aon Global Ltd                                                                   | AON GLOBAL LTD                                                                   | CUSIP: 00185AAK0<br>LEI: VVT2B79I2Z4U3R6BY589 | Long             | DBT              | CORP              | GB        |    405000 | PA      | $396942.93    | 0.03%             | 2025-12-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| APA Infrastructure Ltd                                                           | APA INFRASTRUCTURE LTD                                                           | CUSIP: 00205GAD9<br>LEI: 261700SS8OEHDOCOUJ33 | Long             | DBT              | CORP              | AU        |    385000 | PA      | $368193.98    | 0.03%             | 2027-07-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                         | AT&T INC                                                                         | CUSIP: 00206RHJ4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1020000 | PA      | $1000508.82   | 0.08%             | 2029-03-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                         | AT&T INC                                                                         | CUSIP: 00206RKH4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   3500000 | PA      | $2850988.00   | 0.23%             | 2032-02-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Abbott Laboratories                                                              | ABBOTT LABORATORIES                                                              | CUSIP: 002824BE9<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |    784000 | PA      | $776162.35    | 0.06%             | 2023-11-30      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Abbott Laboratories                                                              | ABBOTT LABORATORIES                                                              | CUSIP: 002824BG4<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |   1535000 | PA      | $1600037.95   | 0.13%             | 2036-11-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc                                                                       | ABBVIE INC                                                                       | CUSIP: 00287YAR0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   1235000 | PA      | $1206741.97   | 0.10%             | 2035-05-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc                                                                       | ABBVIE INC                                                                       | CUSIP: 00287YAS8<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   1385000 | PA      | $1324373.01   | 0.11%             | 2045-05-14      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc                                                                       | ABBVIE INC                                                                       | CUSIP: 00287YAW9<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   1280000 | PA      | $1177222.40   | 0.10%             | 2046-05-14      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc                                                                       | ABBVIE INC                                                                       | CUSIP: 00287YAY5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    225000 | PA      | $215991.45    | 0.02%             | 2026-05-14      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Chubb INA Holdings Inc                                                           | CHUBB INA HOLDINGS INC                                                           | CUSIP: 00440EAR8<br>LEI: CZCBJZWDMLTHWJDXU843 | Long             | DBT              | CORP              | US        |    550000 | PA      | $539600.60    | 0.04%             | 2024-05-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust                        | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                        | CUSIP: 00774MAF2<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1915000 | PA      | $1903151.90   | 0.16%             | 2023-07-03      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust                        | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                        | CUSIP: 00774MAK1<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    825000 | PA      | $821116.73    | 0.07%             | 2024-01-16      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust                        | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                        | CUSIP: 00774MAN5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    655000 | PA      | $665147.92    | 0.05%             | 2025-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Air Products and Chemicals Inc                                                   | AIR PRODUCTS AND CHEMICALS INC                                                   | CUSIP: 009158BB1<br>LEI: 7QEON6Y1RL5XR3R1W237 | Long             | DBT              | CORP              | US        |    150000 | PA      | $138978.60    | 0.01%             | 2025-10-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Province of Alberta Canada                                                       | PROVINCE OF ALBERTA CANADA                                                       | CUSIP: 013051EA1<br>LEI: LQPXMHHNJKIPJYE53543 | Long             | DBT              | NUSS              | CA        |   1605000 | PA      | $1553119.98   | 0.13%             | 2028-03-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Alexandria Real Estate Equities Inc                                              | ALEXANDRIA REAL ESTATE EQUITIES INC                                              | CUSIP: 015271AJ8<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9718.61      | 0.00%             | 2027-01-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Alexandria Real Estate Equities Inc                                              | ALEXANDRIA REAL ESTATE EQUITIES INC                                              | CUSIP: 015271AS8<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |   1975000 | PA      | $1619168.20   | 0.13%             | 2050-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Alfa SAB de CV                                                                   | ALFA SAB DE CV                                                                   | CUSIP: 015398AB6<br>LEI: 549300ZCGJ6T8YDJ4M34 | Long             | DBT              | CORP              | MX        |    200000 | PA      | $198813.28    | 0.02%             | 2024-03-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Alibaba Group Holding Ltd                                                        | ALIBABA GROUP HOLDING LTD                                                        | CUSIP: 01609WAU6<br>LEI: 5493001NTNQJDH60PM02 | Long             | DBT              | CORP              | KY        |   2300000 | PA      | $2011456.63   | 0.16%             | 2037-12-06      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE OR FREDDIE MAC                                                        | FANNIE MAE OR FREDDIE MAC                                                        | CUSIP: 01F020620<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4210000 | PA      | $3538373.44   | 0.29%             | 2050-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE OR FREDDIE MAC                                                        | FANNIE MAE OR FREDDIE MAC                                                        | CUSIP: 01F040628<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    255000 | PA      | $246234.38    | 0.02%             | 2039-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Allstate Corp/The                                                                | ALLSTATE CORP/THE                                                                | CUSIP: 020002AP6<br>LEI: OBT0W1ED8G0NWVOLOJ77 | Long             | DBT              | CORP              | US        |    150000 | PA      | $161043.75    | 0.01%             | 2032-12-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Ally Financial Inc                                                               | ALLY FINANCIAL INC                                                               | CUSIP: 02005NBP4<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   1505000 | PA      | $1256905.27   | 0.10%             | 2028-11-02      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Altria Group Inc                                                                 | ALTRIA GROUP INC                                                                 | CUSIP: 02209SBH5<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    250000 | PA      | $237503.75    | 0.02%             | 2025-05-06      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Amazon.com Inc                                                                   | AMAZON.COM INC                                                                   | CUSIP: 023135AZ9<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    585000 | PA      | $569307.96    | 0.05%             | 2024-08-22      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| America Movil SAB de CV                                                          | AMERICA MOVIL SAB DE CV                                                          | CUSIP: 02364WAJ4<br>LEI: 5493000FNR3UCEAONM59 | Long             | DBT              | CORP              | MX        |    300000 | PA      | $334511.57    | 0.03%             | 2035-03-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| America Movil SAB de CV                                                          | AMERICA MOVIL SAB DE CV                                                          | CUSIP: 02364WBH7<br>LEI: 5493000FNR3UCEAONM59 | Long             | DBT              | CORP              | MX        |   1475000 | PA      | $1381286.79   | 0.11%             | 2029-04-22      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| America Movil SAB de CV                                                          | AMERICA MOVIL SAB DE CV                                                          | CUSIP: 02364WBJ3<br>LEI: 5493000FNR3UCEAONM59 | Long             | DBT              | CORP              | MX        |   1500000 | PA      | $1325138.57   | 0.11%             | 2030-05-07      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| American Airlines 2016-1 Class B Pass Through Trust                              | AMERICAN AIRLINES 2016-1 CLASS B PASS THROUGH TRUST                              | CUSIP: 02376YAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    590289 | PA      | $577007.36    | 0.05%             | 2024-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| American Airlines 2014-1 Class A Pass Through Trust                              | AMERICAN AIRLINES 2014-1 CLASS A PASS THROUGH TRUST                              | CUSIP: 02377AAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    503765 | PA      | $445831.79    | 0.04%             | 2026-10-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| American Airlines 2019-1 Class AA Pass Through Trust                             | AMERICAN AIRLINES 2019-1 CLASS AA PASS THROUGH TRUST                             | CUSIP: 02377LAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     30255 | PA      | $25656.34     | 0.00%             | 2032-02-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| American International Group Inc                                                 | AMERICAN INTERNATIONAL GROUP INC                                                 | CUSIP: 026874DC8<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | DBT              | CORP              | US        |    425000 | PA      | $393003.45    | 0.03%             | 2035-01-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| American Municipal Power Inc                                                     | AMERICAN MUNICIPAL POWER INC                                                     | CUSIP: 02765UCY8<br>LEI: EARKGGZJJEMVD66XQ486 | Long             | DBT              | MUN               | US        |   2005000 | PA      | $2257938.17   | 0.18%             | 2044-02-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| American Tower Corp                                                              | AMERICAN TOWER CORP                                                              | CUSIP: 03027XAZ3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |   1010000 | PA      | $957813.30    | 0.08%             | 2025-03-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Amgen Inc                                                                        | AMGEN INC                                                                        | CUSIP: 031162CY4<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   1239000 | PA      | $800542.68    | 0.07%             | 2053-09-01      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust 2020-6                                                  | ANGEL OAK MORTGAGE TRUST 2020-6                                                  | CUSIP: 03465AAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    392974 | PA      | $347890.60    | 0.03%             | 2065-05-25      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust 2021-1                                                  | ANGEL OAK MORTGAGE TRUST 2021-1                                                  | CUSIP: 03465CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1362458 | PA      | $1155042.59   | 0.09%             | 2066-01-25      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust 2021-2                                                  | ANGEL OAK MORTGAGE TRUST 2021-2                                                  | CUSIP: 03465DAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1078873 | PA      | $918662.07    | 0.07%             | 2066-04-25      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust 2020-3                                                  | ANGEL OAK MORTGAGE TRUST 2020-3                                                  | CUSIP: 03465LAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    841558 | PA      | $776378.03    | 0.06%             | 2065-04-25      | Variable      | 1.69%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch InBev Worldwide Inc                                               | ANHEUSER-BUSCH INBEV WORLDWIDE INC                                               | CUSIP: 03523TBU1<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |     30000 | PA      | $31279.89     | 0.00%             | 2039-01-23      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Elevance Health Inc                                                              | ELEVANCE HEALTH INC                                                              | CUSIP: 036752AH6<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |   1135000 | PA      | $1053715.84   | 0.09%             | 2048-03-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Aon Corp / Aon Global Holdings PLC                                               | AON CORP / AON GLOBAL HOLDINGS PLC                                               | CUSIP: 03740LAF9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3075000 | PA      | $3142124.18   | 0.26%             | 2032-09-12      | Fixed         | 5.00%                 | No            |                  2 | On Loan: —       |
| Apple Inc                                                                        | APPLE INC                                                                        | CUSIP: 037833BG4<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |     45000 | PA      | $43923.74     | 0.00%             | 2025-05-13      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Ausgrid Finance Pty Ltd                                                          | AUSGRID FINANCE PTY LTD                                                          | CUSIP: 052113AA5<br>LEI: 549300DN8D7YR73BKB57 | Long             | DBT              | CORP              | AU        |   1120000 | PA      | $1115857.12   | 0.09%             | 2023-05-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Autoridad del Canal de Panama                                                    | AUTORIDAD DEL CANAL DE PANAMA                                                    | CUSIP: 05330GAA2<br>LEI: 549300W1ISP1PW2J2P64 | Long             | DBT              | CORP              | PA        |    295000 | PA      | $286785.21    | 0.02%             | 2035-07-29      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| AutoZone Inc                                                                     | AUTOZONE INC                                                                     | CUSIP: 053332AT9<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |    445000 | PA      | $424620.34    | 0.03%             | 2026-04-21      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| AutoZone Inc                                                                     | AUTOZONE INC                                                                     | CUSIP: 053332AV4<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19428.52     | 0.00%             | 2027-06-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| AutoZone Inc                                                                     | AUTOZONE INC                                                                     | CUSIP: 053332AX0<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |   2320000 | PA      | $2267570.32   | 0.18%             | 2024-04-18      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| AutoZone Inc                                                                     | AUTOZONE INC                                                                     | CUSIP: 053332BA9<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1599732.00   | 0.13%             | 2031-01-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                                         | AVIS BUDGET RENTAL CAR FUNDING AESOP LLC                                         | CUSIP: 05377RDM3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   1170000 | PA      | $1131563.39   | 0.09%             | 2025-09-22      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                                         | AVIS BUDGET RENTAL CAR FUNDING AESOP LLC                                         | CUSIP: 05377RDV3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    655000 | PA      | $608589.65    | 0.05%             | 2026-08-20      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd                                                      | AVOLON HOLDINGS FUNDING LTD                                                      | CUSIP: 05401AAF8<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    495000 | PA      | $479819.84    | 0.04%             | 2024-07-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Equitable Holdings Inc                                                           | EQUITABLE HOLDINGS INC                                                           | CUSIP: 054561AC9<br>LEI: 549300FIBAKMNHPZ4009 | Long             | DBT              | CORP              | US        |    312000 | PA      | $311430.60    | 0.03%             | 2023-04-20      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| BBCMS 2019-BWAY Mortgage Trust                                                   | BBCMS 2019-BWAY MORTGAGE TRUST                                                   | CUSIP: 05492NAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    545000 | PA      | $455018.32    | 0.04%             | 2034-11-15      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| BBCMS 2020-BID Mortgage Trust                                                    | BBCMS 2020-BID MORTGAGE TRUST                                                    | CUSIP: 05493BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3285000 | PA      | $3206800.25   | 0.26%             | 2037-10-15      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| BFLD 2019-DPLO                                                                   | BFLD 2019-DPLO                                                                   | CUSIP: 054970AJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1890000 | PA      | $1847289.78   | 0.15%             | 2034-10-15      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp                                                                 | BAT CAPITAL CORP                                                                 | CUSIP: 05526DBD6<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   1515000 | PA      | $1249943.18   | 0.10%             | 2037-08-15      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                          | BPCE SA                                                                          | CUSIP: 05578QAA1<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    850000 | PA      | $846890.70    | 0.07%             | 2023-10-22      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                          | BPCE SA                                                                          | CUSIP: 05578QAD5<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   1015000 | PA      | $987126.07    | 0.08%             | 2025-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                          | BPCE SA                                                                          | CUSIP: 05583JAF9<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   1550000 | PA      | $1534732.50   | 0.13%             | 2023-09-12      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Baidu Inc                                                                        | BAIDU INC                                                                        | CUSIP: 056752AK4<br>LEI: 254900AL64IANZYI1E02 | Long             | DBT              | CORP              | KY        |   1555000 | PA      | $1540810.63   | 0.13%             | 2023-09-29      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                               | BANCO SANTANDER SA                                                               | CUSIP: 05964HAE5<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    600000 | PA      | $598754.40    | 0.05%             | 2023-02-23      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand | BANCO SANTANDER MEXICO SA INSTITUCION DE BANCA MULTIPLE GRUPO FINANCIERO SANTAND | CUSIP: 05969BAD5<br>LEI: SCRYQ25DTVRHYYMM6P89 | Long             | DBT              | CORP              | MX        |   1260000 | PA      | $1264302.90   | 0.10%             | 2025-04-17      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                               | BANCO SANTANDER SA                                                               | CUSIP: 05971KAF6<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    600000 | PA      | $532741.20    | 0.04%             | 2030-05-28      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | BANK OF AMERICA NA                                                               | CUSIP: 06050TJZ6<br>LEI: B4TYDEB6GKMZO031MB27 | Long             | DBT              | CORP              | US        |    300000 | PA      | $326289.60    | 0.03%             | 2036-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                                             | BANK OF AMERICA CORP                                                             | CUSIP: 06051GFH7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    290000 | PA      | $286450.69    | 0.02%             | 2024-08-26      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                                             | BANK OF AMERICA CORP                                                             | CUSIP: 06051GFM6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    650000 | PA      | $638918.80    | 0.05%             | 2025-01-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                                             | BANK OF AMERICA CORP                                                             | CUSIP: 06051GFX2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    600000 | PA      | $582926.40    | 0.05%             | 2026-04-19      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                                             | BANK OF AMERICA CORP                                                             | CUSIP: 06051GGF0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2280000 | PA      | $2191738.92   | 0.18%             | 2028-01-20      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                                             | BANK OF AMERICA CORP                                                             | CUSIP: 06051GGM5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     45000 | PA      | $41391.45     | 0.00%             | 2038-04-24      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                                             | BANK OF AMERICA CORP                                                             | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1875000 | PA      | $1603436.25   | 0.13%             | 2031-04-29      | Variable      | 2.59%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                                             | BANK OF AMERICA CORP                                                             | CUSIP: 06051GJE0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1575000 | PA      | $1159911.90   | 0.09%             | 2041-06-19      | Variable      | 2.68%                 | No            |                  2 | On Loan: No      |
| Banner Health                                                                    | BANNER HEALTH                                                                    | CUSIP: 06654DAD9<br>LEI: PLD0E0WJKFN8IZJ2WD85 | Long             | DBT              | CORP              | US        |    850000 | PA      | $694817.20    | 0.06%             | 2031-01-01      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Banner Health                                                                    | BANNER HEALTH                                                                    | CUSIP: 06654DAE7<br>LEI: PLD0E0WJKFN8IZJ2WD85 | Long             | DBT              | CORP              | US        |     35000 | PA      | $24382.82     | 0.00%             | 2051-01-01      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| Banque Federative du Credit Mutuel SA                                            | BANQUE FEDERATIVE DU CREDIT MUTUEL SA                                            | CUSIP: 06675FAZ0<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |   3570000 | PA      | $3565130.52   | 0.29%             | 2026-01-26      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                                                     | BARCLAYS PLC                                                                     | CUSIP: 06738EBL8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1640000 | PA      | $1555512.12   | 0.13%             | 2026-05-07      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust 2021-NQM1                                           | BARCLAYS MORTGAGE LOAN TRUST 2021-NQM1                                           | CUSIP: 06744UAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1119403 | PA      | $980481.75    | 0.08%             | 2051-09-25      | Variable      | 2.19%                 | No            |                  2 | On Loan: No      |
| Bay Area Toll Authority                                                          | BAY AREA TOLL AUTHORITY                                                          | CUSIP: 072024NU2<br>LEI: 5493001FUZGUQMIP5D78 | Long             | DBT              | MUN               | US        |    710000 | PA      | $863990.55    | 0.07%             | 2040-04-01      | Fixed         | 6.92%                 | No            |                  2 | On Loan: No      |
| Bay Area Toll Authority                                                          | BAY AREA TOLL AUTHORITY                                                          | CUSIP: 072024YC0<br>LEI: 5493001FUZGUQMIP5D78 | Long             | DBT              | MUN               | US        |   1275000 | PA      | $1035859.47   | 0.08%             | 2041-04-01      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| Becton Dickinson and Co                                                          | BECTON DICKINSON AND CO                                                          | CUSIP: 075887BW8<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |   1114000 | PA      | $1085360.17   | 0.09%             | 2027-06-06      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Becton Dickinson and Co                                                          | BECTON DICKINSON AND CO                                                          | CUSIP: 075887CJ6<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |   2135000 | PA      | $1903292.72   | 0.16%             | 2030-05-20      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| Bestfoods                                                                        | BESTFOODS                                                                        | CUSIP: 08658EAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      5000 | PA      | $5419.54      | 0.00%             | 2028-04-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Biogen Inc                                                                       | BIOGEN INC                                                                       | CUSIP: 09062XAH6<br>LEI: W8J5WZB5IY3K0NDQT671 | Long             | DBT              | CORP              | US        |   2885000 | PA      | $2435874.74   | 0.20%             | 2030-05-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Boardwalk Pipelines LP                                                           | BOARDWALK PIPELINES LP                                                           | CUSIP: 096630AD0<br>LEI: 549300W6AQ2GHHCGL606 | Long             | DBT              | CORP              | US        |    380000 | PA      | $377343.42    | 0.03%             | 2024-12-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Boardwalk Pipelines LP                                                           | BOARDWALK PIPELINES LP                                                           | CUSIP: 096630AF5<br>LEI: 549300W6AQ2GHHCGL606 | Long             | DBT              | CORP              | US        |    230000 | PA      | $223603.24    | 0.02%             | 2027-07-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Boardwalk Pipelines LP                                                           | BOARDWALK PIPELINES LP                                                           | CUSIP: 096630AH1<br>LEI: 549300W6AQ2GHHCGL606 | Long             | DBT              | CORP              | US        |   2130000 | PA      | $1898828.97   | 0.15%             | 2031-02-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Boston Properties LP                                                             | BOSTON PROPERTIES LP                                                             | CUSIP: 10112RAV6<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |    900000 | PA      | $889010.10    | 0.07%             | 2023-09-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| BP Capital Markets America Inc                                                   | BP CAPITAL MARKETS AMERICA INC                                                   | CUSIP: 10373QBE9<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |   1280000 | PA      | $1244826.88   | 0.10%             | 2026-02-11      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co                                                          | BRISTOL-MYERS SQUIBB CO                                                          | CUSIP: 110122CR7<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |   1055000 | PA      | $973219.57    | 0.08%             | 2049-10-26      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Brixmor Operating Partnership LP                                                 | BRIXMOR OPERATING PARTNERSHIP LP                                                 | CUSIP: 11120VAE3<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    495000 | PA      | $466544.43    | 0.04%             | 2027-03-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Brixmor Operating Partnership LP                                                 | BRIXMOR OPERATING PARTNERSHIP LP                                                 | CUSIP: 11120VAJ2<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    760000 | PA      | $692914.04    | 0.06%             | 2030-07-01      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                                                 | BURLINGTON NORTHERN SANTA FE LLC                                                 | CUSIP: 12189TAZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    100000 | PA      | $113253.40    | 0.01%             | 2037-05-01      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| CD 2016-CD2 Mortgage Trust                                                       | CD 2016-CD2 MORTGAGE TRUST                                                       | CUSIP: 12515ABE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    910000 | PA      | $863155.02    | 0.07%             | 2049-11-10      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| Cantor Commercial Real Estate Lending 2019-CF1                                   | CANTOR COMMERCIAL REAL ESTATE LENDING 2019-CF1                                   | CUSIP: 12529MAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    565000 | PA      | $471361.31    | 0.04%             | 2052-05-15      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| Cantor Commercial Real Estate Lending 2019-CF1                                   | CANTOR COMMERCIAL REAL ESTATE LENDING 2019-CF1                                   | CUSIP: 12529MDE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    760000 | PA      | $694020.83    | 0.06%             | 2052-05-15      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| Cigna Corp                                                                       | CIGNA GROUP/THE                                                                  | CUSIP: 125523AF7<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   1005000 | PA      | $999413.21    | 0.08%             | 2023-07-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Cigna Corp                                                                       | CIGNA GROUP/THE                                                                  | CUSIP: 125523BV1<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    340000 | PA      | $336673.44    | 0.03%             | 2023-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CIFC Funding 2021-III Ltd                                                        | CIFC FUNDING 2021-III LTD                                                        | CUSIP: 12564DAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1565000 | PA      | $1544903.71   | 0.13%             | 2036-07-15      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| CMS Energy Corp                                                                  | CMS ENERGY CORP                                                                  | CUSIP: 125896BN9<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |    635000 | PA      | $603248.10    | 0.05%             | 2044-03-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| COMM 2014-UBS5 Mortgage Trust                                                    | COMM 2014-UBS5 MORTGAGE TRUST                                                    | CUSIP: 12592KBC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2720000 | PA      | $2641193.98   | 0.22%             | 2047-09-10      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| COMM 2015-CCRE23 Mortgage Trust                                                  | COMM 2015-CCRE23 MORTGAGE TRUST                                                  | CUSIP: 12593AAZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    896020 | PA      | $863944.21    | 0.07%             | 2048-05-10      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| COMM 2015-LC21 Mortgage Trust                                                    | COMM 2015-LC21 MORTGAGE TRUST                                                    | CUSIP: 12593FBD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1800000 | PA      | $1736769.96   | 0.14%             | 2048-07-10      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| COMM 2017-PANW Mortgage Trust                                                    | COMM 2017-PANW MORTGAGE TRUST                                                    | CUSIP: 12595HAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1195000 | PA      | $1125392.21   | 0.09%             | 2029-10-10      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| CNH Equipment Trust 2019-C                                                       | CNH EQUIPMENT TRUST 2019-C                                                       | CUSIP: 12597CAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2345000 | PA      | $2290512.28   | 0.19%             | 2027-04-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| COLT 2020-3 Mortgage Loan Trust                                                  | COLT 2020-3 MORTGAGE LOAN