# EDGAR Filing Document

**Accession Number:** 0001141819
**File Stem:** 0001145549-23-002522
**Filing Date:** 2023-1
**Character Count:** 504652
**Document Hash:** fd866a513ced5a716e8dac8efa1f410f
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-23-002522.hdr.sgml**: 20230124

**ACCESSION NUMBER**: 0001145549-23-002522

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230124

**DATE AS OF CHANGE**: 20230124

**PERIOD START**: 20230831

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** TRUST FOR PROFESSIONAL MANAGERS
- **CENTRAL INDEX KEY:** 0001141819
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-10401
- **FILM NUMBER:** 23548113

**BUSINESS ADDRESS:**
- **STREET 1:** U.S. BANCORP FUND SERVICES LLC
- **STREET 2:** 615 EAST MICHIGAN ST 2ND FLOOR
- **CITY:** MILWAUKEE
- **STATE:** WI
- **ZIP:** 53202
- **BUSINESS PHONE:** 4147655067

**MAIL ADDRESS:**
- **STREET 1:** U.S. BANCORP FUND SERVICES LLC
- **STREET 2:** 615 EAST MICHIGAN ST 2ND FLOOR
- **CITY:** MILWAUKEE
- **STATE:** WI
- **ZIP:** 53202

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** ZODIAC TRUST
- **DATE OF NAME CHANGE:** 20010601

## Series and Classes Contracts Data

### PMC Core Fixed Income Fund (Series ID: S000018035)

| Class ID   | Class Name                                            | Ticker Symbol   |
|:---|:---|:---|
| C000049957 | PMC Core Fixed Income Fund Advisor Class Shares       | PMFIX           |
| C000213407 | PMC Core Fixed Income Fund Institutional Class Shares | PMFQX           |