TRUST                                                  | CUSIP: 12597QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    421401 | PA      | $395661.09    | 0.03%             | 2065-04-27      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| CRH America Finance Inc                                                          | CRH AMERICA FINANCE INC                                                          | CUSIP: 12636YAC6<br>LEI: 549300WEVUODRJ4CWK56 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1641751.20   | 0.13%             | 2028-04-04      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| COLT 2021-6 Mortgage Loan Trust                                                  | COLT 2021-6 MORTGAGE LOAN TRUST                                                  | CUSIP: 12658YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2855193 | PA      | $2485562.81   | 0.20%             | 2066-12-25      | Variable      | 1.91%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                                  | CVS HEALTH CORP                                                                  | CUSIP: 126650CN8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    925000 | PA      | $893180.93    | 0.07%             | 2045-07-20      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                                  | CVS HEALTH CORP                                                                  | CUSIP: 126650DP2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    425000 | PA      | $307197.65    | 0.03%             | 2040-08-21      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                                  | CVS HEALTH CORP                                                                  | CUSIP: 126650DQ0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   1135000 | PA      | $921072.93    | 0.08%             | 2031-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| State of California                                                              | STATE OF CALIFORNIA                                                              | CUSIP: 13063BFR8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1350000 | PA      | $1788577.88   | 0.15%             | 2040-03-01      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| Cameron LNG LLC                                                                  | CAMERON LNG LLC                                                                  | CUSIP: 133434AA8<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |    520000 | PA      | $465820.16    | 0.04%             | 2031-07-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Cameron LNG LLC                                                                  | CAMERON LNG LLC                                                                  | CUSIP: 133434AD2<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |    430000 | PA      | $365029.58    | 0.03%             | 2039-01-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Canadian National Railway Co                                                     | CANADIAN NATIONAL RAILWAY CO                                                     | CUSIP: 136375BL5<br>LEI: 3SU7BEP7TH9YEQOZCS77 | Long             | DBT              | CORP              | CA        |     95000 | PA      | $107781.21    | 0.01%             | 2034-08-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Canadian Natural Resources Ltd                                                   | CANADIAN NATURAL RESOURCES LTD                                                   | CUSIP: 136385BA8<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |   1520000 | PA      | $1329709.68   | 0.11%             | 2030-07-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Canadian Pacific Railway Co                                                      | CANADIAN PACIFIC RAILWAY CO                                                      | CUSIP: 13645RBE3<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |    845000 | PA      | $757507.86    | 0.06%             | 2026-12-02      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp                                                       | CAPITAL ONE FINANCIAL CORP                                                       | CUSIP: 14040HCA1<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    810000 | PA      | $800343.18    | 0.07%             | 2024-01-29      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp                                                       | CAPITAL ONE FINANCIAL CORP                                                       | CUSIP: 14040HCE3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   1430000 | PA      | $1368927.56   | 0.11%             | 2027-05-11      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Cardinal Health Inc                                                              | CARDINAL HEALTH INC                                                              | CUSIP: 14149YBE7<br>LEI: CCU46N3GJMF4OK4N7U60 | Long             | DBT              | CORP              | US        |    905000 | PA      | $882264.59    | 0.07%             | 2025-09-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Cardinal Health Inc                                                              | CARDINAL HEALTH INC                                                              | CUSIP: 14149YBJ6<br>LEI: CCU46N3GJMF4OK4N7U60 | Long             | DBT              | CORP              | US        |   1405000 | PA      | $1340579.35   | 0.11%             | 2027-06-15      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust 2020-3                                                   | CARMAX AUTO OWNER TRUST 2020-3                                                   | CUSIP: 14315FAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2070000 | PA      | $1964467.47   | 0.16%             | 2026-03-16      | Fixed         | 1.09%                 | No            |                  2 | On Loan: No      |
| Carmax Auto Owner Trust 2020-1                                                   | CARMAX AUTO OWNER TRUST 2020-1                                                   | CUSIP: 14315XAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3025000 | PA      | $2928804.70   | 0.24%             | 2025-09-15      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| CARLYLE US CLO 2019-4 LTD                                                        | CARLYLE US CLO 2019-4 LTD                                                        | CUSIP: 14317VAQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2280000 | PA      | $2237820.00   | 0.18%             | 2035-04-15      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress LLC                                                         | DUKE ENERGY PROGRESS LLC                                                         | CUSIP: 144141CY2<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    100000 | PA      | $113464.10    | 0.01%             | 2038-04-01      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust 2021-P4                                           | CARVANA AUTO RECEIVABLES TRUST 2021-P4                                           | CUSIP: 14687KAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1860000 | PA      | $1560671.50   | 0.13%             | 2028-02-10      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| Celulosa Arauco y Constitucion SA                                                | CELULOSA ARAUCO Y CONSTITUCION SA                                                | CUSIP: 151191BB8<br>LEI: 549300QEKV8G0AMNQD28 | Long             | DBT              | CORP              | CL        |    570000 | PA      | $540670.65    | 0.04%             | 2027-11-02      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CenterPoint Energy Houston Electric LLC                                          | CENTERPOINT ENERGY HOUSTON ELECTRIC LLC                                          | CUSIP: 15189XAD0<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |    100000 | PA      | $115846.80    | 0.01%             | 2033-03-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Centra Health Inc                                                                | CENTRA HEALTH INC                                                                | CUSIP: 15236AAA9<br>LEI: 549300Q8RNBDU210L043 | Long             | DBT              | CORP              | US        |     25000 | PA      | $22923.50     | 0.00%             | 2048-01-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC / Charter Communications Operating Capital  | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL  | CUSIP: 161175AY0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1230000 | PA      | $1224148.89   | 0.10%             | 2025-07-23      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC / Charter Communications Operating Capital  | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL  | CUSIP: 161175BU7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2365000 | PA      | $1941402.49   | 0.16%             | 2031-04-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC / Charter Communications Operating Capital  | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL  | CUSIP: 161175BV5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1795000 | PA      | $1185967.27   | 0.10%             | 2051-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Metropolitan Water Reclamation District of Greater Chicago                       | METROPOLITAN WATER RECLAMATION DISTRICT OF GREATER CHICAGO                       | CUSIP: 167560PL9<br>LEI: 254900GOGQEZEWCZ4D37 | Long             | DBT              | MUN               | US        |    480000 | PA      | $530089.15    | 0.04%             | 2038-12-01      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| Chicago O Hare International Airport                                             | CHICAGO O'HARE INTERNATIONAL AIRPORT                                             | CUSIP: 167593AN2<br>LEI: T5UYO5SYLC8K73MJQX30 | Long             | DBT              | MUN               | US        |   1350000 | PA      | $1607079.83   | 0.13%             | 2040-01-01      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| Chicago O Hare International Airport                                             | CHICAGO O'HARE INTERNATIONAL AIRPORT                                             | CUSIP: 167593T44<br>LEI: T5UYO5SYLC8K73MJQX30 | Long             | DBT              | MUN               | US        |    625000 | PA      | $537181.13    | 0.04%             | 2030-01-01      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                                                    | CITIGROUP INC                                                                    | CUSIP: 172967FX4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    450000 | PA      | $490192.65    | 0.04%             | 2042-01-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                                                    | CITIGROUP INC                                                                    | CUSIP: 172967LD1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2050000 | PA      | $1971819.15   | 0.16%             | 2028-01-10      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                                                    | CITIGROUP INC                                                                    | CUSIP: 172967LW9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1920000 | PA      | $1832937.60   | 0.15%             | 2029-04-23      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust 2013-375P                                    | CITIGROUP COMMERCIAL MORTGAGE TRUST 2013-375P                                    | CUSIP: 17320QAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    960000 | PA      | $878400.00    | 0.07%             | 2035-05-10      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust 2014-GC21                                    | CITIGROUP COMMERCIAL MORTGAGE TRUST 2014-GC21                                    | CUSIP: 17322MAY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    890000 | PA      | $858168.62    | 0.07%             | 2047-05-10      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                                | CITIGROUP MORTGAGE LOAN TRUST INC                                                | CUSIP: 17328PAQ6<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |   1308514 | PA      | $1119934.38   | 0.09%             | 2050-08-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Citizens Financial Group Inc                                                     | CITIZENS FINANCIAL GROUP INC                                                     | CUSIP: 174610BA2<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |    575000 | PA      | $538860.68    | 0.04%             | 2031-02-11      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| Cold Storage Trust 2020-ICE5                                                     | COLD STORAGE TRUST 2020-ICE5                                                     | CUSIP: 193051AJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1297547 | PA      | $1274789.42   | 0.10%             | 2037-11-15      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| Colombia Government International Bond                                           | COLOMBIA GOVERNMENT INTERNATIONAL BOND                                           | CUSIP: 195325BQ7<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    260000 | PA      | $256366.30    | 0.02%             | 2024-02-26      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                                                     | COMCAST CORP                                                                     | CUSIP: 20030NBT7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     80000 | PA      | $68416.96     | 0.01%             | 2036-07-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                                                     | COMCAST CORP                                                                     | CUSIP: 20030NCS8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    845000 | PA      | $833484.34    | 0.07%             | 2025-10-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                                                     | COMCAST CORP                                                                     | CUSIP: 20030NDA6<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     10000 | PA      | $8891.14      | 0.00%             | 2030-02-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| CommonSpirit Health                                                              | COMMONSPIRIT HEALTH                                                              | CUSIP: 20268JAA1<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    865000 | PA      | $836382.34    | 0.07%             | 2024-10-01      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| CommonSpirit Health                                                              | COMMONSPIRIT HEALTH                                                              | CUSIP: 20268JAF0<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    980000 | PA      | $834690.50    | 0.07%             | 2030-10-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| CommonSpirit Health                                                              | COMMONSPIRIT HEALTH                                                              | CUSIP: 20268JAG8<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |     40000 | PA      | $32137.00     | 0.00%             | 2050-10-01      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust 2022-R01                                     | CONNECTICUT AVENUE SECURITIES TRUST 2022-R01                                     | CUSIP: 20754LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    461369 | PA      | $455967.26    | 0.04%             | 2041-12-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Corp Nacional del Cobre de Chile                                                 | CORP NACIONAL DEL COBRE DE CHILE                                                 | CUSIP: 21987BBC1<br>LEI: 549300UVMBCBCIPSUI70 | Long             | DBT              | CORP              | CL        |    570000 | PA      | $526966.46    | 0.04%             | 2031-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE                                                                       | CUSIP: 21H020626<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2530000 | PA      | $2186176.95   | 0.18%             | 2050-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE                                                                       | CUSIP: 21H060622<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    845000 | PA      | $865992.97    | 0.07%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE                                                                       | CUSIP: 21H060630<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    770000 | PA      | $787746.09    | 0.06%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                                           | CREDIT SUISSE GROUP AG                                                           | CUSIP: 225401AM0<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   1400000 | PA      | $1278131.40   | 0.10%             | 2025-09-11      | Variable      | 2.59%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                                           | CREDIT SUISSE GROUP AG                                                           | CUSIP: 225401AQ1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   1765000 | PA      | $1545352.81   | 0.13%             | 2026-06-05      | Variable      | 2.19%                 | No            |                  2 | On Loan: No      |
| Credit Suisse AG/New York NY                                                     | CREDIT SUISSE AG/NEW YORK NY                                                     | CUSIP: 22550L2C4<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | CORP              | CH        |   1080000 | PA      | $995659.56    | 0.08%             | 2025-04-09      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Crown Castle Towers LLC                                                          | CROWN CASTLE TOWERS LLC                                                          | CUSIP: 22822RBD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    195000 | PA      | $185111.41    | 0.02%             | 2025-05-15      | Fixed         | 3.66%                 | No            |                  2 | On Loan: No      |
| Crown Castle Inc                                                                 | CROWN CASTLE INC                                                                 | CUSIP: 22822VAC5<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    700000 | PA      | $674993.90    | 0.06%             | 2026-06-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Crown Castle Inc                                                                 | CROWN CASTLE INC                                                                 | CUSIP: 22822VAT8<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |   1665000 | PA      | $1390331.61   | 0.11%             | 2031-01-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| DCP Midstream Operating LP                                                       | DCP MIDSTREAM OPERATING LP                                                       | CUSIP: 23311VAD9<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |     15000 | PA      | $14971.50     | 0.00%             | 2023-03-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Dallas Fort Worth International Airport                                          | DALLAS FORT WORTH INTERNATIONAL AIRPORT                                          | CUSIP: 2350364W7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     15000 | PA      | $12603.55     | 0.00%             | 2038-11-01      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| Dallas Fort Worth International Airport                                          | DALLAS FORT WORTH INTERNATIONAL AIRPORT                                          | CUSIP: 2350366Z8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   3945000 | PA      | $3167904.43   | 0.26%             | 2040-11-01      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| Danske Bank A/S                                                                  | DANSKE BANK A/S                                                                  | CUSIP: 23636AAV3<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   2290000 | PA      | $2175788.54   | 0.18%             | 2025-12-20      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust 2021-2                                      | DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2021-2                                      | CUSIP: 24381WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    457153 | PA      | $396731.44    | 0.03%             | 2066-04-25      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| Delta Air Lines Inc                                                              | DELTA AIR LINES INC                                                              | CUSIP: 247361ZP6<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | DBT              | CORP              | US        |    121000 | PA      | $120243.75    | 0.01%             | 2023-04-19      | Fixed         | 3.80%                 | No            |                  2 | On Loan: —       |
| Detroit City School District                                                     | DETROIT CITY SCHOOL DISTRICT                                                     | CUSIP: 251130EC0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1255000 | PA      | $1373850.88   | 0.11%             | 2029-05-01      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| Discover Bank                                                                    | DISCOVER BANK                                                                    | CUSIP: 25466AAR2<br>LEI: X05BVSK68TQ7YTOSNR22 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1668952.00   | 0.14%             | 2030-02-06      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Walt Disney Co/The                                                               | WALT DISNEY CO/THE                                                               | CUSIP: 254687DD5<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |    285000 | PA      | $278996.19    | 0.02%             | 2025-10-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Discover Financial Services                                                      | DISCOVER FINANCIAL SERVICES                                                      | CUSIP: 254709AL2<br>LEI: Z1YLO2USPORE63VVUL20 | Long             | DBT              | CORP              | US        |   1440000 | PA      | $1395099.36   | 0.11%             | 2025-03-04      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Keurig Dr Pepper Inc                                                             | KEURIG DR PEPPER INC                                                             | CUSIP: 26138EAU3<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |    450000 | PA      | $419682.15    | 0.03%             | 2026-09-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| DRIVEN BRANDS FUNDING LLC                                                        | DRIVEN BRANDS FUNDING LLC                                                        | CUSIP: 26209XAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    780000 | PA      | $691735.20    | 0.06%             | 2050-07-20      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| DRIVEN BRANDS FUNDING LLC                                                        | DRIVEN BRANDS FUNDING LLC                                                        | CUSIP: 26209XAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1683688 | PA      | $1390538.99   | 0.11%             | 2051-10-20      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| Dryden 77 CLO Ltd                                                                | DRYDEN 77 CLO LTD                                                                | CUSIP: 26252VAS0<br>LEI: 254900XGNUOV0Y3IBA68 | Long             | ABS-CBDO         | CORP              | KY        |   2155000 | PA      | $2122675.00   | 0.17%             | 2034-05-20      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp                                                                 | DUKE ENERGY CORP                                                                 | CUSIP: 26441CAS4<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    355000 | PA      | $331263.64    | 0.03%             | 2026-09-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp                                                                 | DUKE ENERGY CORP                                                                 | CUSIP: 26441CAT2<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    280000 | PA      | $222566.96    | 0.02%             | 2046-09-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Eni SpA                                                                          | ENI SPA                                                                          | CUSIP: 26874RAG3<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |    620000 | PA      | $614622.74    | 0.05%             | 2023-09-12      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ERAC USA Finance LLC                                                             | ERAC USA FINANCE LLC                                                             | CUSIP: 26884TAL6<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |     15000 | PA      | $14619.08     | 0.00%             | 2024-11-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| ERAC USA Finance LLC                                                             | ERAC USA FINANCE LLC                                                             | CUSIP: 26884TAN2<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |    260000 | PA      | $230151.22    | 0.02%             | 2045-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Eaton Vance Corp                                                                 | EATON VANCE CORP                                                                 | CUSIP: 278265AD5<br>LEI: 4JJ8ORNW1AFZPSV8GJ79 | Long             | DBT              | CORP              | US        |     25000 | PA      | $24873.18     | 0.00%             | 2023-06-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Elara HGV Timeshare Issuer 2017-A LLC                                            | ELARA HGV TIMESHARE ISSUER 2017-A LLC                                            | CUSIP: 28416DAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     86927 | PA      | $83537.21     | 0.01%             | 2030-03-25      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| Enbridge Inc                                                                     | ENBRIDGE INC                                                                     | CUSIP: 29250NAF2<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    420000 | PA      | $416907.12    | 0.03%             | 2023-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Enbridge Inc                                                                     | ENBRIDGE INC                                                                     | CUSIP: 29250NAL9<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    355000 | PA      | $346584.73    | 0.03%             | 2026-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Enbridge Inc                                                                     | ENBRIDGE INC                                                                     | CUSIP: 29250NAM7<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    555000 | PA      | $554119.22    | 0.05%             | 2046-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Enbridge Energy Partners LP                                                      | ENBRIDGE ENERGY PARTNERS LP                                                      | CUSIP: 29250RAT3<br>LEI: CZ6VG2MNE1J6YDI02G48 | Long             | DBT              | CORP              | US        |    170000 | PA      | $169162.75    | 0.01%             | 2040-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                               | ENERGY TRANSFER LP                                                               | CUSIP: 29278NAG8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1105000 | PA      | $1114745.00   | 0.09%             | 2029-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                               | ENERGY TRANSFER LP                                                               | CUSIP: 29278NAQ6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    680000 | PA      | $620593.16    | 0.05%             | 2030-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust 2015-GC33                                    | CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-GC33                                    | CUSIP: 29425AAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    440000 | PA      | $425774.32    | 0.03%             | 2058-09-10      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| Essex Portfolio LP                                                               | ESSEX PORTFOLIO LP                                                               | CUSIP: 29717PAS6<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |   1455000 | PA      | $1253230.79   | 0.10%             | 2048-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Essex Portfolio LP                                                               | ESSEX PORTFOLIO LP                                                               | CUSIP: 29717PAV9<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |    660000 | PA      | $540001.44    | 0.04%             | 2032-03-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: —       |
| Exelon Corp                                                                      | EXELON CORP                                                                      | CUSIP: 30161NAU5<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |   1815000 | PA      | $1744441.88   | 0.14%             | 2026-04-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust 2022-2                                       | EXETER AUTOMOBILE RECEIVABLES TRUST 2022-2                                       | CUSIP: 30166QAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    915000 | PA      | $882472.67    | 0.07%             | 2028-07-17      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Evernorth Health Inc                                                             | EVERNORTH HEALTH INC                                                             | CUSIP: 30219GAQ1<br>LEI: 5493003UA6VMND084504 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19803.44     | 0.00%             | 2023-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FWD Securitization Trust 2020-INV1                                               | FWD SECURITIZATION TRUST 2020-INV1                                               | CUSIP: 302985AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    383272 | PA      | $346987.50    | 0.03%             | 2050-01-25      | Variable      | 2.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                                         | FANNIE MAE CONNECTICUT AVENUE SECURITIES                                         | CUSIP: 30711XQA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64793 | PA      | $64728.45     | 0.01%             | 2030-01-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                                         | FANNIE MAE CONNECTICUT AVENUE SECURITIES                                         | CUSIP: 30711XTY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6735 | PA      | $6716.57      | 0.00%             | 2030-02-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 31283H6F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23507 | PA      | $24605.29     | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 31283HRL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1414 | PA      | $1494.75      | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 31283HS89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9489 | PA      | $9904.69      | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 31283HS97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4594 | PA      | $4847.11      | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 31283HWN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2251 | PA      | $2346.03      | 0.00%             | 2033-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 31287UDJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1125 | PA      | $1126.28      | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 31287UEV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       926 | PA      | $926.97       | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 31288ALH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1100 | PA      | $1130.59      | 0.00%             | 2032-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC NON GOLD POOL                                                        | CUSIP: 3128JM6Y8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5950 | PA      | $5874.23      | 0.00%             | 2035-02-01      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 3128K2DR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11162 | PA      | $11563.98     | 0.00%             | 2036-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 3128K6NH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       265 | PA      | $268.17       | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 3128KU6L6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20000 | PA      | $21057.27     | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 3128KWBR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       774 | PA      | $817.02       | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 3128KWH55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       384 | PA      | $401.78       | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 3128KXSH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8453 | PA      | $8738.54      | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC NON GOLD POOL                                                        | CUSIP: 3128LUHZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8885 | PA      | $8859.09      | 0.00%             | 2037-02-01      | Variable      | 2.20%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 3128M5H45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8452 | PA      | $8905.23      | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 3128M6M88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7113 | PA      | $7460.37      | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 3128M6QE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9828 | PA      | $10363.31     | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 3128M6VF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2171 | PA      | $2283.09      | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 3128M74W3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34742 | PA      | $35343.50     | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 3128M75Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33196 | PA      | $34152.82     | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 3128M75T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    124635 | PA      | $128226.36    | 0.01%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 3128M75X0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44361 | PA      | $45128.65     | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 3128M7TQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     98593 | PA      | $100299.55    | 0.01%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 3128M7UU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2194 | PA      | $2231.62      | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 3128M8AV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21496 | PA      | $22600.50     | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 3128M8MA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47852 | PA      | $50311.55     | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 3128M8R30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       530 | PA      | $523.69       | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 3128M9LV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52999 | PA      | $49896.30     | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 3128MC6H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         3 | PA      | $3.03         | 0.00%             | 2025-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 3128MEE31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    195828 | PA      | $186483.86    | 0.02%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 3128MEE49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     91095 | PA      | $86748.47     | 0.01%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 3128MJMK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6277 | PA      | $6384.26      | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 3128MJQ94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     