## Nport-Ex

---

| | | | |
|:---|:---|:---|:---|
| **PMC Core Fixed Income Fund** | **PMC Core Fixed Income Fund** | | |
| **Schedule of Investments** | **Schedule of Investments** | | |
| **November 30, 2022 (Unaudited)** | **November 30, 2022 (Unaudited)** | | |
|  |  | <br>**Principal**<br>**Amount** | <br>**Value** |
| **ASSET BACKED SECURITIES - 9.29%** | **ASSET BACKED SECURITIES - 9.29%** |  |  |
| 37 Capital CLO I | 37 Capital CLO I |  |  |
| &nbsp;&nbsp;&nbsp; 2021-1, 5.279% (3 Month LIBOR USD + 1.200%), 10/15/2034 (b)(c) | &nbsp;&nbsp;&nbsp; 2021-1, 5.279% (3 Month LIBOR USD + 1.200%), 10/15/2034 (b)(c) | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000000 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;966890 |
| AM Capital Funding LLC | AM Capital Funding LLC |  |  |
| &nbsp;&nbsp;&nbsp; 2018-1, 4.980%, 12/15/2023 (b) | &nbsp;&nbsp;&nbsp; 2018-1, 4.980%, 12/15/2023 (b) | 760000 | 748831 |
| Amur Equipment Finance Receivables XI LLC | Amur Equipment Finance Receivables XI LLC |  |  |
| &nbsp;&nbsp;&nbsp; 2022-2A, 5.300%, 06/21/2028 (b) | &nbsp;&nbsp;&nbsp; 2022-2A, 5.300%, 06/21/2028 (b) | 255000 | 252478 |
| Angel Oak Mortgage Trust | Angel Oak Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2021-3, 1.068%, 05/25/2066 (b)(d) | &nbsp;&nbsp;&nbsp; 2021-3, 1.068%, 05/25/2066 (b)(d) | 680938 | 532362 |
| Aqua Finance Trust 2021-A | Aqua Finance Trust 2021-A |  |  |
| &nbsp;&nbsp;&nbsp; 2021-A, 1.540%, 07/17/2046 (b) | &nbsp;&nbsp;&nbsp; 2021-A, 1.540%, 07/17/2046 (b) | 532949 | 485641 |
| Avis Budget Rental Car Funding AESOP LLC | Avis Budget Rental Car Funding AESOP LLC |  |  |
| &nbsp;&nbsp;&nbsp; 2020-2A B, 2.960%, 02/20/2027 (b) | &nbsp;&nbsp;&nbsp; 2020-2A B, 2.960%, 02/20/2027 (b) | 567000 | 508389 |
| &nbsp;&nbsp;&nbsp; 2021-2A A, 1.660%, 02/20/2028 (b) | &nbsp;&nbsp;&nbsp; 2021-2A A, 1.660%, 02/20/2028 (b) | 1592000 | 1367989 |
| &nbsp;&nbsp;&nbsp; 2021-2A B, 1.900%, 02/20/2028 (b) | &nbsp;&nbsp;&nbsp; 2021-2A B, 1.900%, 02/20/2028 (b) | 495000 | 417954 |
| Beacon Container Finance II LLC | Beacon Container Finance II LLC |  |  |
| &nbsp;&nbsp;&nbsp; 2021-1A, 2.250%, 10/22/2046 (b) | &nbsp;&nbsp;&nbsp; 2021-1A, 2.250%, 10/22/2046 (b) | 946950 | 800806 |
| BlueMountain CLO Ltd. | BlueMountain CLO Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 2013-2R, 5.505% (3 Month LIBOR USD + 1.180%), 10/22/2030 (b)(c) | &nbsp;&nbsp;&nbsp; 2013-2R, 5.505% (3 Month LIBOR USD + 1.180%), 10/22/2030 (b)(c) | 362743 | 356844 |
| Cedar Funding VI CLO Ltd. | Cedar Funding VI CLO Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 2016-6A, 5.293% (3 Month LIBOR USD + 1.050%), 04/20/2034 (b)(c) | &nbsp;&nbsp;&nbsp; 2016-6A, 5.293% (3 Month LIBOR USD + 1.050%), 04/20/2034 (b)(c) | 1480000 | 1427547 |
| Crown Castle Towers LLC | Crown Castle Towers LLC |  |  |
| &nbsp;&nbsp;&nbsp; 4.241%, 07/15/2048 (b) | &nbsp;&nbsp;&nbsp; 4.241%, 07/15/2048 (b) | 439000 | 399234 |
| Dryden 75 CLO Ltd. | Dryden 75 CLO Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 2019-75R2, 5.119% (3 Month LIBOR USD + 1.040%), 04/15/2034 (b)(c) | &nbsp;&nbsp;&nbsp; 2019-75R2, 5.119% (3 Month LIBOR USD + 1.040%), 04/15/2034 (b)(c) | 850000 | 819609 |
| Fort Washington CLO Ltd. | Fort Washington CLO Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 2021-2A, 5.463% (3 Month LIBOR USD + 1.220%), 10/20/2034 (b)(c) | &nbsp;&nbsp;&nbsp; 2021-2A, 5.463% (3 Month LIBOR USD + 1.220%), 10/20/2034 (b)(c) | 2000000 | 1939922 |
| GCAT Trust | GCAT Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2019-NQM3, 2.686%, 11/25/2059 (b)(d) | &nbsp;&nbsp;&nbsp; 2019-NQM3, 2.686%, 11/25/2059 (b)(d) | 117125 | 108891 |
| &nbsp;&nbsp;&nbsp; 2021-NQM5, 1.262%, 07/25/2066 (b)(d) | &nbsp;&nbsp;&nbsp; 2021-NQM5, 1.262%, 07/25/2066 (b)(d) | 897554 | 696347 |
| JPMorgan Chase Bank NA - CACLN | JPMorgan Chase Bank NA - CACLN |  |  |
| &nbsp;&nbsp;&nbsp; 2021-3, 0.760%, 02/26/2029 (b) | &nbsp;&nbsp;&nbsp; 2021-3, 0.760%, 02/26/2029 (b) | 1078712 | 1013310 |
| Madison Park Funding XXVI Ltd. | Madison Park Funding XXVI Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 2007-26, 5.615% (3 Month LIBOR USD + 1.200%), 07/29/2030 (b)(c) | &nbsp;&nbsp;&nbsp; 2007-26, 5.615% (3 Month LIBOR USD + 1.200%), 07/29/2030 (b)(c) | 2295000 | 2259930 |
| Magnetite XXIII Ltd. | Magnetite XXIII Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 2019-23R, 5.488% (3 Month LIBOR USD + 1.130%), 01/25/2035 (b)(c) | &nbsp;&nbsp;&nbsp; 2019-23R, 5.488% (3 Month LIBOR USD + 1.130%), 01/25/2035 (b)(c) | 1000000 | 969548 |
| MetroNet Infrastructure Issuer LLC | MetroNet Infrastructure Issuer LLC |  |  |
| &nbsp;&nbsp;&nbsp; 2022-1A, 6.350%, 10/20/2052 (b) | &nbsp;&nbsp;&nbsp; 2022-1A, 6.350%, 10/20/2052 (b) | 693000 | 661994 |
| MVW 2021-1W LLC | MVW 2021-1W LLC |  |  |
| &nbsp;&nbsp;&nbsp; 2021-1W, 1.440%, 01/22/2041 (b) | &nbsp;&nbsp;&nbsp; 2021-1W, 1.440%, 01/22/2041 (b) | 347678 | 315322 |
| MVW 2021-2 LLC | MVW 2021-2 LLC |  |  |
| &nbsp;&nbsp;&nbsp; 2021-2A A, 1.430%, 05/20/2039 (b) | &nbsp;&nbsp;&nbsp; 2021-2A A, 1.430%, 05/20/2039 (b) | 811351 | 716931 |
| &nbsp;&nbsp;&nbsp; 2021-2A B, 1.830%, 05/20/2039 (b) | &nbsp;&nbsp;&nbsp; 2021-2A B, 1.830%, 05/20/2039 (b) | 661972 | 593972 |
| MVW 2022-1 LLC | MVW 2022-1 LLC |  |  |
| &nbsp;&nbsp;&nbsp; 2022-1, 4.400%, 11/21/2039 (b) | &nbsp;&nbsp;&nbsp; 2022-1, 4.400%, 11/21/2039 (b) | 295876 | 288902 |
| Navient Private Education Refi Loan Trust | Navient Private Education Refi Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2021-B, 0.940%, 07/15/2069 (b) | &nbsp;&nbsp;&nbsp; 2021-B, 0.940%, 07/15/2069 (b) | 953477 | 804777 |
| &nbsp;&nbsp;&nbsp; 2021-C, 1.060%, 10/15/2069 (b) | &nbsp;&nbsp;&nbsp; 2021-C, 1.060%, 10/15/2069 (b) | 607371 | 524507 |