89904 | PA      | $86863.35     | 0.01%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 3128MJSY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    333658 | PA      | $314119.04    | 0.03%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 3128MJTL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31860 | PA      | $30735.71     | 0.00%             | 2043-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 3128MJWW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    271357 | PA      | $267771.44    | 0.02%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 3128MJZW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2032815 | PA      | $1882123.06   | 0.15%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC NON GOLD POOL                                                        | CUSIP: 3128NC3S1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9600 | PA      | $9778.38      | 0.00%             | 2035-07-01      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC NON GOLD POOL                                                        | CUSIP: 3128QJ2R6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19430 | PA      | $19368.54     | 0.00%             | 2037-04-01      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC NON GOLD POOL                                                        | CUSIP: 3128QJPK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11401 | PA      | $11204.50     | 0.00%             | 2036-11-01      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC NON GOLD POOL                                                        | CUSIP: 3128QJQE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15691 | PA      | $15738.51     | 0.00%             | 2036-12-01      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 31292GMH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        21 | PA      | $21.13        | 0.00%             | 2024-09-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 31292GXS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5739 | PA      | $5948.74      | 0.00%             | 2028-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 31292HGC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       412 | PA      | $429.47       | 0.00%             | 2030-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 31292HL93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3871 | PA      | $4036.43      | 0.00%             | 2031-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 31292HLZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2147 | PA      | $2234.61      | 0.00%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 31292KG76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7152 | PA      | $7354.00      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 312938BW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41391 | PA      | $41989.03     | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 312938PU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42143 | PA      | $42873.65     | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 312939WT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51928 | PA      | $53425.60     | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 312940EU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3173 | PA      | $3264.27      | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 312940JV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     90445 | PA      | $93056.17     | 0.01%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 3129413N5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     68919 | PA      | $70113.21     | 0.01%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 312941NS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18277 | PA      | $18760.25     | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 312942NF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5770 | PA      | $5706.38      | 0.00%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 312942UJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2983 | PA      | $2960.11      | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 312942WL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       977 | PA      | $966.38       | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 312943DQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     90491 | PA      | $92059.52     | 0.01%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 312943GW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9555 | PA      | $9450.33      | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 312944LP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14051 | PA      | $13938.39     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 312945AM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2791 | PA      | $2759.90      | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 312945DS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    282759 | PA      | $279648.42    | 0.02%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 312945ZY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    254139 | PA      | $251342.65    | 0.02%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 312946PD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       625 | PA      | $635.53       | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 31296QR51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5702 | PA      | $5827.59      | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 31297DL97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14342 | PA      | $14828.41     | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 31298SV27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2905 | PA      | $3009.42      | 0.00%             | 2031-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC POOL                                                                 | CUSIP: 3132A4LW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    431793 | PA      | $439992.53    | 0.04%             | 2041-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC POOL                                                                 | CUSIP: 3132A8HM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21069 | PA      | $20748.45     | 0.00%             | 2031-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC POOL                                                                 | CUSIP: 3132CWAQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    682679 | PA      | $670603.21    | 0.05%             | 2033-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC POOL                                                                 | CUSIP: 3132CWL51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2537198 | PA      | $2437921.56   | 0.20%             | 2035-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC POOL                                                                 | CUSIP: 3132D6BQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2519004 | PA      | $2232532.18   | 0.18%             | 2037-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC POOL                                                                 | CUSIP: 3132D6CG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    260234 | PA      | $258416.94    | 0.02%             | 2037-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC POOL                                                                 | CUSIP: 3132D6CX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63920 | PA      | $64466.54     | 0.01%             | 2037-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC POOL                                                                 | CUSIP: 3132DM5P6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    190202 | PA      | $166775.18    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC POOL                                                                 | CUSIP: 3132DMC60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    792467 | PA      | $809339.00    | 0.07%             | 2049-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC POOL                                                                 | CUSIP: 3132DMCR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    331555 | PA      | $309087.08    | 0.03%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC POOL                                                                 | CUSIP: 3132DV4Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1810125 | PA      | $1761549.96   | 0.14%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC POOL                                                                 | CUSIP: 3132DWBP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    685541 | PA      | $576740.53    | 0.05%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC POOL                                                                 | CUSIP: 3132DWDC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23403531 | PA      | $19695284.19  | 1.61%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC POOL                                                                 | CUSIP: 3132DWDH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1159015 | PA      | $975408.04    | 0.08%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC POOL                                                                 | CUSIP: 3132DWDJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1943218 | PA      | $1702855.10   | 0.14%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC POOL                                                                 | CUSIP: 3132DWDR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12421334 | PA      | $10883911.40  | 0.89%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC POOL                                                                 | CUSIP: 3132DWDZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    939213 | PA      | $853736.29    | 0.07%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 3132GK2F2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5958 | PA      | $5892.76      | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 3132JA6N0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    459547 | PA      | $443616.70    | 0.04%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 3132JMS75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    624854 | PA      | $588261.15    | 0.05%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 3132KE4T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    327452 | PA      | $311831.76    | 0.03%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 31335ABF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    945558 | PA      | $913477.69    | 0.07%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 31335ALP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6818 | PA      | $6936.55      | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 31335APZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    840113 | PA      | $806837.72    | 0.07%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC POOL                                                                 | CUSIP: 3133AKNH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    377055 | PA      | $331914.43    | 0.03%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC POOL                                                                 | CUSIP: 3133AM5L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    427444 | PA      | $376469.79    | 0.03%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC POOL                                                                 | CUSIP: 3133AMGK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    987032 | PA      | $884986.69    | 0.07%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC POOL                                                                 | CUSIP: 3133APV63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1203153 | PA      | $1056309.92   | 0.09%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC POOL                                                                 | CUSIP: 3133AQFQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1506487 | PA      | $1321919.29   | 0.11%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC POOL                                                                 | CUSIP: 3133ASVF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1573029 | PA      | $1379271.96   | 0.11%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC POOL                                                                 | CUSIP: 3133B6T67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    994607 | PA      | $904149.57    | 0.07%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC POOL                                                                 | CUSIP: 3133KH3Q7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    178886 | PA      | $178574.27    | 0.01%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC POOL                                                                 | CUSIP: 3133KHDK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    546068 | PA      | $534641.76    | 0.04%             | 2049-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC POOL                                                                 | CUSIP: 3133KHKY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    641417 | PA      | $627640.43    | 0.05%             | 2050-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC POOL                                                                 | CUSIP: 3133KLZX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2771035 | PA      | $2337528.84   | 0.19%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC POOL                                                                 | CUSIP: 3133KMSE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2385793 | PA      | $2192870.99   | 0.18%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC POOL                                                                 | CUSIP: 3133KMYC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1445818 | PA      | $1268110.40   | 0.10%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC POOL                                                                 | CUSIP: 3133KNGN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5040029 | PA      | $4245565.36   | 0.35%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC POOL                                                                 | CUSIP: 3133KNJ79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2495522 | PA      | $2343750.97   | 0.19%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC POOL                                                                 | CUSIP: 3133KNLC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4200165 | PA      | $3706620.54   | 0.30%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC POOL                                                                 | CUSIP: 3133KPD54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    390553 | PA      | $331034.41    | 0.03%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC POOL                                                                 | CUSIP: 3133KYWH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3115320 | PA      | $2698727.08   | 0.22%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC POOL                                                                 | CUSIP: 3133KYWJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1914747 | PA      | $1722383.74   | 0.14%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                                                      | FREDDIE MAC GOLD POOL                                                            | CUSIP: 31356DXK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       391 | PA      | $404.91       | 0.00%             | 2024-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                            | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                            | CUSIP: 31359MEU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | NUSS              | US        |    342000 | PA      | $390533.62    | 0.03%             | 2029-05-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: —       |
| Federal National Mortgage Association                                            | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                            | CUSIP: 31359MGK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | NUSS              | US        |    500000 | PA      | $600512.30    | 0.05%             | 2030-11-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 313615US3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        74 | PA      | $73.97        | 0.00%             | 2024-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31368HMT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       520 | PA      | $546.38       | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31371KHY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3270 | PA      | $3462.08      | 0.00%             | 2032-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31371KWK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30342 | PA      | $32490.06     | 0.00%             | 2032-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31371LWU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37859 | PA      | $39599.84     | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31371M2R7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2246 | PA      | $2401.79      | 0.00%             | 2036-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31371MNT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22706 | PA      | $23824.85     | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31371NZQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4948 | PA      | $5204.74      | 0.00%             | 2038-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Realty Investment Trust                                                  | FEDERAL REALTY INVESTMENT TRUST                                                  | CUSIP: 313747AT4<br>LEI: 549300FHEI1SLVZ0RB48 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $992853.00    | 0.08%             | 2023-06-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates                     | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES                     | CUSIP: 3137BRQH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    442688 | PA      | $428749.03    | 0.03%             | 2025-06-25      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates                     | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES                     | CUSIP: 3137FBBW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    493181 | PA      | $479975.21    | 0.04%             | 2027-02-25      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                                               | FREDDIE MAC REMICS                                                               | CUSIP: 3137FRZF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    767412 | PA      | $142425.29    | 0.01%             | 2050-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31384VQL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1121 | PA      | $1156.11      | 0.00%             | 2030-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31385HSH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1086 | PA      | $1138.38      | 0.00%             | 2031-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31385JG85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       446 | PA      | $461.95       | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31385JJC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13695 | PA      | $14445.26     | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31386CUE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       355 | PA      | $357.30       | 0.00%             | 2030-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31386FRU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        46 | PA      | $46.15        | 0.00%             | 2031-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31387JFB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       714 | PA      | $739.47       | 0.00%             | 2031-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138A2BP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4941 | PA      | $4882.01      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138A2GV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1776 | PA      | $1747.46      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138A46Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    346688 | PA      | $342524.87    | 0.03%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138A8YD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    666417 | PA      | $658415.02    | 0.05%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138AW5A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87470 | PA      | $86399.05     | 0.01%             | 2026-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138E0Q93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7363 | PA      | $7107.04      | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138E2LR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    262457 | PA      | $259305.14    | 0.02%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138E9AW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2282 | PA      | $2254.22      | 0.00%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138EGTC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50206 | PA      | $51598.52     | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138EH6R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41442 | PA      | $43294.77     | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138EJ7F9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56733 | PA      | $56311.20     | 0.00%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138EJBA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    320956 | PA      | $317103.18    | 0.03%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138EJL48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3048 | PA      | $3097.41      | 0.00%             | 2042-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138EJRA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1865 | PA      | $1895.36      | 0.00%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138EK2B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74356 | PA      | $72499.66     | 0.01%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138ELB36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67714 | PA      | $65320.85     | 0.01%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138ELN41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    548023 | PA      | $528767.17    | 0.04%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138EPHN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6770 | PA      | $6820.00      | 0.00%             | 2045-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138EPW34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127755 | PA      | $134467.91    | 0.01%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138EPW42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43854 | PA      | $46822.32     | 0.00%             | 2038-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138EQ2Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    353960 | PA      | $339359.65    | 0.03%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138ERA59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20704 | PA      | $20186.07     | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138ERDM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       888 | PA      | $893.87       | 0.00%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138ERGZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1237974 | PA      | $1151292.62   | 0.09%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138ERJM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1272197 | PA      | $1181162.44   | 0.10%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138ERN63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    406237 | PA      | $388250.83    | 0.03%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138ERN71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92674 | PA      | $88571.48     | 0.01%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138ERNB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    527394 | PA      | $488886.60    | 0.04%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138ERNP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    687516 | PA      | $636897.06    | 0.05%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138ERTY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    373758 | PA      | $358632.98    | 0.03%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138ETGU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111091 | PA      | $107144.21    | 0.01%             | 2044-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138ETJ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28422 | PA      | $28020.79     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138W9NY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    186071 | PA      | $174661.98    | 0.01%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138WAXQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       468 | PA      | $471.42       | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138WD5K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21029 | PA      | $20662.20     | 0.00%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138WEKJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    133289 | PA      | $127905.73    | 0.01%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138WEMN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24495 | PA      | $23303.34     | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138WF2Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    708503 | PA      | $679094.87    | 0.06%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138WF3A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    163817 | PA      | $156932.37    | 0.01%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138WFRH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22216 | PA      | $21660.78     | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138WGA20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    556701 | PA      | $533306.43    | 0.04%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138WGA61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    333997 | PA      | $321441.01    | 0.03%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138WGAC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    974913 | PA      | $933944.06    | 0.08%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138WGDE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11462 | PA      | $11175.17     | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138WGDN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117320 | PA      | $112268.78    | 0.01%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138WH6D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    334537 | PA      | $310351.96    | 0.03%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138WJ5G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1087038 | PA      | $1039610.44   | 0.08%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138WJG44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    396125 | PA      | $366907.88    | 0.03%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138WJGD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    986654 | PA      | $921319.63    | 0.08%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138WJGK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    414961 | PA      | $384815.06    | 0.03%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138WJGP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123372 | PA      | $114410.09    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138WJMU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    580775 | PA      | $540105.85    | 0.04%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138WJMV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    342512 | PA      | $317384.73    | 0.03%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138WJNB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    546432 | PA      | $508926.19    | 0.04%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138WJND6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2321773 | PA      | $2159172.88   | 0.18%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138WJNN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    655699 | PA      | $626954.59    | 0.05%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138WJPN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    626910 | PA      | $599095.60    | 0.05%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138WLAM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    210370 | PA      | $201327.19    | 0.02%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138WQAX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73453 | PA      | $69080.63     | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                                                  | FANNIE MAE POOL                                                                  | CUSIP: 3138X0Y36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37616 | PA      | $35190.26     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138X2RR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    824903 | PA      | $775793.16    | 0.06%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138X3GC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    237139 | PA      | $223784.35    | 0.02%             | 2028-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138YGXF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1882 | PA      | $1805.17      | 0.00%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138YNLE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    676959 | PA      | $649489.93    | 0.05%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138YR3Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136799 | PA      | $131304.58    | 0.01%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138YT6D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3990 | PA      | $3823.54      | 0.00%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3138YWJZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56016 | PA      | $54616.00     | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31390MFQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1858 | PA      | $1922.88      | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31390NEP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6478 | PA      | $6469.96      | 0.00%             | 2032-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31400GV36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24526 | PA      | $25194.86     | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31402CPL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3448 | PA      | $3543.74      | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31402CTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20367 | PA      | $21237.42     | 0.00%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31402CVY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90198 | PA      | $91904.87     | 0.01%             | 2034-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31402DGM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38517 | PA      | $40299.61     | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31402QWA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35316 | PA      | $36942.62     | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31402QY39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53566 | PA      | $56033.42     | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31402RAB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2889 | PA      | $2968.95      | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31402RDF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2455 | PA      | $2568.19      | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31403C6L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2792 | PA      | $2869.52      | 0.00%             | 2036-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31403DBD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        70 | PA      | $72.43        | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31403DBK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25253 | PA      | $26415.06     | 0.00%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31403DD97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90753 | PA      | $95120.85     | 0.01%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31403DE70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14530 | PA      | $15305.56     | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31403DGZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8018 | PA      | $8412.54      | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31403DQ69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11071 | PA      | $11234.11     | 0.00%             | 2036-07-01      | Variable      | 3.64%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31403DVZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5286 | PA      | $5646.88      | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31403DWF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       353 | PA      | $371.10       | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31403DWG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        65 | PA      | $68.44        | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31403DWH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6312 | PA      | $6689.84      | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31405RLV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53667 | PA      | $55130.52     | 0.00%             | 2034-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31406AUU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22018 | PA      | $22914.49     | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31407CB71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5142 | PA      | $5034.83      | 0.00%             | 2035-07-01      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31407D5X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39340 | PA      | $40921.30     | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31407SFD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1855 | PA      | $1919.14      | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140E0E35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    384307 | PA      | $368355.15    | 0.03%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140EU4G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2305 | PA      | $2204.34      | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140EU6W4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6523 | PA      | $6006.58      | 0.00%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140EU6Z7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    267866 | PA      | $249132.07    | 0.02%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140EV5H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    611040 | PA      | $585064.34    | 0.05%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140F0GY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28418 | PA      | $26384.35     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140F5C35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    368315 | PA      | $341558.86    | 0.03%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140F5TN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100735 | PA      | $93679.00     | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140F9WA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    838474 | PA      | $801848.82    | 0.07%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140F9WP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    260797 | PA      | $242531.72    | 0.02%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140FE2P8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    679947 | PA      | $662947.73    | 0.05%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140FGML0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1421166 | PA      | $1317416.83   | 0.11%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140FGMN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    193935 | PA      | $180350.53    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140FGNN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120246 | PA      | $111822.42    | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140FLK49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67750 | PA      | $62929.94     | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140FMTU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    808381 | PA      | $772986.97    | 0.06%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140FXGC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4150 | PA      | $4110.38      | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140FXGG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    408225 | PA      | $399296.79    | 0.03%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140GYJX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    407591 | PA      | $389575.54    | 0.03%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140HMPA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116927 | PA      | $118843.77    | 0.01%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140J5FG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2233922 | PA      | $2201560.92   | 0.18%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140J5SM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    275013 | PA      | $261261.18    | 0.02%             | 2032-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140J5UV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    190069 | PA      | $186754.47    | 0.02%             | 2036-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140J6C47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    388746 | PA      | $369788.25    | 0.03%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140J6CR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111665 | PA      | $107720.50    | 0.01%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140J6F28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56241 | PA      | $53772.25     | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140J72R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    604375 | PA      | $601203.28    | 0.05%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140J7MP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4977 | PA      | $4764.50      | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140J7QA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    477433 | PA      | $481403.73    | 0.04%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140J7RN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    443083 | PA      | $450292.07    | 0.04%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140J7SA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    259771 | PA      | $255831.62    | 0.02%             | 2032-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140J7UD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1972300 | PA      | $2064774.05   | 0.17%             | 2044-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140J7WZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    441798 | PA      | $431625.63    | 0.04%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140J7XP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    853495 | PA      | $829017.66    | 0.07%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140J8AN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    342942 | PA      | $337974.02    | 0.03%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140J8DT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1567146 | PA      | $1546562.51   | 0.13%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140J8E25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    492064 | PA      | $484587.94    | 0.04%             | 2032-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140J8ET6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    958818 | PA      | $886908.06    | 0.07%             | 2047-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140J8GH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1079706 | PA      | $1004114.84   | 0.08%             | 2047-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140J8TH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    417548 | PA      | $396642.60    | 0.03%             | 2032-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140J8UK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    247746 | PA      | $249558.39    | 0.02%             | 2046-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140J8VP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    337788 | PA      | $317691.71    | 0.03%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140J8ZH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1233313 | PA      | $1243564.94   | 0.10%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140J93L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75468 | PA      | $72421.32     | 0.01%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140J95H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124137 | PA      | $118689.09    | 0.01%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140J9CU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127141 | PA      | $121830.71    | 0.01%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140J9H87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3780 | PA      | $3620.13      | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140J9NN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    437991 | PA      | $408972.33    | 0.03%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140J9QZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1020521 | PA      | $1077486.54   | 0.09%             | 2048-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140J9SN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    217814 | PA      | $200809.11    | 0.02%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140J9VD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    381158 | PA      | $369869.96    | 0.03%             | 2033-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140J9WH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39362 | PA      | $39035.69     | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140JAAY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5320 | PA      | $4927.87      | 0.00%             | 2048-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140JACE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    511006 | PA      | $480604.58    | 0.04%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140JACW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1539 | PA      | $1510.43      | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140JAD96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    651678 | PA      | $641567.18    | 0.05%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140JAND6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1027429 | PA      | $1013282.19   | 0.08%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140JAP36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1191141 | PA      | $1149705.57   | 0.09%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140JLY73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49952 | PA      | $48910.56     | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140K3B27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2826 | PA      | $2714.29      | 0.00%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140KLQA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    481740 | PA      | $441134.20    | 0.04%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140KQTJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25080 | PA      | $22942.37     | 0.00%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140LNFD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1350861 | PA      | $1208857.92   | 0.10%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140LPNE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2001610 | PA      | $1758571.80   | 0.14%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140Q7UB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    677693 | PA      | $657049.65    | 0.05%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140Q9XM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148336 | PA      | $149345.71    | 0.01%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140QA3Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    514734 | PA      | $517336.79    | 0.04%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140QAZ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1778661 | PA      | $1707031.70   | 0.14%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140QCCH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    254692 | PA      | $247722.94    | 0.02%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140QCQ66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1976654 | PA      | $1819234.26   | 0.15%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140QCXQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63030 | PA      | $63283.96     | 0.01%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140QDGB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2936 | PA      | $2675.00      | 0.00%             | 2040-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140QDGC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2927 | PA      | $2674.17      | 0.00%             | 2040-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140QDKJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    253518 | PA      | $252657.48    | 0.02%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140QL6V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2644605 | PA      | $2320822.94   | 0.19%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140QLPR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1940674 | PA      | $1703882.68   | 0.14%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140QLQZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3743712 | PA      | $3292522.14   | 0.27%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140QM4V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4071320 | PA      | $3570187.02   | 0.29%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140QMCC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3584299 | PA      | $3145492.15   | 0.26%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140QMV27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    536203 | PA      | $487703.17    | 0.04%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140QMZC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3640455 | PA      | $3212439.21   | 0.26%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140QNCC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1836269 | PA      | $1546535.13   | 0.13%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140QNDJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3295901 | PA      | $2908598.91   | 0.24%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140QNEW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2732580 | PA      | $2301010.86   | 0.19%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140QNGE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    988866 | PA      | $899010.90    | 0.07%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140QNR87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3483652 | PA      | $3255327.28   | 0.27%             | 2037-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140QPDF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2043560 | PA      | $1909887.09   | 0.16%             | 2037-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140X4D86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1560781 | PA      | $1497446.61   | 0.12%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140X4TB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    284084 | PA      | $264837.10    | 0.02%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140X4XA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    672233 | PA      | $623978.61    | 0.05%             | 2048-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140X5WP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2699432 | PA      | $2546503.91   | 0.21%             | 2040-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140X6BM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    591908 | PA      | $573159.76    | 0.05%             | 2034-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140X6C66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    226165 | PA      | $232426.11    | 0.02%             | 2045-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140X6GH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1113501 | PA      | $1131600.61   | 0.09%             | 2050-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140X6V24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1406427 | PA      | $1429293.10   | 0.12%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140X7A82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    188565 | PA      | $181176.58    | 0.01%             | 2035-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140X7MW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    361099 | PA      | $343625.15    | 0.03%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140X7VE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    166970 | PA      | $171582.64    | 0.01%             | 2047-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140X9KW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    480091 | PA      | $487897.34    | 0.04%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140XDGT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    413561 | PA      | $382870.75    | 0.03%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140XDYA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3489783 | PA      | $2940783.05   | 0.24%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140XF4R9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    989213 | PA      | $899479.19    | 0.07%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140XF4U2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    975778 | PA      | $855440.10    | 0.07%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140XFY70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1848795 | PA      | $1568315.83   | 0.13%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140XGYQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    963036 | PA      | $816278.30    | 0.07%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140XH2F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    255375 | PA      | $227878.10    | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140XH4E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    382517 | PA      | $384880.69    | 0.03%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140XHCV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    542036 | PA      | $538796.93    | 0.04%             | 2037-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 3140XHHP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2355761 | PA      | $2087849.66   | 0.17%             | 2037-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31410CRD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33192 | PA      | $34545.12     | 0.00%             | 2036-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31410FX67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30524 | PA      | $31954.93     | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31410FYU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82712 | PA      | $86556.15     | 0.01%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31410FZ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       833 | PA      | $879.01       | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31410GBA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70425 | PA      | $73666.88     | 0.01%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31410GBE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23867 | PA      | $25025.16     | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31410GJA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43520 | PA      | $45746.54     | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31410GNK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    261204 | PA      | $264230.67    | 0.02%             | 2035-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31410GRD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    497559 | PA      | $520166.69    | 0.04%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31410KGR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34527 | PA      | $36647.02     | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31410KHU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49569 | PA      | $51944.13     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31410LS37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    217911 | PA      | $210665.09    | 0.02%             | 2043-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31410LTW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10154 | PA      | $9732.51      | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31410WWU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1901 | PA      | $1970.75      | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31411ETV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33801 | PA      | $35589.60     | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31411FFM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1565 | PA      | $1532.40      | 0.00%             | 2037-01-01      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31411UTE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       240 | PA      | $248.63       | 0.00%             | 2037-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31412P2U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22982 | PA      | $23341.11     | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31412SA21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2222 | PA      | $2345.58      | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31413EAD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1271 | PA      | $1315.62      | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31413HLX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4639 | PA      | $4801.80      | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31413MUF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2200 | PA      | $2175.56      | 0.00%             | 2037-09-01      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31413TK27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       104 | PA      | $108.19       | 0.00%             | 2037-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31416BN53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2722 | PA      | $2848.91      | 0.00%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31416CJV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13004 | PA      | $13687.45     | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31416TMF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34476 | PA      | $34921.92     | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31416VKM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7356 | PA      | $7726.79      | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31416XJ92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10546 | PA      | $10419.11     | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31416XY95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26995 | PA      | $27434.67     | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31416YDZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51579 | PA      | $53010.45     | 0.00%             | 2041-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31417DF99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    177306 | PA      | $166754.01    | 0.01%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31417DMU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135695 | PA      | $127619.37    | 0.01%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31417DMV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    384729 | PA      | $361833.62    | 0.03%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31417DQW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    478886 | PA      | $450386.85    | 0.04%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31417FU22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    873720 | PA      | $821714.01    | 0.07%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31417GH25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131410 | PA      | $123597.60    | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31417GP67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12760 | PA      | $12000.70     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31417SBL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28120 | PA      | $28493.14     | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31417UHR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1057 | PA      | $1075.26      | 0.00%             | 2040-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31417VPC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9820 | PA      | $10069.22     | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31417WUE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84851 | PA      | $86231.02     | 0.01%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31417YRW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7505 | PA      | $7713.37      | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31417YSE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    275390 | PA      | $283045.89    | 0.02%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31417YV95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39470 | PA      | $38996.48     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31417YVG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15276 | PA      | $15092.84     | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418ATV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6780 | PA      | $6528.24      | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418AWX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    354098 | PA      | $341130.33    | 0.03%             | 2033-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418BWU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10728 | PA      | $10572.61     | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418BYJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    270195 | PA      | $266280.71    | 0.02%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418C4G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    304749 | PA      | $306177.17    | 0.02%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418CEF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6544 | PA      | $6086.22      | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418CGE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    280374 | PA      | $268141.43    | 0.02%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418CJD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    284675 | PA      | $270846.15    | 0.02%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418CNE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    324338 | PA      | $318702.15    | 0.03%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418CQB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11340 | PA      | $11133.86     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418CQD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    469291 | PA      | $448658.13    | 0.04%             | 2037-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418CR89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1510354 | PA      | $1440946.34   | 0.12%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418CXN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    896931 | PA      | $881298.05    | 0.07%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418CYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    476633 | PA      | $466355.17    | 0.04%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418CZN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    988803 | PA      | $1007883.91   | 0.08%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418DH54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11037 | PA      | $11031.99     | 0.00%             | 2049-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    726944 | PA      | $615824.53    | 0.05%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418DYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6198342 | PA      | $5232135.52   | 0.43%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418EAQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1407673 | PA      | $1321484.84   | 0.11%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418EAV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2379836 | PA      | $1985428.03   | 0.16%             | 2042-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418EB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13833941 | PA      | $11636632.77  | 0.95%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418EBR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    927974 | PA      | $781553.36    | 0.06%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418ECQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2279774 | PA      | $1997781.17   | 0.16%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418ECT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1636593 | PA      | $1450475.38   | 0.12%             | 2037-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418ECU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2850000 | PA      | $2589748.98   | 0.21%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418ECY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3033918 | PA      | $2628273.60   | 0.21%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418EDF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1446250 | PA      | $1281779.77   | 0.10%             | 2037-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418EDG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $908680.00    | 0.07%             | 2037-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418EE63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3389775 | PA      | $3348039.22   | 0.27%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418EEA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1239732 | PA      | $1157486.79   | 0.09%             | 2037-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418EGK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    965988 | PA      | $954094.25    | 0.08%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418ENL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8141233 | PA      | $8363314.61   | 0.68%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418RGW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7484 | PA      | $7673.92      | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418TUV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1161 | PA      | $1193.07      | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418UCL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124143 | PA      | $127294.97    | 0.01%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418UEL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    144034 | PA      | $147690.78    | 0.01%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31418XGC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8800 | PA      | $8988.06      | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31419A3K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79193 | PA      | $83229.63     | 0.01%             | 2039-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31419AJR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17684 | PA      | $18175.46     | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31419ARE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       282 | PA      | $294.98       | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31419AVS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    139537 | PA      | $137862.18    | 0.01%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31419AXG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2327 | PA      | $2391.33      | 0.00%             | 2034-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31419BBT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26986 | PA      | $26311.91     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31419FFW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76986 | PA      | $76061.55     | 0.01%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31419GWX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41945 | PA      | $42627.71     | 0.00%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31419JSV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    571819 | PA      | $579478.78    | 0.05%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                       | FANNIE MAE POOL                                                                  | CUSIP: 31419KLG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7464 | PA      | $7378.18      | 0.00%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust 2019-2                                        | ELLINGTON FINANCIAL MORTGAGE TRUST 2019-2                                        | CUSIP: 31573TAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    180689 | PA      | $170129.89    | 0.01%             | 2059-11-25      | Variable      | 3.05%                 | No            |                  2 | On Loan: No      |
| Fidelity National Financial Inc                                                  | FIDELITY NATIONAL FINANCIAL INC                                                  | CUSIP: 31620RAH8<br>LEI: 549300CAZYIH39SYQ287 | Long             | DBT              | CORP              | US        |   1615000 | PA      | $1578967.74   | 0.13%             | 2028-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fifth Third Bancorp                                                              | FIFTH THIRD BANCORP                                                              | CUSIP: 316773CZ1<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |    920000 | PA      | $912543.40    | 0.07%             | 2023-05-05      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| First American Financial Corp                                                    | FIRST AMERICAN FINANCIAL CORP                                                    | CUSIP: 31847RAF9<br>LEI: 549300B6VEZK3N0A1P55 | Long             | DBT              | CORP              | US        |    410000 | PA      | $405070.16    | 0.03%             | 2024-11-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Fiserv Inc                                                                       | FISERV INC                                                                       | CUSIP: 337738AT5<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9500.87      | 0.00%             | 2026-07-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Florida Development Finance Corp                                                 | FLORIDA DEVELOPMENT FINANCE CORP                                                 | CUSIP: 34061UEQ7<br>LEI: 549300HC854CNBLMWC48 | Long             | DBT              | MUN               | US        |   1425000 | PA      | $1058164.25   | 0.09%             | 2050-04-01      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| Duke Energy Florida LLC                                                          | DUKE ENERGY FLORIDA LLC                                                          | CUSIP: 341099CH0<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |    170000 | PA      | $194163.46    | 0.02%             | 2037-09-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Fontainebleau Miami Beach Trust 2019-FBLU                                        | FONTAINEBLEAU MIAMI BEACH TRUST 2019-FBLU                                        | CUSIP: 34461LAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2315000 | PA      | $2179736.40   | 0.18%             | 2036-12-10      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Ford Credit Floorplan Master Owner Trust A                                       | FORD CREDIT FLOORPLAN MASTER OWNER TRUST A                                       | CUSIP: 34528QHR8<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-O            | CORP              | US        |   1625000 | PA      | $1465858.39   | 0.12%             | 2027-09-15      | Fixed         | 1.32%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust 2020-REV2                                           | FORD CREDIT AUTO OWNER TRUST 2020-REV2                                           | CUSIP: 34532JAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2020000 | PA      | $1776331.04   | 0.14%             | 2033-04-15      | Fixed         | 1.74%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust 2019-REV1                                           | FORD CREDIT AUTO OWNER TRUST 2019-REV1                                           | CUSIP: 34532PAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2745000 | PA      | $2694970.73   | 0.22%             | 2030-07-15      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STACR REMIC Trust 2021-HQA1                                          | FREDDIE MAC STACR REMIC TRUST 2021-HQA1                                          | CUSIP: 35564KBK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    120299 | PA      | $120117.84    | 0.01%             | 2033-08-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Structured Agency Credit Risk Debt Notes                             | FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                             | CUSIP: 35564KCU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    119300 | PA      | $119118.67    | 0.01%             | 2033-08-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STACR REMIC Trust 2021-DNA6                                          | FREDDIE MAC STACR REMIC TRUST 2021-DNA6                                          | CUSIP: 35564KKY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1210000 | PA      | $1158632.23   | 0.09%             | 2041-10-25      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STACR REMIC Trust 2021-DNA7                                          | FREDDIE MAC STACR REMIC TRUST 2021-DNA7                                          | CUSIP: 35564KMA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1890349 | PA      | $1867910.20   | 0.15%             | 2041-11-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STACR REMIC Trust 2022-HQA1                                          | FREDDIE MAC STACR REMIC TRUST 2022-HQA1                                          | CUSIP: 35564KTA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1754741 | PA      | $1756927.10   | 0.14%             | 2042-03-25      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STACR REMIC Trust 2022-DNA3                                          | FREDDIE MAC STACR REMIC TRUST 2022-DNA3                                          | CUSIP: 35564KUW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2082364 | PA      | $2088690.66   | 0.17%             | 2042-04-25      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| GATX Corp                                                                        | GATX CORP                                                                        | CUSIP: 361448BD4<br>LEI: 549300IHYHCQP2PIR591 | Long             | DBT              | CORP              | US        |   2355000 | PA      | $2333713.16   | 0.19%             | 2024-02-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE I POOL                                                                | CUSIP: 36178NGA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    158314 | PA      | $149808.48    | 0.01%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36178WP45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4043 | PA      | $3848.42      | 0.00%             | 2042-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179M2Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66641 | PA      | $64550.42     | 0.01%             | 2043-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179MG61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    173311 | PA      | $172522.76    | 0.01%             | 2042-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179MK74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53219 | PA      | $51549.06     | 0.00%             | 2042-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179MLA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1964 | PA      | $2028.29      | 0.00%             | 2042-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179MVS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    537546 | PA      | $520675.01    | 0.04%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179N2K3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     69684 | PA      | $69366.75     | 0.01%             | 2044-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179NDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23880 | PA      | $23144.88     | 0.00%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179NF78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    427861 | PA      | $414432.46    | 0.03%             | 2043-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179NJA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    274629 | PA      | $266008.32    | 0.02%             | 2043-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179NNA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    137402 | PA      | $133089.17    | 0.01%             | 2043-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179QPF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4434 | PA      | $4171.64      | 0.00%             | 2044-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179R4E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2294871 | PA      | $2200501.97   | 0.18%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179R7J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    