| &nbsp;&nbsp;&nbsp; 2021-E, 0.970%, 12/16/2069 (b) | &nbsp;&nbsp;&nbsp; 2021-E, 0.970%, 12/16/2069 (b) | 1440737 | 1190242 |
| Navient Student Loan Trust | Navient Student Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2019-7, 4.544% (1 Month LIBOR USD + 0.500%), 01/25/2068 (b)(c) | &nbsp;&nbsp;&nbsp; 2019-7, 4.544% (1 Month LIBOR USD + 0.500%), 01/25/2068 (b)(c) | 168869 | 168589 |
| PFS Financing Corp. | PFS Financing Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 2021-B, 0.770%, 08/15/2026 (b) | &nbsp;&nbsp;&nbsp; 2021-B, 0.770%, 08/15/2026 (b) | 1890000 | 1733031 |
| Prestige Auto Receivables Trust | Prestige Auto Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2021-1, 1.530%, 02/15/2028 (b) | &nbsp;&nbsp;&nbsp; 2021-1, 1.530%, 02/15/2028 (b) | 599000 | 549325 |
| RASC Trust | RASC Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2005-KS12, 4.734% (1 Month LIBOR USD + 0.460%), 01/25/2036 (c) | &nbsp;&nbsp;&nbsp; 2005-KS12, 4.734% (1 Month LIBOR USD + 0.460%), 01/25/2036 (c) | 78994 | 78429 |
| SBA Tower Trust | SBA Tower Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2020-1-2, 2.328%, 01/15/2028 (b) | &nbsp;&nbsp;&nbsp; 2020-1-2, 2.328%, 01/15/2028 (b) | 618000 | 517004 |
| &nbsp;&nbsp;&nbsp; 2021-3, 2.593%, 10/15/2031 (b) | &nbsp;&nbsp;&nbsp; 2021-3, 2.593%, 10/15/2031 (b) | 1243000 | 965355 |
| Sierra Timeshare Receivables Funding LLC | Sierra Timeshare Receivables Funding LLC |  |  |
| &nbsp;&nbsp;&nbsp; 2019-2, 2.590%, 05/20/2036 (b) | &nbsp;&nbsp;&nbsp; 2019-2, 2.590%, 05/20/2036 (b) | 349125 | 335858 |
| &nbsp;&nbsp;&nbsp; 2020-2, 3.510%, 07/20/2037 (b) | &nbsp;&nbsp;&nbsp; 2020-2, 3.510%, 07/20/2037 (b) | 405796 | 382355 |
| &nbsp;&nbsp;&nbsp; 2021-2, 1.350%, 09/20/2038 (b) | &nbsp;&nbsp;&nbsp; 2021-2, 1.350%, 09/20/2038 (b) | 309494 | 285472 |
| Starwood Mortgage Residential Trust | Starwood Mortgage Residential Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2021-3, 1.127%, 06/25/2056 (b)(d) | &nbsp;&nbsp;&nbsp; 2021-3, 1.127%, 06/25/2056 (b)(d) | 573889 | 461001 |
| &nbsp;&nbsp;&nbsp; 2021-6, 1.920%, 11/25/2066 (b)(d) | &nbsp;&nbsp;&nbsp; 2021-6, 1.920%, 11/25/2066 (b)(d) | 909197 | 734059 |
| Taco Bell Funding LLC | Taco Bell Funding LLC |  |  |
| &nbsp;&nbsp;&nbsp; 2021-1, 1.946%, 08/25/2051 (b) | &nbsp;&nbsp;&nbsp; 2021-1, 1.946%, 08/25/2051 (b) | 1384020 | 1171354 |
| Thayer Park CLO Ltd. | Thayer Park CLO Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 2017-R, 5.283% (3 Month LIBOR USD + 1.040%), 04/20/2034 (b)(c) | &nbsp;&nbsp;&nbsp; 2017-R, 5.283% (3 Month LIBOR USD + 1.040%), 04/20/2034 (b)(c) | 500000 | 485085 |
| Towd Point Mortgage Trust | Towd Point Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2017-5, 4.644% (1 Month LIBOR USD + 0.600%), 02/25/2057 (b)(c) | &nbsp;&nbsp;&nbsp; 2017-5, 4.644% (1 Month LIBOR USD + 0.600%), 02/25/2057 (b)(c) | 181118 | 178276 |