445365 | PA      | $427125.69    | 0.03%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179RJG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    184427 | PA      | $189017.17    | 0.02%             | 2045-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179RVB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    167958 | PA      | $160595.95    | 0.01%             | 2045-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179RVD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2641 | PA      | $2706.90      | 0.00%             | 2045-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179RXE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    306346 | PA      | $302115.72    | 0.02%             | 2046-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179RXF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4637 | PA      | $4752.11      | 0.00%             | 2046-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179S2P1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    909489 | PA      | $869712.11    | 0.07%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179S5M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    915849 | PA      | $901507.54    | 0.07%             | 2047-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179SB71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    248556 | PA      | $232512.00    | 0.02%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179SB89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    193103 | PA      | $185315.97    | 0.02%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179SB97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    106385 | PA      | $104929.26    | 0.01%             | 2046-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179SEG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       843 | PA      | $787.28       | 0.00%             | 2046-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179SEH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     97270 | PA      | $93283.87     | 0.01%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179SGK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    138580 | PA      | $129550.55    | 0.01%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179SGL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38059 | PA      | $36500.28     | 0.00%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179SGN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2662 | PA      | $2727.20      | 0.00%             | 2046-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179SJS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3339521 | PA      | $3116317.26   | 0.25%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179SJV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3925 | PA      | $4034.41      | 0.00%             | 2046-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179SLR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1077236 | PA      | $1006022.36   | 0.08%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179SLS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    188543 | PA      | $181338.88    | 0.01%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179SLU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4157 | PA      | $4166.96      | 0.00%             | 2046-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179SNV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1723 | PA      | $1652.62      | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179SQV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    214846 | PA      | $200555.15    | 0.02%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179SSP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1539057 | PA      | $1436049.60   | 0.12%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179SUU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1013 | PA      | $943.80       | 0.00%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179SYT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    122477 | PA      | $120522.05    | 0.01%             | 2047-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179SYU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    126189 | PA      | $127851.51    | 0.01%             | 2047-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179T7M1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    162647 | PA      | $165813.26    | 0.01%             | 2048-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179TAN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       572 | PA      | $585.02       | 0.00%             | 2047-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179TC29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    355140 | PA      | $363157.50    | 0.03%             | 2047-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179TCZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    256303 | PA      | $258361.21    | 0.02%             | 2047-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179TE27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    578970 | PA      | $569901.92    | 0.05%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179TE35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1739694 | PA      | $1752554.58   | 0.14%             | 2047-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179TE43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46517 | PA      | $47568.74     | 0.00%             | 2047-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179TG74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    295347 | PA      | $302000.23    | 0.02%             | 2047-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179TJ22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    141979 | PA      | $145670.08    | 0.01%             | 2047-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179TLT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    642706 | PA      | $632642.01    | 0.05%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179TLV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     64124 | PA      | $65574.36     | 0.01%             | 2047-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179TNR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    754579 | PA      | $723379.87    | 0.06%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179TNU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    306830 | PA      | $313507.80    | 0.03%             | 2047-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179TQS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    512130 | PA      | $523579.11    | 0.04%             | 2048-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179TR64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     88046 | PA      | $80333.04     | 0.01%             | 2048-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179TSG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1016952 | PA      | $975404.97    | 0.08%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179TSK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    295561 | PA      | $304581.51    | 0.02%             | 2048-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179TTX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    196171 | PA      | $178985.71    | 0.01%             | 2048-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179TUE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    266505 | PA      | $277270.38    | 0.02%             | 2048-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179TV93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     93789 | PA      | $97504.16     | 0.01%             | 2048-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179TXX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    199076 | PA      | $203361.96    | 0.02%             | 2048-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179TXY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41259 | PA      | $42716.56     | 0.00%             | 2048-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179TZ73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    358402 | PA      | $365792.12    | 0.03%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179U3S9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    292087 | PA      | $262666.11    | 0.02%             | 2049-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179UCE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1073 | PA      | $1110.45      | 0.00%             | 2048-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179UEC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24652 | PA      | $25449.76     | 0.00%             | 2048-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179UGF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    123249 | PA      | $127125.89    | 0.01%             | 2048-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179UH70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    331255 | PA      | $341516.20    | 0.03%             | 2048-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179UK27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     76855 | PA      | $78945.33     | 0.01%             | 2049-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179UKW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    131460 | PA      | $126037.66    | 0.01%             | 2049-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179UPD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    268641 | PA      | $277455.62    | 0.02%             | 2049-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179UUM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    469775 | PA      | $478473.89    | 0.04%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179UZH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    646323 | PA      | $585698.07    | 0.05%             | 2049-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179VDC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    244332 | PA      | $219319.36    | 0.02%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179VKA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    185620 | PA      | $166616.97    | 0.01%             | 2050-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179VQJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    403513 | PA      | $362167.53    | 0.03%             | 2050-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179VSG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1199591 | PA      | $1074432.01   | 0.09%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179VV31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1088757 | PA      | $1066378.78   | 0.09%             | 2050-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179W3Y2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    448016 | PA      | $394861.93    | 0.03%             | 2037-05-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179W5A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    945442 | PA      | $816860.17    | 0.07%             | 2052-05-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179W7K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4287232 | PA      | $3938001.35   | 0.32%             | 2052-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179WBX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1850144 | PA      | $1607792.55   | 0.13%             | 2051-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179WG69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    597644 | PA      | $585321.18    | 0.05%             | 2051-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179WJQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1890502 | PA      | $1639377.02   | 0.13%             | 2051-07-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179WLN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7090535 | PA      | $6146834.95   | 0.50%             | 2051-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    946833 | PA      | $845706.80    | 0.07%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11065861 | PA      | $9875156.30   | 0.80%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179WQB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2502073 | PA      | $2298289.77   | 0.19%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179WR26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2580975 | PA      | $2302653.12   | 0.19%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179WSZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    211764 | PA      | $186653.65    | 0.02%             | 2036-12-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179WTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2211453 | PA      | $1972788.12   | 0.16%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179WUV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    272176 | PA      | $239932.88    | 0.02%             | 2037-01-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179WVT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4409648 | PA      | $3812602.47   | 0.31%             | 2052-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179WVU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1083535 | PA      | $966413.47    | 0.08%             | 2052-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179WWL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    528044 | PA      | $465455.88    | 0.04%             | 2037-02-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179XFG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2458457 | PA      | $2386602.45   | 0.19%             | 2052-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179XHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    466535 | PA      | $452899.64    | 0.04%             | 2052-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179XHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4357854 | PA      | $4327230.06   | 0.35%             | 2052-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179XLJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3313419 | PA      | $3369020.25   | 0.27%             | 2052-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179XLM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    213234 | PA      | $223258.47    | 0.02%             | 2052-11-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179XNG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4446017 | PA      | $4520624.09   | 0.37%             | 2052-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36179XQ25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    931766 | PA      | $962487.93    | 0.08%             | 2053-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 3617A9KW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     40692 | PA      | $39042.94     | 0.00%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 3617G85D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22770 | PA      | $23019.75     | 0.00%             | 2048-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 3617G9FT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     77014 | PA      | $78114.31     | 0.01%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36181KC81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     75053 | PA      | $72073.09     | 0.01%             | 2043-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36183FLP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38512 | PA      | $36945.46     | 0.00%             | 2044-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36184BAH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36089 | PA      | $34621.57     | 0.00%             | 2045-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE I POOL                                                                | CUSIP: 36184BZ34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50496 | PA      | $48996.31     | 0.00%             | 2045-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36184Q2S2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14547 | PA      | $13955.32     | 0.00%             | 2045-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36184SPQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7758 | PA      | $7443.26      | 0.00%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36184Y5N3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43958 | PA      | $42169.66     | 0.00%             | 2045-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36189MBR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63694 | PA      | $61102.62     | 0.00%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36192STM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12928 | PA      | $12392.15     | 0.00%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36193EPR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    148392 | PA      | $142355.02    | 0.01%             | 2046-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36193UCX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15734 | PA      | $15071.80     | 0.00%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36193VFR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5126 | PA      | $4913.27      | 0.00%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36194CP23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       724 | PA      | $693.25       | 0.00%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE I POOL                                                                | CUSIP: 36200X6E4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29854 | PA      | $30047.10     | 0.00%             | 2032-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36202CQB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       158 | PA      | $158.65       | 0.00%             | 2026-07-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36202D3Y5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    111916 | PA      | $115898.84    | 0.01%             | 2034-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36202D4P3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       529 | PA      | $551.62       | 0.00%             | 2034-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36202D7H8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13571 | PA      | $14243.19     | 0.00%             | 2034-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36202DUU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       641 | PA      | $664.41       | 0.00%             | 2032-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36202DVY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1051 | PA      | $1086.87      | 0.00%             | 2033-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36202E4H9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4886 | PA      | $5043.98      | 0.00%             | 2039-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36202EC31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3619 | PA      | $3751.00      | 0.00%             | 2035-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36202ECN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4472 | PA      | $4634.26      | 0.00%             | 2035-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36202ECP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       778 | PA      | $811.73       | 0.00%             | 2035-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36202ED48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       577 | PA      | $598.50       | 0.00%             | 2035-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36202EEU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3333 | PA      | $3454.61      | 0.00%             | 2035-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36202EG45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7431 | PA      | $7808.92      | 0.00%             | 2036-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36202EGC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4588 | PA      | $4754.85      | 0.00%             | 2035-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36202EGN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1251 | PA      | $1296.76      | 0.00%             | 2036-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36202EHE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6393 | PA      | $6625.33      | 0.00%             | 2036-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36202FCN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19829 | PA      | $20236.54     | 0.00%             | 2039-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36202FGY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       715 | PA      | $738.75       | 0.00%             | 2040-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36202FJR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       509 | PA      | $525.71       | 0.00%             | 2040-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36202FKN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     83365 | PA      | $85067.11     | 0.01%             | 2040-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36202FLQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36077 | PA      | $37256.71     | 0.00%             | 2040-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36202FMB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    302752 | PA      | $308967.69    | 0.03%             | 2040-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36202FMC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19355 | PA      | $19989.62     | 0.00%             | 2040-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36202FP75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    254998 | PA      | $260237.91    | 0.02%             | 2041-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36202FQ74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22002 | PA      | $22454.34     | 0.00%             | 2041-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36202FQ82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    238924 | PA      | $246731.92    | 0.02%             | 2041-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36202FUG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12038 | PA      | $12432.11     | 0.00%             | 2041-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36202FX84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2064 | PA      | $2054.18      | 0.00%             | 2041-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36202KD93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         6 | PA      | $5.47         | 0.00%             | 2023-07-20      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 36202KE84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        29 | PA      | $28.36        | 0.00%             | 2023-08-20      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE I POOL                                                                | CUSIP: 36203K3J1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        90 | PA      | $89.45        | 0.00%             | 2023-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE I POOL                                                                | CUSIP: 36203XJN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        80 | PA      | $79.81        | 0.00%             | 2023-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE I POOL                                                                | CUSIP: 36204REQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        14 | PA      | $14.00        | 0.00%             | 2024-11-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE I POOL                                                                | CUSIP: 36204XDF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1620 | PA      | $1618.94      | 0.00%             | 2025-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE I POOL                                                                | CUSIP: 36205DB64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        99 | PA      | $98.82        | 0.00%             | 2025-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE I POOL                                                                | CUSIP: 36205K2K7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       377 | PA      | $377.76       | 0.00%             | 2025-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE I POOL                                                                | CUSIP: 36206JGS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        66 | PA      | $68.91        | 0.00%             | 2025-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE I POOL                                                                | CUSIP: 36206LSZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       295 | PA      | $295.59       | 0.00%             | 2025-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE I POOL                                                                | CUSIP: 36206PAJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        89 | PA      | $88.62        | 0.00%             | 2025-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE I POOL                                                                | CUSIP: 36206PSP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        32 | PA      | $31.69        | 0.00%             | 2026-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE I POOL                                                                | CUSIP: 36206TJE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1453 | PA      | $1451.49      | 0.00%             | 2026-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE I POOL                                                                | CUSIP: 36206UME6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       263 | PA      | $272.65       | 0.00%             | 2026-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE I POOL                                                                | CUSIP: 36206UPY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        65 | PA      | $65.32        | 0.00%             | 2026-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE I POOL                                                                | CUSIP: 36208QJG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       257 | PA      | $256.40       | 0.00%             | 2027-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE I POOL                                                                | CUSIP: 36209BFA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       109 | PA      | $113.17       | 0.00%             | 2029-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE I POOL                                                                | CUSIP: 36209E6V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       371 | PA      | $384.12       | 0.00%             | 2029-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE I POOL                                                                | CUSIP: 36209RZR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       239 | PA      | $239.69       | 0.00%             | 2030-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE I POOL                                                                | CUSIP: 3620A56A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52762 | PA      | $53521.00     | 0.00%             | 2039-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE I POOL                                                                | CUSIP: 3620A9S44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     76380 | PA      | $78922.82     | 0.01%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE I POOL                                                                | CUSIP: 3620AR3K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     83222 | PA      | $82265.74     | 0.01%             | 2041-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE I POOL                                                                | CUSIP: 3620ASAG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     98448 | PA      | $97316.64     | 0.01%             | 2041-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE I POOL                                                                | CUSIP: 3620AVCW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5179 | PA      | $5253.02      | 0.00%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE I POOL                                                                | CUSIP: 36210BBB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       437 | PA      | $453.02       | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE I POOL                                                                | CUSIP: 36210BUH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       266 | PA      | $275.42       | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE I POOL                                                                | CUSIP: 36210EQ85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        50 | PA      | $51.30        | 0.00%             | 2029-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE I POOL                                                                | CUSIP: 36210JVW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       100 | PA      | $103.46       | 0.00%             | 2029-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE I POOL                                                                | CUSIP: 36210RKR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        74 | PA      | $76.30        | 0.00%             | 2029-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE I POOL                                                                | CUSIP: 36210RW22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       403 | PA      | $406.25       | 0.00%             | 2029-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE I POOL                                                                | CUSIP: 36210VKW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       505 | PA      | $523.84       | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE I POOL                                                                | CUSIP: 36211BKC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       152 | PA      | $157.86       | 0.00%             | 2029-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE I POOL                                                                | CUSIP: 36211D2Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       997 | PA      | $1033.35      | 0.00%             | 2029-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE I POOL                                                                | CUSIP: 36213CU32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1002 | PA      | $1004.77      | 0.00%             | 2035-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE I POOL                                                                | CUSIP: 36224XP54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        17 | PA      | $16.83        | 0.00%             | 2023-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE I POOL                                                                | CUSIP: 36225BEG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       124 | PA      | $128.37       | 0.00%             | 2029-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE I POOL                                                                | CUSIP: 36225BUB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       852 | PA      | $902.20       | 0.00%             | 2032-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE I POOL                                                                | CUSIP: 36225BZP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4020 | PA      | $4264.22      | 0.00%             | 2033-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 3622A26K3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1906882 | PA      | $1821664.02   | 0.15%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 3622A26L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5630 | PA      | $5392.14      | 0.00%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 3622A2D74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    122325 | PA      | $116405.65    | 0.01%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE I POOL                                                                | CUSIP: 3622A2MG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12154 | PA      | $12889.67     | 0.00%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE I POOL                                                                | CUSIP: 3622A2N81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5589 | PA      | $5289.02      | 0.00%             | 2043-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 3622A2TA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    152286 | PA      | $146101.49    | 0.01%             | 2046-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 3622A3AD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    850623 | PA      | $814810.22    | 0.07%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 3622AAC28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    812766 | PA      | $773463.84    | 0.06%             | 2043-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE II POOL                                                               | CUSIP: 3622AACK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    553157 | PA      | $533959.19    | 0.04%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE I POOL                                                                | CUSIP: 36241KAG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       791 | PA      | $796.01       | 0.00%             | 2034-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A                                                   | GINNIE MAE I POOL                                                                | CUSIP: 36241LX84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    377635 | PA      | $366194.92    | 0.03%             | 2041-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2018-GS9                                            | GS MORTGAGE SECURITIES TRUST 2018-GS9                                            | CUSIP: 36255NAT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    740000 | PA      | $711724.01    | 0.06%             | 2051-03-10      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust 2020-INV1                                    | GS MORTGAGE-BACKED SECURITIES TRUST 2020-INV1                                    | CUSIP: 36258KAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1178713 | PA      | $1039892.20   | 0.08%             | 2050-10-25      | Variable      | 2.93%                 | No            |                  2 | On Loan: No      |
| GM Financial Consumer Automobile Receivables Trust 2020-3                        | GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2020-3                        | CUSIP: 362590AG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1310000 | PA      | $1253196.83   | 0.10%             | 2027-09-16      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Corp Trust 2021-PJ5                                | GS MORTGAGE-BACKED SECURITIES CORP TRUST 2021-PJ5                                | CUSIP: 36261HAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1668795 | PA      | $1475432.01   | 0.12%             | 2051-10-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Galton Funding Mortgage Trust 2017-1                                             | GALTON FUNDING MORTGAGE TRUST 2017-1                                             | CUSIP: 36417JAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     58386 | PA      | $53843.38     | 0.00%             | 2057-11-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Galton Funding Mortgage Trust 2019-H1                                            | GALTON FUNDING MORTGAGE TRUST 2019-H1                                            | CUSIP: 36418XAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    790686 | PA      | $763249.84    | 0.06%             | 2059-10-25      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| General Dynamics Corp                                                            | GENERAL DYNAMICS CORP                                                            | CUSIP: 369550BK3<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |     35000 | PA      | $34126.40     | 0.00%             | 2025-04-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| General Motors Co                                                                | GENERAL MOTORS CO                                                                | CUSIP: 37045VAG5<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |   1090000 | PA      | $1065186.15   | 0.09%             | 2025-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| Georgetown University/The                                                        | GEORGETOWN UNIVERSITY/THE                                                        | CUSIP: 37310PAC5<br>LEI: 549300GCL3B0KVXSX752 | Long             | DBT              | CORP              | US        |   1475000 | PA      | $1310909.20   | 0.11%             | 2049-04-01      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group Inc/The                                                      | GOLDMAN SACHS GROUP INC/THE                                                      | CUSIP: 38141GFD1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    455000 | PA      | $508708.20    | 0.04%             | 2037-10-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group Inc/The                                                      | GOLDMAN SACHS GROUP INC/THE                                                      | CUSIP: 38141GVR2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    825000 | PA      | $812318.93    | 0.07%             | 2025-10-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group Inc/The                                                      | GOLDMAN SACHS GROUP INC/THE                                                      | CUSIP: 38141GWQ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1915000 | PA      | $1853911.50   | 0.15%             | 2025-09-29      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group Inc/The                                                      | GOLDMAN SACHS GROUP INC/THE                                                      | CUSIP: 38141GXH2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1270000 | PA      | $1191853.09   | 0.10%             | 2030-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group Inc/The                                                      | GOLDMAN SACHS GROUP INC/THE                                                      | CUSIP: 38148LAC0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    750000 | PA      | $730927.50    | 0.06%             | 2025-01-23      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                         | CUSIP: 38380H5W8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48672 | PA      | $45921.18     | 0.00%             | 2047-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                         | CUSIP: 38380UPK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39171 | PA      | $36944.40     | 0.00%             | 2047-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                                         | CUSIP: 38383REY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1015000 | PA      | $893025.01    | 0.07%             | 2050-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Grand Parkway Transportation Corp                                                | GRAND PARKWAY TRANSPORTATION CORP                                                | CUSIP: 38611TDL8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     15000 | PA      | $11695.30     | 0.00%             | 2052-10-01      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| Great Lakes Water Authority Sewage Disposal System Revenue                       | GREAT LAKES WATER AUTHORITY SEWAGE DISPOSAL SYSTEM REVENUE                       | CUSIP: 39081HCV2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    450000 | PA      | $367822.62    | 0.03%             | 2039-07-01      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| Great Lakes Water Authority Water Supply System Revenue                          | GREAT LAKES WATER AUTHORITY WATER SUPPLY SYSTEM REVENUE                          | CUSIP: 39081JDZ8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1520000 | PA      | $1289328.60   | 0.11%             | 2041-07-01      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust 2019-WOLF                                                       | GREAT WOLF TRUST 2019-WOLF                                                       | CUSIP: 39152TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3110000 | PA      | $3072905.16   | 0.25%             | 2036-12-15      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust 2019-WOLF                                                       | GREAT WOLF TRUST 2019-WOLF                                                       | CUSIP: 39152TAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10000 | PA      | $9673.65      | 0.00%             | 2036-12-15      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust 2019-WOLF                                                       | GREAT WOLF TRUST 2019-WOLF                                                       | CUSIP: 39152TAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    850000 | PA      | $820127.52    | 0.07%             | 2036-12-15      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| HCA Inc                                                                          | HCA INC                                                                          | CUSIP: 404119BX6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1695000 | PA      | $1606860.00   | 0.13%             | 2029-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                                                | HSBC HOLDINGS PLC                                                                | CUSIP: 404280CL1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   3345000 | PA      | $2889628.43   | 0.24%             | 2028-09-22      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA NA/New York NY                                                     | HSBC BANK USA NA/NEW YORK NY                                                     | CUSIP: 4042Q1AA5<br>LEI: 1IE8VN30JCEQV1H4R804 | Long             | DBT              | CORP              | US        |    550000 | PA      | $545899.20    | 0.04%             | 2034-11-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Hackensack Meridian Health Inc                                                   | HACKENSACK MERIDIAN HEALTH INC                                                   | CUSIP: 404530AB3<br>LEI: 5493001CB3OCWTEJY668 | Long             | DBT              | CORP              | US        |   1680000 | PA      | $1522689.84   | 0.12%             | 2048-07-01      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| Hardee s Funding LLC                                                             | HARDEE'S FUNDING LLC                                                             | CUSIP: 411707AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1283050 | PA      | $1224045.10   | 0.10%             | 2048-06-20      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| L3Harris Technologies Inc                                                        | L3HARRIS TECHNOLOGIES INC                                                        | CUSIP: 413875AR6<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |    295000 | PA      | $288334.48    | 0.02%             | 2025-04-27      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| Hasbro Inc                                                                       | HASBRO INC                                                                       | CUSIP: 418056AX5<br>LEI: 549300NUB6D2R1ITYR45 | Long             | DBT              | CORP              | US        |   1395000 | PA      | $1346977.13   | 0.11%             | 2024-11-19      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Hasbro Inc                                                                       | HASBRO INC                                                                       | CUSIP: 418056AY3<br>LEI: 549300NUB6D2R1ITYR45 | Long             | DBT              | CORP              | US        |   1920000 | PA      | $1830460.80   | 0.15%             | 2026-11-19      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Healthcare Realty Holdings LP                                                    | HEALTHCARE REALTY HOLDINGS LP                                                    | CUSIP: 42225UAK0<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |    605000 | PA      | $546096.60    | 0.04%             | 2028-01-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Healthpeak Properties Inc                                                        | HEALTHPEAK PROPERTIES INTERIM INC                                                | CUSIP: 42250PAB9<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |    420000 | PA      | $365961.96    | 0.03%             | 2031-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Healthpeak Properties Inc                                                        | HEALTHPEAK PROPERTIES INTERIM INC                                                | CUSIP: 42250PAD5<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |    710000 | PA      | $616145.81    | 0.05%             | 2028-12-01      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| High Street Funding Trust I                                                      | HIGH STREET FUNDING TRUST I                                                      | CUSIP: 42981CAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1049110.70   | 0.09%             | 2028-02-15      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| Home Depot Inc/The                                                               | HOME DEPOT INC/THE                                                               | CUSIP: 437076AS1<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3367227.00   | 0.27%             | 2036-12-16      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Humana Inc                                                                       | HUMANA INC                                                                       | CUSIP: 444859BR2<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |   1050000 | PA      | $850367.70    | 0.07%             | 2032-02-03      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Humana Inc                                                                       | HUMANA INC                                                                       | CUSIP: 444859BT8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    880000 | PA      | $827420.00    | 0.07%             | 2029-03-23      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                                          | HYUNDAI CAPITAL AMERICA                                                          | CUSIP: 44891ABS5<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   1510000 | PA      | $1347093.65   | 0.11%             | 2026-01-08      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| Illinois State Toll Highway Authority                                            | ILLINOIS STATE TOLL HIGHWAY AUTHORITY                                            | CUSIP: 452252FH7<br>LEI: 549300ISBFGI8MJJKM98 | Long             | DBT              | MUN               | US        |    315000 | PA      | $358946.37    | 0.03%             | 2034-01-01      | Fixed         | 6.18%                 | No            |                  2 | On Loan: No      |
| Indiana University Health Inc Obligated Group                                    | INDIANA UNIVERSITY HEALTH INC OBLIGATED GROUP                                    | CUSIP: 455170AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1030000 | PA      | $905131.04    | 0.07%             | 2048-11-01      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Inland Valley Development Agency                                                 | INLAND VALLEY DEVELOPMENT AGENCY                                                 | CUSIP: 45750TAS2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    250000 | PA      | $251753.35    | 0.02%             | 2033-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange Inc                                                    | INTERCONTINENTAL EXCHANGE INC                                                    | CUSIP: 45866FAN4<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |   1735000 | PA      | $1365785.06   | 0.11%             | 2032-09-15      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| Interpublic Group of Cos Inc/The                                                 | INTERPUBLIC GROUP OF COS INC/THE                                                 | CUSIP: 460690BL3<br>LEI: 5493008IUOJ5VWTRC333 | Long             | DBT              | CORP              | US        |    410000 | PA      | $404651.14    | 0.03%             | 2024-04-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                              | JPMORGAN CHASE & CO                                                              | CUSIP: 46625HRV4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    980000 | PA      | $933071.72    | 0.08%             | 2026-10-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                              | JPMORGAN CHASE & CO                                                              | CUSIP: 46625HRY8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    990000 | PA      | $950719.77    | 0.08%             | 2028-02-01      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust 2014-C23                              | JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C23                              | CUSIP: 46643ABE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2720000 | PA      | $2656664.53   | 0.22%             | 2047-09-15      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                              | JPMORGAN CHASE & CO                                                              | CUSIP: 46647PAJ5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1405000 | PA      | $1235620.23   | 0.10%             | 2038-07-24      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                              | JPMORGAN CHASE & CO                                                              | CUSIP: 46647PAP1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1245520.00   | 0.10%             | 2024-04-23      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                              | JPMORGAN CHASE & CO                                                              | CUSIP: 46647PBP0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1230000 | PA      | $1067610.48   | 0.09%             | 2031-05-13      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust 2020-609M                 | J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-609M                 | CUSIP: 46652RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1625000 | PA      | $1512578.93   | 0.12%             | 2033-10-15      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| JDE Peet s NV                                                                    | JDE PEET'S NV                                                                    | CUSIP: 47216QAB9<br>LEI: 724500EHG519SE5ZRT89 | Long             | DBT              | CORP              | NL        |   1245000 | PA      | $1076925.00   | 0.09%             | 2027-01-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Kansas City Southern/Old                                                         | KANSAS CITY SOUTHERN/OLD                                                         | CUSIP: 485170AV6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    355000 | PA      | $352563.99    | 0.03%             | 2023-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Kansas City Southern/Old                                                         | KANSAS CITY SOUTHERN/OLD                                                         | CUSIP: 485170BB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    720000 | PA      | $673932.24    | 0.05%             | 2048-05-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Kansas City Southern/Old                                                         | KANSAS CITY SOUTHERN/OLD                                                         | CUSIP: 485170BD5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1140000 | PA      | $1019447.28   | 0.08%             | 2029-11-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Kansas City Southern/Old                                                         | KANSAS CITY SOUTHERN/OLD                                                         | CUSIP: 485170BE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1155000 | PA      | $905856.11    | 0.07%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| KeyCorp                                                                          | KEYCORP                                                                          | CUSIP: 49326EEK5<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |   1950000 | PA      | $1779100.05   | 0.15%             | 2027-04-06      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Keysight Technologies Inc                                                        | KEYSIGHT TECHNOLOGIES INC                                                        | CUSIP: 49338LAB9<br>LEI: 549300GLKVIO8YRCYN02 | Long             | DBT              | CORP              | US        |   1427000 | PA      | $1420036.24   | 0.12%             | 2024-10-30      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Kilroy Realty LP                                                                 | KILROY REALTY LP                                                                 | CUSIP: 49427RAL6<br>LEI: 5493008CT3N3JR7P1552 | Long             | DBT              | CORP              | US        |    335000 | PA      | $326522.16    | 0.03%             | 2025-10-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Kilroy Realty LP                                                                 | KILROY REALTY LP                                                                 | CUSIP: 49427RAM4<br>LEI: 5493008CT3N3JR7P1552 | Long             | DBT              | CORP              | US        |    750000 | PA      | $724877.25    | 0.06%             | 2024-12-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan Inc                                                                | KINDER MORGAN INC                                                                | CUSIP: 49456BAX9<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1793174.40   | 0.15%             | 2033-06-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| LYB International Finance II BV                                                  | LYB INTERNATIONAL FINANCE II BV                                                  | CUSIP: 50247WAB3<br>LEI: 549300ZSNDBYN4Z4VZ93 | Long             | DBT              | CORP              | NL        |   1000000 | PA      | $945309.00    | 0.08%             | 2027-03-02      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Liberty Mutual Group Inc                                                         | LIBERTY MUTUAL GROUP INC                                                         | CUSIP: 53079EBF0<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |   1370000 | PA      | $1228532.43   | 0.10%             | 2044-08-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Liberty Mutual Group Inc                                                         | LIBERTY MUTUAL GROUP INC                                                         | CUSIP: 53079EBH6<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |   1670000 | PA      | $1290014.88   | 0.11%             | 2049-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Life Storage LP                                                                  | LIFE STORAGE LP                                                                  | CUSIP: 53227JAB0<br>LEI: X0MIGH67XZCB7HL1A534 | Long             | DBT              | CORP              | US        |     15000 | PA      | $13842.93     | 0.00%             | 2029-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Lockheed Martin Corp                                                             | LOCKHEED MARTIN CORP                                                             | CUSIP: 539830BB4<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |    184000 | PA      | $168982.29    | 0.01%             | 2042-12-15      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| Lockheed Martin Corp                                                             | LOCKHEED MARTIN CORP                                                             | CUSIP: 539830BC2<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |    240000 | PA      | $222111.36    | 0.02%             | 2035-03-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| City of Los Angeles Department of Airports                                       | CITY OF LOS ANGELES DEPARTMENT OF AIRPORTS                                       | CUSIP: 544435Q52<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    700000 | PA      | $851988.34    | 0.07%             | 2040-05-15      | Fixed         | 7.05%                 | No            |                  2 | On Loan: No      |
| M&T Bank Corp                                                                    | M&T BANK CORP                                                                    | CUSIP: 55261FAJ3<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |   2140000 | PA      | $2124322.36   | 0.17%             | 2023-07-26      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Manufacturers & Traders Trust Co                                                 | MANUFACTURERS & TRADERS TRUST CO                                                 | CUSIP: 55279HAQ3<br>LEI: WWB2V0FCW3A0EE3ZJN75 | Long             | DBT              | CORP              | US        |    250000 | PA      | $233552.00    | 0.02%             | 2027-08-17      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust 2021-MHC                                           | MHC COMMERCIAL MORTGAGE TRUST 2021-MHC                                           | CUSIP: 55316VAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3975000 | PA      | $3875538.35   | 0.32%             | 2038-04-15      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust 2017-1                                                           | MVW OWNER TRUST 2017-1                                                           | CUSIP: 553896AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     24611 | PA      | $23849.49     | 0.00%             | 2034-12-20      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| MVW 2019-2 LLC                                                                   | MVW 2019-2 LLC                                                                   | CUSIP: 55400DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    918541 | PA      | $864349.66    | 0.07%             | 2038-10-20      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| MVW 2020-1 LLC                                                                   | MVW 2020-1 LLC                                                                   | CUSIP: 55400EAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    277071 | PA      | $256527.66    | 0.02%             | 2037-10-20      | Fixed         | 1.74%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding XXXIII Ltd                                                  | MADISON PARK FUNDING XXXIII LTD                                                  | CUSIP: 55819JAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1255000 | PA      | $1244125.81   | 0.10%             | 2032-10-15      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| Warnermedia Holdings Inc                                                         | WARNERMEDIA HOLDINGS INC                                                         | CUSIP: 55903VAN3<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   1570000 | PA      | $1339594.65   | 0.11%             | 2042-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Province of Manitoba Canada                                                      | PROVINCE OF MANITOBA CANADA                                                      | CUSIP: 563469UU7<br>LEI: 5493003QILFOB3JRKE30 | Long             | DBT              | NUSS              | CA        |   1507000 | PA      | $1467680.86   | 0.12%             | 2024-04-16      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Marsh & McLennan Cos Inc                                                         | MARSH & MCLENNAN COS INC                                                         | CUSIP: 571748AV4<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |   1915000 | PA      | $1886809.29   | 0.15%             | 2024-06-03      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Maryland Economic Development Corp                                               | MARYLAND ECONOMIC DEVELOPMENT CORP                                               | CUSIP: 57420NDK4<br>LEI: 549300JJ16DDBSZWSN94 | Long             | DBT              | MUN               | US        |   2045000 | PA      | $1725170.18   | 0.14%             | 2042-06-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| McDonald s Corp                                                                  | MCDONALD'S CORP                                                                  | CUSIP: 58013MFL3<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    935000 | PA      | $866422.43    | 0.07%             | 2025-09-01      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| McDonald s Corp                                                                  | MCDONALD'S CORP                                                                  | CUSIP: 58013MFN9<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |     15000 | PA      | $14605.35     | 0.00%             | 2025-07-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| MedStar Health Inc                                                               | MEDSTAR HEALTH INC                                                               | CUSIP: 58506YAS1<br>LEI: 549300ICFOCGDEPVJE31 | Long             | DBT              | CORP              | US        |    920000 | PA      | $694462.00    | 0.06%             | 2049-08-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Memorial Sloan-Kettering Cancer Center                                           | MEMORIAL SLOAN-KETTERING CANCER CENTER                                           | CUSIP: 586054AC2<br>LEI: 549300IZ71UAMEHWL382 | Long             | DBT              | CORP              | US        |    600000 | PA      | $538618.80    | 0.04%             | 2055-07-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                                             | BANK OF AMERICA CORP                                                             | CUSIP: 59023VAA8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    150000 | PA      | $186529.65    | 0.02%             | 2038-05-14      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| METLIFE SECURITIZATION TRUST 2018-1                                              | METLIFE SECURITIZATION TRUST 2018-1                                              | CUSIP: 59166DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800924 | PA      | $760234.32    | 0.06%             | 2057-03-25      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| Metropolitan Edison Co                                                           | METROPOLITAN EDISON CO                                                           | CUSIP: 591894CC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2320000 | PA      | $2230633.60   | 0.18%             | 2029-01-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Metropolitan Transportation Authority                                            | METROPOLITAN TRANSPORTATION AUTHORITY                                            | CUSIP: 59259NZH9<br>LEI: 5493000TKYODLXADQD60 | Long             | DBT              | MUN               | US        |    145000 | PA      | $187810.55    | 0.02%             | 2039-11-15      | Fixed         | 7.34%                 | No            |                  2 | On Loan: No      |
| Metropolitan Transportation Authority                                            | METROPOLITAN TRANSPORTATION AUTHORITY                                            | CUSIP: 59259YBF5<br>LEI: 5493000TKYODLXADQD60 | Long             | DBT              | MUN               | US        |    525000 | PA      | $531647.08    | 0.04%             | 2039-11-15      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| Metropolitan Transportation Authority                                            | METROPOLITAN TRANSPORTATION AUTHORITY                                            | CUSIP: 59259YCA5<br>LEI: 5493000TKYODLXADQD60 | Long             | DBT              | MUN               | US        |   1320000 | PA      | $1414718.58   | 0.12%             | 2031-11-15      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Micron Technology Inc                                                            | MICRON TECHNOLOGY INC                                                            | CUSIP: 595112BP7<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |    805000 | PA      | $781856.25    | 0.06%             | 2027-02-15      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| Mid-Atlantic Interstate Transmission LLC                                         | MID-ATLANTIC INTERSTATE TRANSMISSION LLC                                         | CUSIP: 59524QAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1765000 | PA      | $1698526.57   | 0.14%             | 2028-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Berkshire Hathaway Energy Co                                                     | BERKSHIRE HATHAWAY ENERGY CO                                                     | CUSIP: 59562VAM9<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |    170000 | PA      | $188601.57    | 0.02%             | 2036-04-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Loan Trust 2018-1                                             | MILL CITY MORTGAGE LOAN TRUST 2018-1                                             | CUSIP: 59980VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    252829 | PA      | $244517.61    | 0.02%             | 2062-05-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Mississippi Power Co                                                             | MISSISSIPPI POWER CO                                                             | CUSIP: 605417CB8<br>LEI: LNZ0J6YZ5SC6ILIRU850 | Long             | DBT              | CORP              | US        |    905000 | PA      | $869097.75    | 0.07%             | 2028-03-30      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group Inc                                               | MITSUBISHI UFJ FINANCIAL GROUP INC                                               | CUSIP: 606822BN3<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   2200000 | PA      | $2077673.40   | 0.17%             | 2025-02-25      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| Moody s Corp                                                                     | MOODY'S CORP                                                                     | CUSIP: 615369AW5<br>LEI: 549300GCEDD8YCF5WU84 | Long             | DBT              | CORP              | US        |   1660000 | PA      | $1367222.48   | 0.11%             | 2031-08-19      | Fixed         | 2.00%                 | No            |                  2 | On Loan: —       |
| Morgan Stanley Bank of America Merrill Lynch Trust 2015-C27                      | MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C27                      | CUSIP: 61690AAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1390000 | PA      | $1324247.02   | 0.11%             | 2047-12-15      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust 2018-H4                                           | MORGAN STANLEY CAPITAL I TRUST 2018-H4                                           | CUSIP: 61691RAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3045000 | PA      | $2969123.17   | 0.24%             | 2051-12-15      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                   | MORGAN STANLEY                                                                   | CUSIP: 6174468Q5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1410000 | PA      | $1323114.39   | 0.11%             | 2026-04-28      | Variable      | 2.19%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                   | MORGAN STANLEY                                                                   | CUSIP: 61744YAL2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    830000 | PA      | $747805.10    | 0.06%             | 2038-07-22      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                   | MORGAN STANLEY                                                                   | CUSIP: 61746BCY0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    175000 | PA      | $184241.40    | 0.02%             | 2026-08-09      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                   | MORGAN STANLEY                                                                   | CUSIP: 61747YDU6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1290000 | PA      | $1285557.24   | 0.10%             | 2023-05-22      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                   | MORGAN STANLEY                                                                   | CUSIP: 61747YDY8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    750000 | PA      | $692922.00    | 0.06%             | 2045-01-27      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                   | MORGAN STANLEY                                                                   | CUSIP: 61761J3R8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1892888.00   | 0.15%             | 2026-07-27      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust 2014-C17                      | MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2014-C17                      | CUSIP: 61763UBC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40000 | PA      | $38260.78     | 0.00%             | 2047-08-15      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust 2014-150E                                         | MORGAN STANLEY CAPITAL I TRUST 2014-150E                                         | CUSIP: 61764BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2780000 | PA      | $2499804.08   | 0.20%             | 2032-09-09      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust 2015-MS1                                          | MORGAN STANLEY CAPITAL I TRUST 2015-MS1                                          | CUSIP: 61765DAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $675945.90    | 0.06%             | 2048-05-15      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust 2015-C24                      | MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C24                      | CUSIP: 61765LAW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $667953.65    | 0.05%             | 2048-05-15      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust 2016-C30                      | MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2016-C30                      | CUSIP: 61766NBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $277844.52    | 0.02%             | 2049-09-15      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust 2019-MEAD                                         | MORGAN STANLEY CAPITAL I TRUST 2019-MEAD                                         | CUSIP: 61771LAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1835000 | PA      | $1571529.97   | 0.13%             | 2036-11-10      | Variable      | 3.18%                 | No            |                  2 | On Loan: No      |
| Municipal Electric Authority of Georgia                                          | MUNICIPAL ELECTRIC AUTHORITY OF GEORGIA                                          | CUSIP: 626207YM0<br>LEI: JA0WNILDDF2KUPS83B16 | Long             | DBT              | MUN               | US        |   1758000 | PA      | $2020234.88   | 0.16%             | 2057-04-01      | Fixed         | 6.66%                 | No            |                  2 | On Loan: No      |
| NXP BV / NXP Funding LLC / NXP USA Inc                                           | NXP BV / NXP FUNDING LLC / NXP USA INC                                           | CUSIP: 62954HAX6<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    395000 | PA      | $367522.22    | 0.03%             | 2027-05-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust 2020-H                                 | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-H                                 | CUSIP: 63935BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    296136 | PA      | $271912.34    | 0.02%             | 2069-01-15      | Fixed         | 1.31%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust 2019-F                                 | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2019-F                                 | CUSIP: 63935CAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    738069 | PA      | $688174.96    | 0.06%             | 2068-08-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust 2019-C                                 | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2019-C                                 | CUSIP: 63940YAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    710748 | PA      | $680280.03    | 0.06%             | 2068-02-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Loan Trust 2020-A                                      | NAVIENT PRIVATE EDUCATION LOAN TRUST 2020-A                                      | CUSIP: 63941FAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1014878 | PA      | $943125.74    | 0.08%             | 2068-11-15      | Fixed         | 2.46%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust 2019-G                                 | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2019-G                                 | CUSIP: 63941JAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    827566 | PA      | $763850.79    | 0.06%             | 2068-10-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust 2020-G                                 | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-G                                 | CUSIP: 63941UAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    306873 | PA      | $274528.18    | 0.02%             | 2069-09-16      | Fixed         | 1.17%                 | No            |                  2 | On Loan: No      |
| Nevada Power Co                                                                  | NEVADA POWER CO                                                                  | CUSIP: 641423BP2<br>LEI: MJZFGXRJ52U8U4MKJ519 | Long             | DBT              | CORP              | US        |    400000 | PA      | $452697.20    | 0.04%             | 2036-04-01      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| Province of New Brunswick Canada                                                 | PROVINCE OF NEW BRUNSWICK CANADA                                                 | CUSIP: 642869AM3<br>LEI: 549300POZA55ZTGSOU44 | Long             | DBT              | NUSS              | CA        |   2545000 | PA      | $2486207.96   | 0.20%             | 2028-02-24      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| New Jersey Turnpike Authority                                                    | NEW JERSEY TURNPIKE AUTHORITY                                                    | CUSIP: 646139W35<br>LEI: 5493005YN67D71KSMI84 | Long             | DBT              | MUN               | US        |   1000000 | PA      | $1306170.90   | 0.11%             | 2040-01-01      | Fixed         | 7.41%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust 2019-NQM5                                    | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-NQM5                                    | CUSIP: 64830PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    514199 | PA      | $477790.78    | 0.04%             | 2059-11-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust 2020-NQM                                     | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-NQM                                     | CUSIP: 64830UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    568448 | PA      | $522536.70    | 0.04%             | 2060-05-24      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust 2020-NQM1                                    | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-NQM1                                    | CUSIP: 64830VAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    278163 | PA      | $255410.76    | 0.02%             | 2060-01-26      | Variable      | 2.77%                 | No            |                  2 | On Loan: No      |
| New York Life Insurance Co                                                       | NEW YORK LIFE INSURANCE CO                                                       | CUSIP: 64952GAT5<br>LEI: TAE73CY392TBWJ3O3305 | Long             | DBT              | CORP              | US        |   1415000 | PA      | $1180306.69   | 0.10%             | 2050-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| New York City Transitional Finance Authority Future Tax Secured Revenue          | NEW YORK CITY TRANSITIONAL FINANCE AUTHORITY FUTURE TAX SECURED REVENUE          | CUSIP: 64971M4P4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     35000 | PA      | $37188.76     | 0.00%             | 2037-08-01      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| New York State Dormitory Authority                                               | NEW YORK STATE DORMITORY AUTHORITY                                               | CUSIP: 64990C7K1<br>LEI: 549300C8XO7EXTX2XU71 | Long             | DBT              | MUN               | US        |    800000 | PA      | $774929.04    | 0.06%             | 2048-07-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| New York State Dormitory Authority                                               | NEW YORK STATE DORMITORY AUTHORITY                                               | CUSIP: 64990CER8<br>LEI: 549300C8XO7EXTX2XU71 | Long             | DBT              | MUN               | US        |    950000 | PA      | $800463.16    | 0.07%             | 2046-07-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| NiSource Inc                                                                     | NISOURCE INC                                                                     | CUSIP: 65473PAL9<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |   1280000 | PA      | $1018412.80   | 0.08%             | 2031-02-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| NiSource Inc                                                                     | NISOURCE INC                                                                     | CUSIP: 65473QBE2<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    710000 | PA      | $682016.77    | 0.06%             | 2027-05-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| NiSource Inc                                                                     | NISOURCE INC                                                                     | CUSIP: 65473QBG7<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $835389.00    | 0.07%             | 2048-03-30      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Norfolk Southern Corp                                                            | NORFOLK SOUTHERN CORP                                                            | CUSIP: 655844AW8<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |     48000 | PA      | $48705.60     | 0.00%             | 2025-05-17      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Norfolk Southern Corp                                                            | NORFOLK SOUTHERN CORP                                                            | CUSIP: 655844CQ9<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |   2600000 | PA      | $2579005.00   | 0.21%             | 2033-03-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Northwell Healthcare Inc                                                         | NORTHWELL HEALTHCARE INC                                                         | CUSIP: 667274AA2<br>LEI: 54930073NUTKK4QD3P47 | Long             | DBT              | CORP              | US        |   1275000 | PA      | $1038087.15   | 0.08%             | 2046-11-01      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| Northwestern University                                                          | NORTHWESTERN UNIVERSITY                                                          | CUSIP: 668444AS1<br>LEI: OBWWNZE695DUK77DTI34 | Long             | DBT              | CORP              | US        |   1280000 | PA      | $917007.36    | 0.07%             | 2050-12-01      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| Nucor Corp                                                                       | NUCOR CORP                                                                       | CUSIP: 670346AP0<br>LEI: 549300GGJCRSI2TIEJ46 | Long             | DBT              | CORP              | US        |   1405000 | PA      | $1368242.39   | 0.11%             | 2028-05-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Nucor Corp                                                                       | NUCOR CORP                                                                       | CUSIP: 670346AS4<br>LEI: 549300GGJCRSI2TIEJ46 | Long             | DBT              | CORP              | US        |    775000 | PA      | $685648.70    | 0.06%             | 2030-06-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Nutrien Ltd                                                                      | NUTRIEN LTD                                                                      | CUSIP: 67077MAE8<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |    525000 | PA      | $516302.33    | 0.04%             | 2026-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| O Reilly Automotive Inc                                                          | O'REILLY AUTOMOTIVE INC                                                          | CUSIP: 67103HAF4<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19260.96     | 0.00%             | 2027-09-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| O Reilly Automotive Inc                                                          | O'REILLY AUTOMOTIVE INC                                                          | CUSIP: 67103HAH0<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |   2470000 | PA      | $2360220.85   | 0.19%             | 2029-06-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| OBX 2019-EXP3 Trust                                                              | OBX 2019-EXP3 TRUST                                                              | CUSIP: 67113AAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    160145 | PA      | $149199.36    | 0.01%             | 2059-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| OBX 2019-EXP3 Trust                                                              | OBX 2019-EXP3 TRUST                                                              | CUSIP: 67113ABC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     73692 | PA      | $71536.78     | 0.01%             | 2059-10-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Omnicom Group Inc / Omnicom Capital Inc                                          | OMNICOM GROUP INC / OMNICOM CAPITAL INC                                          | CUSIP: 681919BA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    460000 | PA      | $450919.14    | 0.04%             | 2024-11-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Omnicom Group Inc / Omnicom Capital Inc                                          | OMNICOM GROUP INC / OMNICOM CAPITAL INC                                          | CUSIP: 68217FAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    695000 | PA      | $674074.25    | 0.05%             | 2026-04-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| State of Oregon Department of Transportation                                     | STATE OF OREGON DEPARTMENT OF TRANSPORTATION                                     | CUSIP: 68607DVJ1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2400000 | PA      | $1903169.28   | 0.16%             | 2032-11-15      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| PECO Energy Co                                                                   | PECO ENERGY CO                                                                   | CUSIP: 693304AH0<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |    150000 | PA      | $164594.85    | 0.01%             | 2036-10-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group Inc/The                                             | PNC FINANCIAL SERVICES GROUP INC/THE                                             | CUSIP: 693475BL8<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   1920000 | PA      | $1924780.80   | 0.16%             | 2027-01-26      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| PNC Bank NA                                                                      | PNC BANK NA                                                                      | CUSIP: 69353RFL7<br>LEI: AD6GFRVSDT01YPT1CS68 | Long             | DBT              | CORP              | US        |   2025000 | PA      | $2016025.20   | 0.16%             | 2023-06-08      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Perusahaan Gas Negara Tbk PT                                                     | PERUSAHAAN GAS NEGARA TBK PT                                                     | CUSIP: 69367PAA4<br>LEI: 549300OX1VFDX7ZPN240 | Long             | DBT              | CORP              | ID        |    405000 | PA      | $403984.43    | 0.03%             | 2024-05-16      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Pertamina Persero PT                                                             | PERTAMINA PERSERO PT                                                             | CUSIP: 69369EAE9<br>LEI: 254900NDAKGNZ2IBBL45 | Long             | DBT              | CORP              | ID        |    650000 | PA      | $648375.00    | 0.05%             | 2023-05-20      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| PACCAR Financial Corp                                                            | PACCAR FINANCIAL CORP                                                            | CUSIP: 69371RQ74<br>LEI: PH3S12DWZBHHQKVYZ297 | Long             | DBT              | CORP              | US        |   1030000 | PA      | $1026148.83   | 0.08%             | 2023-04-06      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co                                                      | PACIFIC GAS AND ELECTRIC CO                                                      | CUSIP: 694308JF5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1985000 | PA      | $1737103.28   | 0.14%             | 2027-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| PacifiCorp                                                                       | PACIFICORP                                                                       | CUSIP: 695114CG1<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |     90000 | PA      | $100784.52    | 0.01%             | 2037-10-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| PacifiCorp                                                                       | PACIFICORP                                                                       | CUSIP: 695114CT3<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1228238.20   | 0.10%             | 2049-01-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Packaging Corp of America                                                        | PACKAGING CORP OF AMERICA                                                        | CUSIP: 695156AR0<br>LEI: 549300XZP8MFZFY8TJ84 | Long             | DBT              | CORP              | US        |    395000 | PA      | $386713.30    | 0.03%             | 2024-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Mass General Brigham Inc                                                         | MASS GENERAL BRIGHAM INC                                                         | CUSIP: 70213HAE8<br>LEI: 5493007Z86EDN0QFYU66 | Long             | DBT              | CORP              | US        |   1905000 | PA      | $1445571.15   | 0.12%             | 2049-07-01      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| PerkinElmer Inc                                                                  | PERKINELMER INC                                                                  | CUSIP: 714046AM1<br>LEI: 549300IKL1SDPFI7N655 | Long             | DBT              | CORP              | US        |   1575000 | PA      | $1347135.30   | 0.11%             | 2028-09-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Perrigo Finance Unlimited Co                                                     | PERRIGO FINANCE UNLIMITED CO                                                     | CUSIP: 71429MAC9<br>LEI: 549300E86RB6YCTMRM83 | Long             | DBT              | CORP              | IE        |   1725000 | PA      | $1509375.00   | 0.12%             | 2030-06-15      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| Philadelphia Authority for Industrial Development                                | PHILADELPHIA AUTHORITY FOR INDUSTRIAL DEVELOPMENT                                | CUSIP: 71783DAD7<br>LEI: 549300DIY68KQZEW7M79 | Long             | DBT              | MUN               | US        |    680000 | PA      | $665037.62    | 0.05%             | 2026-04-15      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| Pioneer Natural Resources Co                                                     | PIONEER NATURAL RESOURCES CO                                                     | CUSIP: 723787AT4<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |    695000 | PA      | $627687.86    | 0.05%             | 2026-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Republic of Poland Government International Bond                                 | REPUBLIC OF POLAND GOVERNMENT INTERNATIONAL BOND                                 | CUSIP: 731011AU6<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |    890000 | PA      | $860067.52    | 0.07%             | 2026-04-06      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Port Authority of New York & New Jersey                                          | PORT AUTHORITY OF NEW YORK & NEW JERSEY                                          | CUSIP: 73358WRQ9<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |     40000 | PA      | $40190.44     | 0.00%             | 2046-08-01      | Fixed         | 5.31%                 | No            |                  2 | On Loan: No      |
| President and Fellows of Harvard College                                         | PRESIDENT AND FELLOWS OF HARVARD COLLEGE                                         | CUSIP: 740816AL7<br>LEI: 6S3X7J22E861RNTJSA74 | Long             | DBT              | CORP              | US        |    385000 | PA      | $350007.35    | 0.03%             | 2037-10-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Booking Holdings Inc                                                             | BOOKING HOLDINGS INC                                                             | CUSIP: 741503AW6<br>LEI: FXM8FAOHMYDIPD38UZ17 | Long             | DBT              | CORP              | US        |    810000 | PA      | $792613.35    | 0.06%             | 2025-03-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Principal Financial Group Inc                                                    | PRINCIPAL FINANCIAL GROUP INC                                                    | CUSIP: 74251VAK8<br>LEI: CUMYEZJOAF02RYZ1JJ85 | Long             | DBT              | CORP              | US        |   1215000 | PA      | $1177152.75   | 0.10%             | 2025-05-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Principal Financial Group Inc                                                    | PRINCIPAL FINANCIAL GROUP INC                                                    | CUSIP: 74251VAR3<br>LEI: CUMYEZJOAF02RYZ1JJ85 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9476.15      | 0.00%             | 2029-05-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Principal Financial Group Inc                                                    | PRINCIPAL FINANCIAL GROUP INC                                                    | CUSIP: 74251VAS1<br>LEI: CUMYEZJOAF02RYZ1JJ85 | Long             | DBT              | CORP              | US        |   1900000 | PA      | $1596370.50   | 0.13%             | 2030-06-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Prologis LP                                                                      | PROLOGIS LP                                                                      | CUSIP: 74340XBX8<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |   2110000 | PA      | $2064824.90   | 0.17%             | 2028-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Protective Life Global Funding                                                   | PROTECTIVE LIFE GLOBAL FUNDING                                                   | CUSIP: 74368CAX2<br>LEI: 635400EVYITCJYWL2I50 | Long             | DBT              | CORP              | US        |   2345000 | PA      | $2128392.35   | 0.17%             | 2025-07-15      | Fixed         | 1.17%                 | No            |                  2 | On Loan: No      |
| Provident Funding Mortgage Trust 2019-1                                          | PROVIDENT FUNDING MORTGAGE TRUST 2019-1                                          | CUSIP: 74387LAW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2211764 | PA      | $1844280.87   | 0.15%             | 2049-12-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| Public Finance Authority                                                         | PUBLIC FINANCE AUTHORITY                                                         | CUSIP: 74442PVD4<br>LEI: 5493004S6D3NA627K012 | Long             | DBT              | MUN               | US        |   2520000 | PA      | $1871482.54   | 0.15%             | 2051-07-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Public Service Electric and Gas Co                                               | PUBLIC SERVICE ELECTRIC AND GAS CO                                               | CUSIP: 74456QAQ9<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |    180000 | PA      | $188416.62    | 0.02%             | 2036-12-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Public Storage                                                                   | PUBLIC STORAGE                                                                   | CUSIP: 74460DAH2<br>LEI: 549300LMZF40TKJ6DM64 | Long             | DBT              | CORP              | US        |   1285000 | PA      | $1126297.36   | 0.09%             | 2028-11-09      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| QVC Inc                                                                          | QVC INC                                                                          | CUSIP: 747262AS2<br>LEI: 549300WBLU5NKPX5X472 | Long             | DBT              | CORP              | US        |    840000 | PA      | $802200.00    | 0.07%             | 2024-04-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| QVC Inc                                                                          | QVC INC                                                                          | CUSIP: 747262AU7<br>LEI: 549300WBLU5NKPX5X472 | Long             | DBT              | CORP              | US        |     75000 | PA      | $64125.00     | 0.01%             | 2025-02-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Qatar Government International Bond                                              | QATAR GOVERNMENT INTERNATIONAL BOND                                              | CUSIP: 74727PBD2<br>LEI: 52990074F6OJOAXK4P65 | Long             | DBT              | NUSS              | QA        |    730000 | PA      | $717047.61    | 0.06%             | 2030-04-16      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| QUALCOMM Inc                                                                     | QUALCOMM INC                                                                     | CUSIP: 747525AU7<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |   1004000 | PA      | $967893.15    | 0.08%             | 2027-05-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Province of Quebec Canada                                                        | PROVINCE OF QUEBEC CANADA                                                        | CUSIP: 748148QR7<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |    104000 | PA      | $124488.00    | 0.01%             | 2029-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Province of Quebec Canada                                                        | PROVINCE OF QUEBEC CANADA                                                        | CUSIP: 748149AH4<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |     35000 | PA      | $34052.24     | 0.00%             | 2024-10-16      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| RELX Capital Inc                                                                 | RELX CAPITAL INC                                                                 | CUSIP: 74949LAB8<br>LEI: 2R15C3RTKJN1RCBOV146 | Long             | DBT              | CORP              | US        |    535000 | PA      | $534393.85    | 0.04%             | 2023-03-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RELX Capital Inc                                                                 | RELX CAPITAL INC                                                                 | CUSIP: 74949LAD4<br>LEI: 2R15C3RTKJN1RCBOV146 | Long             | DBT              | CORP              | US        |   1120000 | PA      | $994422.24    | 0.08%             | 2030-05-22      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Raytheon Technologies Corp                                                       | RAYTHEON TECHNOLOGIES CORP                                                       | CUSIP: 75513EBY6<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    200000 | PA      | $223678.60    | 0.02%             | 2027-08-15      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| Realty Income Corp                                                               | REALTY INCOME CORP                                                               | CUSIP: 756109BE3<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |   1775000 | PA      | $1765423.88   | 0.14%             | 2025-11-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Realty Income Corp                                                               | REALTY INCOME CORP                                                               | CUSIP: 756109BG8<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    835000 | PA      | $810120.34    | 0.07%             | 2027-08-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Realty Income Corp                                                               | REALTY INCOME CORP                                                               | CUSIP: 756109BJ2<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    685000 | PA      | $602871.93    | 0.05%             | 2028-06-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Regency Centers LP                                                               | REGENCY CENTERS LP                                                               | CUSIP: 75884RAV5<br>LEI: 5493008PTR2GAOYBXW28 | Long             | DBT              | CORP              | US        |    350000 | PA      | $334686.10    | 0.03%             | 2027-02-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Regency Centers LP                                                               | REGENCY CENTERS LP                                                               | CUSIP: 75884RAX1<br>LEI: 5493008PTR2GAOYBXW28 | Long             | DBT              | CORP              | US        |    520000 | PA      | $495435.72    | 0.04%             | 2028-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Republic Services Inc                                                            | REPUBLIC SERVICES INC                                                            | CUSIP: 760759AS9<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | DBT              | CORP              | US        |    585000 | PA      | $557399.12    | 0.05%             | 2027-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Republic Services Inc                                                            | REPUBLIC SERVICES INC                                                            | CUSIP: 760759AU4<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19287.68     | 0.00%             | 2024-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| T Rowe Price Government Reserve Investment Fund                                  | T ROWE PRICE GOVERNMENT RESERVE INVESTMENT FUND                                  | CUSIP: 76105Y109<br>LEI: 5493007QR86JJLYO6D96 | Long             | STIV             | RF                | US        |  22304009 | NS      | $22304008.76  | 1.82%             |  |  |  | No            |                  1 | On Loan: No      |
| T Rowe Price Government Reserve Investment Fund                                  | T ROWE PRICE GOVERNMENT RESERVE INVESTMENT FUND - Collateral                     | CUSIP: 76105YYY8<br>LEI: 5493007QR86JJLYO6D96 | Long             | STIV             | RF                | US        |   6570426 | NS      | $6570426.00   | 0.54%             |  |  |  | No            |                  1 | On Loan: No      |
| Rogers Communications Inc                                                        | ROGERS COMMUNICATIONS INC                                                        | CUSIP: 775109BE0<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |    335000 | PA      | $322775.18    | 0.03%             | 2025-12-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Roper Technologies Inc                                                           | ROPER TECHNOLOGIES INC                                                           | CUSIP: 776743AD8<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |    660000 | PA      | $638729.52    | 0.05%             | 2026-12-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Roper Technologies Inc                                                           | ROPER TECHNOLOGIES INC                                                           | CUSIP: 776743AG1<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |    685000 | PA      | $613567.52    | 0.05%             | 2029-09-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Roper Technologies Inc                                                           | ROPER TECHNOLOGIES INC                                                           | CUSIP: 776743AJ5<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |    575000 | PA      | $477457.58    | 0.04%             | 2030-06-30      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ross Stores Inc                                                                  | ROSS STORES INC                                                                  | CUSIP: 778296AB9<br>LEI: 549300ENZFLPGRDFZQ60 | Long             | DBT              | CORP              | US        |   3575000 | PA      | $3562212.23   | 0.29%             | 2025-04-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Ross Stores Inc                                                                  | ROSS STORES INC                                                                  | CUSIP: 778296AG8<br>LEI: 549300ENZFLPGRDFZQ60 | Long             | DBT              | CORP              | US        |    300000 | PA      | $243978.30    | 0.02%             | 2031-04-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| NatWest Group PLC                                                                | NATWEST GROUP PLC                                                                | CUSIP: 780097BJ9<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   2050000 | PA      | $2039137.05   | 0.17%             | 2024-06-25      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| SBA Tower Trust                                                                  | SBA TOWER TRUST                                                                  | CUSIP: 78403DAN0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1005000 | PA      | $949518.65    | 0.08%             | 2025-01-15      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| SG Residential Mortgage Trust 2019-3                                             | SG RESIDENTIAL MORTGAGE TRUST 2019-3                                             | CUSIP: 78432BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34949 | PA      | $33638.13     | 0.00%             | 2059-09-25      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| SFO Commercial Mortgage Trust 2021-555                                           | SFO COMMERCIAL MORTGAGE TRUST 2021-555                                           | CUSIP: 78432WAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1695000 | PA      | $1504253.01   | 0.12%             | 2038-05-15      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| SMBC Aviation Capital Finance DAC                                                | SMBC AVIATION CAPITAL FINANCE DAC                                                | CUSIP: 78448TAD4<br>LEI: 549300OD7VKRVNWB2J98 | Long             | DBT              | CORP              | IE        |    329000 | PA      | $326513.75    | 0.03%             | 2023-07-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| SMBC Aviation Capital Finance DAC                                                | SMBC AVIATION CAPITAL FINANCE DAC                                                | CUSIP: 78448TAE2<br>LEI: 549300OD7VKRVNWB2J98 | Long             | DBT              | CORP              | IE        |    525000 | PA      | $510135.15    | 0.04%             | 2024-04-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust 2021-A                                          | SMB PRIVATE EDUCATION LOAN TRUST 2021-A                                          | CUSIP: 78448YAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2548195 | PA      | $2234876.72   | 0.18%             | 2053-01-15      | Fixed         | 1.07%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust 2018-B                                          | SMB PRIVATE EDUCATION LOAN TRUST 2018-B                                          | CUSIP: 78449LAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    528734 | PA      | $508823.45    | 0.04%             | 2037-01-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust 2020-A                                          | SMB PRIVATE EDUCATION LOAN TRUST 2020-A                                          | CUSIP: 78449UAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    511678 | PA      | $475944.34    | 0.04%             | 2037-09-15      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                                 | SMB PRIVATE EDUCATION LOAN TRUST                                                 | CUSIP: 78449XAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1359739 | PA      | $1226790.79   | 0.10%             | 2053-07-15      | Fixed         | 1.29%                 | No            |                  2 | On Loan: No      |
| Sabine Pass Liquefaction LLC                                                     | SABINE PASS LIQUEFACTION LLC                                                     | CUSIP: 785592AU0<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |    815000 | PA      | $788512.50    | 0.06%             | 2028-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Sabine Pass Liquefaction LLC                                                     | SABINE PASS LIQUEFACTION LLC                                                     | CUSIP: 785592AX4<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |    655000 | PA      | $634531.25    | 0.05%             | 2030-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| San Diego County Water Authority                                                 | SAN DIEGO COUNTY WATER AUTHORITY                                                 | CUSIP: 79741TAR5<br>LEI: 549300Y0QN5OFKA1G520 | Long             | DBT              | MUN               | US        |    275000 | PA      | $326471.92    | 0.03%             | 2049-05-01      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| San Diego Gas & Electric Co                                                      | SAN DIEGO GAS & ELECTRIC CO                                                      | CUSIP: 797440BJ2<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |    170000 | PA      | $182339.45    | 0.01%             | 2037-09-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| San Diego Gas & Electric Co                                                      | SAN DIEGO GAS & ELECTRIC CO                                                      | CUSIP: 797440BX1<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |   1790000 | PA      | $1565863.36   | 0.13%             | 2049-06-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| San Jose Redevelopment Agency Successor Agency                                   | SAN JOSE REDEVELOPMENT AGENCY SUCCESSOR AGENCY                                   | CUSIP: 798170AN6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    610000 | PA      | $551849.19    | 0.04%             | 2034-08-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust 2018-CH2                                                  | SEQUOIA MORTGAGE TRUST 2018-CH2                                                  | CUSIP: 81747EAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    124642 | PA      | $117068.98    | 0.01%             | 2048-06-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| ServiceNow Inc                                                                   | SERVICENOW INC                                                                   | CUSIP: 81762PAE2<br>LEI: 549300HJTQM36M0E1G39 | Long             | DBT              | CORP              | US        |   3710000 | PA      | $2930158.00   | 0.24%             | 2030-09-01      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| Shire Acquisitions Investments Ireland DAC                                       | SHIRE ACQUISITIONS INVESTMENTS IRELAND DAC                                       | CUSIP: 82481LAC3<br>LEI: 549300XK5HGW68R8K327 | Long             | DBT              | CORP              | IE        |    659000 | PA      | $649399.03    | 0.05%             | 2023-09-23      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare 2018-2 Receivables Funding LLC                                  | SIERRA TIMESHARE 2018-2 RECEIVABLES FUNDING LLC                                  | CUSIP: 82653DAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12447 | PA      | $12218.09     | 0.00%             | 2035-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Simon Property Group LP                                                          | SIMON PROPERTY GROUP LP                                                          | CUSIP: 828807DJ3<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              | CORP              | US        |   2830000 | PA      | $2271677.79   | 0.19%             | 2050-07-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| South Carolina Public Service Authority                                          | SOUTH CAROLINA PUBLIC SERVICE AUTHORITY                                          | CUSIP: 837151WM7<br>LEI: EMBXY64GWKA9MZGFUD26 | Long             | DBT              | MUN               | US        |    645000 | PA      | $631163.40    | 0.05%             | 2023-12-01      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| Southern California Gas Co                                                       | SOUTHERN CALIFORNIA GAS CO                                                       | CUSIP: 842434CG5<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |    140000 | PA      | $147244.30    | 0.01%             | 2035-11-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Southern Co/The                                                                  | SOUTHERN CO/THE                                                                  | CUSIP: 842587CX3<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |   1935000 | PA      | $1734601.73   | 0.14%             | 2046-07-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Spectra Energy Partners LP                                                       | SPECTRA ENERGY PARTNERS LP                                                       | CUSIP: 84756NAD1<br>LEI: 2HKVXE7U4NF5B6UGSU72 | Long             | DBT              | CORP              | US        |     25000 | PA      | $24852.55     | 0.00%             | 2024-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Spectra Energy Partners LP                                                       | SPECTRA ENERGY PARTNERS LP                                                       | CUSIP: 84756NAH2<br>LEI: 2HKVXE7U4NF5B6UGSU72 | Long             | DBT              | CORP              | US        |    460000 | PA      | $437494.50    | 0.04%             | 2026-10-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Stanford Health Care                                                             | STANFORD HEALTH CARE                                                             | CUSIP: 85434VAA6<br>LEI: 5493005311WCPXQGDG42 | Long             | DBT              | CORP              | US        |    440000 | PA      | $376864.40    | 0.03%             | 2048-11-15      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust 2019-INV1                                    | STARWOOD MORTGAGE RESIDENTIAL TRUST 2019-INV1                                    | CUSIP: 85572JAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    607354 | PA      | $576352.70    | 0.05%             | 2049-09-27      | Variable      | 2.92%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust 2020-INV                                     | STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-INV                                     | CUSIP: 85573EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    504549 | PA      | $446795.59    | 0.04%             | 2055-11-25      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| State Grid Overseas Investment BVI Ltd                                           | STATE GRID OVERSEAS INVESTMENT BVI LTD                                           | CUSIP: 857006AL4<br>LEI: 3003006V8BHG5158QO96 | Long             | DBT              | CORP              | VG        |   1155000 | PA      | $1151640.28   | 0.09%             | 2023-05-02      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| State Street Corp                                                                | STATE STREET CORP                                                                | CUSIP: 857477AL7<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    265000 | PA      | $263629.16    | 0.02%             | 2023-05-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| State Street Corp                                                                | STATE STREET CORP                                                                | CUSIP: 857477BZ5<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    640000 | PA      | $642455.04    | 0.05%             | 2026-01-26      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| TJX Cos Inc/The                                                                  | TJX COS INC/THE                                                                  | CUSIP: 872540AW9<br>LEI: V167QI9I69W364E2DY52 | Long             | DBT              | CORP              | US        |   1425000 | PA      | $1156468.73   | 0.09%             | 2031-05-15      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA Inc                                                                 | T-MOBILE USA INC                                                                 | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   3565000 | PA      | $3433390.90   | 0.28%             | 2027-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Takeda Pharmaceutical Co Ltd                                                     | TAKEDA PHARMACEUTICAL CO LTD                                                     | CUSIP: 874060AX4<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |   2310000 | PA      | $1950319.14   | 0.16%             | 2030-03-31      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Tampa Electric Co                                                                | TAMPA ELECTRIC CO                                                                | CUSIP: 875127AW2<br>LEI: WS423EPRKJIIJUITXD73 | Long             | DBT              | CORP              | US        |    700000 | PA      | $749554.40    | 0.06%             | 2037-05-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Teachers Insurance & Annuity Association of America                              | TEACHERS INSURANCE & ANNUITY ASSOCIATION OF AMERICA                              | CUSIP: 878091BF3<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1261656.20   | 0.10%             | 2047-05-15      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| Texas Instruments Inc                                                            | TEXAS INSTRUMENTS INC                                                            | CUSIP: 882508BH6<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |    655000 | PA      | $615351.54    | 0.05%             | 2025-03-12      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Texas Private Activity Bond Surface Transportation Corp                          | TEXAS PRIVATE ACTIVITY BOND SURFACE TRANSPORTATION CORP                          | CUSIP: 882667AZ1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2400000 | PA      | $1951064.40   | 0.16%             | 2049-12-31      | Fixed         | 3.92%                 | No            |                  2 | On Loan: No      |
| Central Texas Turnpike System                                                    | CENTRAL TEXAS TURNPIKE SYSTEM                                                    | CUSIP: 88283KBL1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     40000 | PA      | $30150.18     | 0.00%             | 2041-08-15      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| Thomson Reuters Corp                                                             | THOMSON REUTERS CORP                                                             | CUSIP: 884903BV6<br>LEI: 549300561UZND4C7B569 | Long             | DBT              | CORP              | CA        |    225000 | PA      | $216308.70    | 0.02%             | 2026-05-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                                            | TIME WARNER CABLE LLC                                                            | CUSIP: 88732JAJ7<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    235000 | PA      | $239114.38    | 0.02%             | 2037-05-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                                            | TIME WARNER CABLE LLC                                                            | CUSIP: 88732JAU2<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    275000 | PA      | $282203.63    | 0.02%             | 2039-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank/The                                                        | TORONTO-DOMINION BANK/THE                                                        | CUSIP: 89114QCH9<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   1725000 | PA      | $1586561.85   | 0.13%             | 2025-06-12      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| TotalEnergies Capital International SA                                           | TOTALENERGIES CAPITAL INTERNATIONAL SA                                           | CUSIP: 89153VAS8<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |     40000 | PA      | $38473.88     | 0.00%             | 2025-01-10      | Fixed         | 2.43%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust 2017-1                                                 | TOWD POINT MORTGAGE TRUST 2017-1                                                 | CUSIP: 89173FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40246 | PA      | $39646.10     | 0.00%             | 2056-10-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust 2017-6                                                 | TOWD POINT MORTGAGE TRUST 2017-6                                                 | CUSIP: 89175JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    195644 | PA      | $186900.17    | 0.02%             | 2057-10-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust 2018-1                                                 | TOWD POINT MORTGAGE TRUST 2018-1                                                 | CUSIP: 89176EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     96056 | PA      | $92968.18     | 0.01%             | 2058-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Transcontinental Gas Pipe Line Co LLC                                            | TRANSCONTINENTAL GAS PIPE LINE CO LLC                                            | CUSIP: 893574AM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    790000 | PA      | $713329.71    | 0.06%             | 2048-03-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Transurban Finance Co Pty Ltd                                                    | TRANSURBAN FINANCE CO PTY LTD                                                    | CUSIP: 89400PAE3<br>LEI: 54930081LPJMUMEA6E57 | Long             | DBT              | CORP              | AU        |    185000 | PA      | $178711.30    | 0.01%             | 2026-02-02      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Transurban Finance Co Pty Ltd                                                    | TRANSURBAN FINANCE CO PTY LTD                                                    | CUSIP: 89400PAG8<br>LEI: 54930081LPJMUMEA6E57 | Long             | DBT              | CORP              | AU        |    235000 | PA      | $218843.75    | 0.02%             | 2027-03-22      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Transurban Finance Co Pty Ltd                                                    | TRANSURBAN FINANCE CO PTY LTD                                                    | CUSIP: 89400PAK9<br>LEI: 54930081LPJMUMEA6E57 | Long             | DBT              | CORP              | AU        |   1820000 | PA      | $1473781.40   | 0.12%             | 2031-03-16      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Travelers Cos Inc/The                                                            | TRAVELERS COS INC/THE                                                            | CUSIP: 89417EAD1<br>LEI: 549300Y650407RU8B149 | Long             | DBT              | CORP              | US        |    225000 | PA      | $256224.60    | 0.02%             | 2037-06-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp                                                            | TRUIST FINANCIAL CORP                                                            | CUSIP: 89788MAB8<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   1470000 | PA      | $1224924.54   | 0.10%             | 2030-06-05      | Fixed         | 1.95%                 | No            |                  2 | On Loan: —       |
| UBS Group AG                                                                     | UBS GROUP AG                                                                     | CUSIP: 902613AC2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1700000 | PA      | $1519805.10   | 0.12%             | 2027-01-30      | Variable      | 1.36%                 | No            |                  2 | On Loan: No      |
| United Airlines 2018-1 Class A Pass Through Trust                                | UNITED AIRLINES 2018-1 CLASS A PASS THROUGH TRUST                                | CUSIP: 90931VAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    999255 | PA      | $858238.39    | 0.07%             | 2030-03-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| United Airlines 2016-2 Class A Pass Through Trust                                | UNITED AIRLINES 2016-2 CLASS A PASS THROUGH TRUST                                | CUSIP: 90932DAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    673157 | PA      | $564653.16    | 0.05%             | 2028-10-07      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bond                                             | MEXICO GOVERNMENT INTERNATIONAL BOND                                             | CUSIP: 91087BAM2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   5154000 | PA      | $4333046.55   | 0.35%             | 2031-05-24      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 912810QK7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2005000 | PA      | $2063270.31   | 0.17%             | 2040-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 912810QN1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     35000 | PA      | $40162.50     | 0.00%             | 2041-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 912810QQ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     20000 | PA      | $21906.25     | 0.00%             | 2041-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 912810QT8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8085000 | PA      | $7405354.69   | 0.60%             | 2041-11-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2390000 | PA      | $2336971.88   | 0.19%             | 2043-08-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 912810RJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    615000 | PA      | $542160.94    | 0.04%             | 2044-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3570000 | PA      | $2876639.06   | 0.23%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 912810RM2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4175000 | PA      | $3672695.31   | 0.30%             | 2045-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 912810RP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6845000 | PA      | $6016113.28   | 0.49%             | 2045-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 912810RS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4840000 | PA      | $3885612.50   | 0.32%             | 2046-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 912810RV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3450000 | PA      | $3034382.81   | 0.25%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 912810RX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3150000 | PA      | $2770031.25   | 0.23%             | 2047-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 912810RY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1710000 | PA      | $1435865.63   | 0.12%             | 2047-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15835000 | PA      | $13944696.88  | 1.14%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     60000 | PA      | $52875.00     | 0.00%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     50000 | PA      | $37875.00     | 0.00%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30320000 | PA      | $21650375.00  | 1.76%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2740000 | PA      | $1887175.00   | 0.15%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1420000 | PA      | $1099390.63   | 0.09%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5550000 | PA      | $3933562.50   | 0.32%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1900000 | PA      | $1382250.00   | 0.11%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7275000 | PA      | $5464207.03   | 0.45%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4200000 | PA      | $3714375.00   | 0.30%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12750000 | PA      | $12048750.00  | 0.98%             | 2042-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4640000 | PA      | $4961900.00   | 0.40%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4035000 | PA      | $4169920.31   | 0.34%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 9128282R0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9805000 | PA      | $9235084.38   | 0.75%             | 2027-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 912828YV6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14600000 | PA      | $13890531.25  | 1.13%             | 2024-11-30      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 912828ZL7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6395000 | PA      | $5890394.53   | 0.48%             | 2025-04-30      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 912828ZT0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15105000 | PA      | $13839956.25  | 1.13%             | 2025-05-31      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 91282CAH4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     50000 | PA      | $43421.88     | 0.00%             | 2027-08-31      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 91282CBT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16685000 | PA      | $15178135.94  | 1.24%             | 2026-03-31      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 91282CCJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  27760000 | PA      | $25192200.00  | 2.05%             | 2026-06-30      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 91282CCS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  22220000 | PA      | $18637025.00  | 1.52%             | 2031-08-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 91282CDY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11370000 | PA      | $9977175.00   | 0.81%             | 2032-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 91282CEC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  19235000 | PA      | $17906582.81  | 1.46%             | 2027-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 91282CEK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  58220000 | PA      | $56691725.00  | 4.62%             | 2024-04-30      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 91282CFB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17245000 | PA      | $16598312.50  | 1.35%             | 2027-07-31      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17000000 | PA      | $15995937.50  | 1.30%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 91282CFM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8700000 | PA      | $8875359.38   | 0.72%             | 2027-09-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  31035000 | PA      | $31675096.88  | 2.58%             | 2027-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                                                 | UNITED STATES TREASURY NOTE/BOND                                                 | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5635000 | PA      | $5929076.56   | 0.48%             | 2032-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc                                                           | UNITEDHEALTH GROUP INC                                                           | CUSIP: 91324PCP5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    400000 | PA      | $394088.40    | 0.03%             | 2025-07-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc                                                           | UNITEDHEALTH GROUP INC                                                           | CUSIP: 91324PCR1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    900000 | PA      | $903334.50    | 0.07%             | 2045-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc                                                           | UNITEDHEALTH GROUP INC                                                           | CUSIP: 91324PDT6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   1960000 | PA      | $1703896.60   | 0.14%             | 2039-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc                                                           | UNITEDHEALTH GROUP INC                                                           | CUSIP: 91324PDX7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     10000 | PA      | $8537.72      | 0.00%             | 2030-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Regents of the University of California Medical Center Pooled Revenue            | REGENTS OF THE UNIVERSITY OF CALIFORNIA MEDICAL CENTER POOLED REVENUE            | CUSIP: 913366KC3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    700000 | PA      | $510394.22    | 0.04%             | 2060-05-15      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| University of California                                                         | UNIVERSITY OF CALIFORNIA                                                         | CUSIP: 91412F7Y7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    470000 | PA      | $527122.95    | 0.04%             | 2043-05-15      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| University of California                                                         | UNIVERSITY OF CALIFORNIA                                                         | CUSIP: 91412GTG0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     20000 | PA      | $20172.25     | 0.00%             | 2031-05-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Utah Transit Authority                                                           | UTAH TRANSIT AUTHORITY                                                           | CUSIP: 917565LB7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     15000 | PA      | $17131.86     | 0.00%             | 2039-06-15      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| Utah Transit Authority                                                           | UTAH TRANSIT AUTHORITY                                                           | CUSIP: 917567EX3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1755000 | PA      | $1446994.69   | 0.12%             | 2042-12-15      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc                                                       | VERIZON COMMUNICATIONS INC                                                       | CUSIP: 92343VCV4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    745000 | PA      | $697767.00    | 0.06%             | 2036-01-15      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc                                                       | VERIZON COMMUNICATIONS INC                                                       | CUSIP: 92343VFD1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1254097.50   | 0.10%             | 2050-03-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc                                                       | VERIZON COMMUNICATIONS INC                                                       | CUSIP: 92343VFT6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   3200000 | PA      | $2308492.80   | 0.19%             | 2040-11-20      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc                                                       | VERIZON COMMUNICATIONS INC                                                       | CUSIP: 92343VFX7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    625000 | PA      | $502915.00    | 0.04%             | 2030-10-30      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2020-1                                                | VERUS SECURITIZATION TRUST 2020-1                                                | CUSIP: 92536PAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1681541 | PA      | $1590746.76   | 0.13%             | 2060-01-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2019-4                                                | VERUS SECURITIZATION TRUST 2019-4                                                | CUSIP: 92537KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    288480 | PA      | $275293.10    | 0.02%             | 2059-11-25      | Variable      | 2.64%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2019-INV3                                             | VERUS SECURITIZATION TRUST 2019-INV3                                             | CUSIP: 92537MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    599442 | PA      | $572402.68    | 0.05%             | 2059-11-25      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2021-1                                                | VERUS SECURITIZATION TRUST 2021-1                                                | CUSIP: 92537QAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    670151 | PA      | $569958.50    | 0.05%             | 2066-01-25      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2021-7                                                | VERUS SECURITIZATION TRUST 2021-7                                                | CUSIP: 92538QAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3205636 | PA      | $2778725.81   | 0.23%             | 2066-10-25      | Variable      | 1.83%                 | No            |                  2 | On Loan: No      |
| Virginia Commonwealth Transportation Board                                       | VIRGINIA COMMONWEALTH TRANSPORTATION BOARD                                       | CUSIP: 927793TC3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    505000 | PA      | $526695.10    | 0.04%             | 2035-05-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Virginia Public Building Authority                                               | VIRGINIA PUBLIC BUILDING AUTHORITY                                               | CUSIP: 928172WG6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    540000 | PA      | $581717.21    | 0.05%             | 2030-08-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co LLC                                                         | VISTRA OPERATIONS CO LLC                                                         | CUSIP: 92840VAD4<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |   1285000 | PA      | $1240153.50   | 0.10%             | 2024-07-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| VMware Inc                                                                       | VMWARE INC                                                                       | CUSIP: 928563AJ4<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |   3475000 | PA      | $3078808.30   | 0.25%             | 2026-08-15      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| Vodafone Group PLC                                                               | VODAFONE GROUP PLC                                                               | CUSIP: 92857WBS8<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |     20000 | PA      | $17998.98     | 0.00%             | 2049-06-19      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Vodafone Group PLC                                                               | VODAFONE GROUP PLC                                                               | CUSIP: 92857WBU3<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |    700000 | PA      | $580922.30    | 0.05%             | 2050-09-17      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Vulcan Materials Co                                                              | VULCAN MATERIALS CO                                                              | CUSIP: 929160AV1<br>LEI: 549300Q8LSNHAVWBNI21 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4469.90      | 0.00%             | 2047-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WPP Finance 2010                                                                 | WPP FINANCE 2010                                                                 | CUSIP: 92936MAF4<br>LEI: 549300OJB3S151W7KN44 | Long             | DBT              | CORP              | GB        |   1350000 | PA      | $1317772.80   | 0.11%             | 2024-09-19      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust 2014-C19                                         | WFRBS COMMERCIAL MORTGAGE TRUST 2014-C19                                         | CUSIP: 92938VAT2<br>LEI: 549300FCX3YXSYSLU895 | Long             | ABS-MBS          | CORP              | US        |     25000 | PA      | $24073.76     | 0.00%             | 2047-03-15      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust 2014-C23                                         | WFRBS COMMERCIAL MORTGAGE TRUST 2014-C23                                         | CUSIP: 92939HAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1360000 | PA      | $1324894.73   | 0.11%             | 2057-10-15      | Fixed         | 3.92%                 | No            |                  2 | On Loan: No      |
| Weibo Corp                                                                       | WEIBO CORP                                                                       | CUSIP: 948596AD3<br>LEI: 549300Q9ID4640FE0422 | Long             | DBT              | CORP              | KY        |   1275000 | PA      | $1234403.97   | 0.10%             | 2024-07-05      | Fixed         | 3.50%                 | No            |                  2 | On Loan: —       |
| Elevance Health Inc                                                              | ELEVANCE HEALTH INC                                                              | CUSIP: 94973VBB2<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    485000 | PA      | $463930.63    | 0.04%             | 2043-01-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co                                                                 | WELLS FARGO & CO                                                                 | CUSIP: 95000U2N2<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1655000 | PA      | $1557573.46   | 0.13%             | 2026-04-30      | Variable      | 2.19%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co                                                                 | WELLS FARGO & CO                                                                 | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   2415000 | PA      | $2187900.65   | 0.18%             | 2028-06-02      | Variable      | 2.39%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2020-C55                                   | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2020-C55                                   | CUSIP: 95002EBB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2455000 | PA      | $2152770.60   | 0.18%             | 2053-02-15      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities 2021-RR1 Trust                            | WELLS FARGO MORTGAGE BACKED SECURITIES 2021-RR1 TRUST                            | CUSIP: 95003JAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1406952 | PA      | $1174530.61   | 0.10%             | 2050-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| West Virginia United Health System Obligated Group                               | WEST VIRGINIA UNITED HEALTH SYSTEM OBLIGATED GROUP                               | CUSIP: 956708AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1620000 | PA      | $1476610.56   | 0.12%             | 2048-06-01      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| Western Minnesota Municipal Power Agency                                         | WESTERN MINNESOTA MUNICIPAL POWER AGENCY                                         | CUSIP: 958697LB8<br>LEI: 549300LFJK9CQSN2NJ11 | Long             | DBT              | MUN               | US        |   2350000 | PA      | $2023741.28   | 0.16%             | 2039-01-01      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| Western Union Co/The                                                             | WESTERN UNION CO/THE                                                             | CUSIP: 959802AH2<br>LEI: 28ID94QU1140NC23S047 | Long             | DBT              | CORP              | US        |   2684000 | PA      | $2754455.00   | 0.22%             | 2036-11-17      | Fixed         | 6.20%                 | No            |                  2 | On Loan: —       |
| Western Union Co/The                                                             | WESTERN UNION CO/THE                                                             | CUSIP: 959802AY5<br>LEI: 28ID94QU1140NC23S047 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4796.16      | 0.00%             | 2025-01-10      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust 2014-LC14                                        | WFRBS COMMERCIAL MORTGAGE TRUST 2014-LC14                                        | CUSIP: 96221TAE7<br>LEI: 549300QGM7D5K3CV2643 | Long             | ABS-MBS          | CORP              | US        |   2045000 | PA      | $2009936.84   | 0.16%             | 2047-03-15      | Fixed         | 4.04%                 | No            |                  2 | On Loan: No      |
| Williams Cos Inc/The                                                             | WILLIAMS COS INC/THE                                                             | CUSIP: 96949LAE5<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    190000 | PA      | $173204.57    | 0.01%             | 2048-03-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Willis North America Inc                                                         | WILLIS NORTH AMERICA INC                                                         | CUSIP: 970648AG6<br>LEI: 5493004KVU1HWZCP0C66 | Long             | DBT              | CORP              | US        |   1110000 | PA      | $1080723.75   | 0.09%             | 2028-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| State of Wisconsin                                                               | STATE OF WISCONSIN                                                               | CUSIP: 977100EL6<br>LEI: 549300VTAT608CNZ5827 | Long             | DBT              | MUN               | US        |   1700000 | PA      | $1597196.58   | 0.13%             | 2036-05-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Woodside Finance Ltd                                                             | WOODSIDE FINANCE LTD                                                             | CUSIP: 980236AN3<br>LEI: 254900AIZKU6TGRRNZ98 | Long             | DBT              | CORP              | AU        |    330000 | PA      | $314737.50    | 0.03%             | 2026-09-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Woodside Finance Ltd                                                             | WOODSIDE FINANCE LTD                                                             | CUSIP: 980236AP8<br>LEI: 254900AIZKU6TGRRNZ98 | Long             | DBT              | CORP              | AU        |    435000 | PA      | $404006.25    | 0.03%             | 2028-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Woodside Finance Ltd                                                             | WOODSIDE FINANCE LTD                                                             | CUSIP: 980236AQ6<br>LEI: 254900AIZKU6TGRRNZ98 | Long             | DBT              | CORP              | AU        |   1435000 | PA      | $1386405.16   | 0.11%             | 2029-03-04      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| World Omni Select Auto Trust 2019-A                                              | WORLD OMNI SELECT AUTO TRUST 2019-A                                              | CUSIP: 98163BAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5237 | PA      | $5213.52      | 0.00%             | 2025-12-15      | Fixed         | 2.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 5YR NOTE (CBT) MAR23                                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |       582 | NC      | $767599.80    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                              | US 2YR NOTE (CBT) MAR23                                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |        43 | NC      | $35958.78     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                              | US 10YR NOTE (CBT)MAR23                                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |        49 | NC      | $93336.67     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-31

**Name of Applicant:** T. ROWE PRICE QM U.S. BOND INDEX FUND, INC.

**Signature:** /s/ Alan Dupski

**Name of Signer:** Alan Dupski

**Title:** Treasurer & Vice President