| &nbsp;&nbsp;&nbsp; 2017-2 A1, 2.750%, 04/25/2057 (b)(d) | &nbsp;&nbsp;&nbsp; 2017-2 A1, 2.750%, 04/25/2057 (b)(d) | 11704 | 11543 |
| &nbsp;&nbsp;&nbsp; 2017-2 A2, 3.250%, 04/25/2057 (b)(d) | &nbsp;&nbsp;&nbsp; 2017-2 A2, 3.250%, 04/25/2057 (b)(d) | 351000 | 336963 |
| &nbsp;&nbsp;&nbsp; 2017-4, 2.750%, 06/25/2057 (b)(d) | &nbsp;&nbsp;&nbsp; 2017-4, 2.750%, 06/25/2057 (b)(d) | 105715 | 100346 |
| &nbsp;&nbsp;&nbsp; 2017-3, 2.750%, 07/25/2057 (b)(d) | &nbsp;&nbsp;&nbsp; 2017-3, 2.750%, 07/25/2057 (b)(d) | 119056 | 115988 |
| &nbsp;&nbsp;&nbsp; 2022-4, 3.750%, 09/25/2062 (b) | &nbsp;&nbsp;&nbsp; 2022-4, 3.750%, 09/25/2062 (b) | 899395 | 837290 |
| TRESTLES CLO Ltd. | TRESTLES CLO Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 2017-1, 5.348% (3 Month LIBOR USD + 0.990%), 04/25/2032 (b)(c) | &nbsp;&nbsp;&nbsp; 2017-1, 5.348% (3 Month LIBOR USD + 0.990%), 04/25/2032 (b)(c) | 500000 | 488198 |
| TRESTLES CLO V Ltd. | TRESTLES CLO V Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 2021-5, 5.413% (3 Month LIBOR USD + 1.170%), 10/20/2034 (b)(c) | &nbsp;&nbsp;&nbsp; 2021-5, 5.413% (3 Month LIBOR USD + 1.170%), 10/20/2034 (b)(c) | 1000000 | 970294 |
| United Airlines Pass Through Trust | United Airlines Pass Through Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2020-1, 5.875%, 10/15/2027 | &nbsp;&nbsp;&nbsp; 2020-1, 5.875%, 10/15/2027 | 1070969 | 1058980 |
| Vantage Data Centers Issuer LLC | Vantage Data Centers Issuer LLC |  |  |
| &nbsp;&nbsp;&nbsp; 2019-1, 3.188%, 07/15/2044 (b) | &nbsp;&nbsp;&nbsp; 2019-1, 3.188%, 07/15/2044 (b) | 1273230 | 1199734 |
| &nbsp;&nbsp;&nbsp; 2021-1, 2.165%, 10/15/2046 (b) | &nbsp;&nbsp;&nbsp; 2021-1, 2.165%, 10/15/2046 (b) | 1078000 | 910801 |
| Verus Securitization Trust | Verus Securitization Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2021-3, 1.046%, 06/25/2066 (b)(d) | &nbsp;&nbsp;&nbsp; 2021-3, 1.046%, 06/25/2066 (b)(d) | 750219 | 607166 |
| &nbsp;&nbsp;&nbsp; 2021-6, 1.630%, 10/25/2066 (b)(d) | &nbsp;&nbsp;&nbsp; 2021-6, 1.630%, 10/25/2066 (b)(d) | 1183200 | 935368 |
| Voya CLO Ltd. | Voya CLO Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 2014-2A, 5.099% (3 Month LIBOR USD + 1.020%), 04/17/2030 (b)(c) | &nbsp;&nbsp;&nbsp; 2014-2A, 5.099% (3 Month LIBOR USD + 1.020%), 04/17/2030 (b)(c) | 1659379 | 1633426 |
| **TOTAL ASSET BACKED SECURITIES (Cost $42,317,918)** | **TOTAL ASSET BACKED SECURITIES (Cost $42,317,918)** |  | **38420459** |
| **CORPORATE BONDS - 37.19%** | **CORPORATE BONDS - 37.19%** |  |  |
| **Accommodation - 0.07%** | **Accommodation - 0.07%** |  |  |
| Wyndham Hotels & Resorts, Inc. | Wyndham Hotels & Resorts, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.375%, 08/15/2028 (b) | &nbsp;&nbsp;&nbsp; 4.375%, 08/15/2028 (b) | 165000 | 147706 |
| Wynn Las Vegas LLC | Wynn Las Vegas LLC |  |  |
| &nbsp;&nbsp;&nbsp; 5.500%, 03/01/2025 (b) | &nbsp;&nbsp;&nbsp; 5.500%, 03/01/2025 (b) | 125000 | 120429 |
|  |  |  | 268135 |
| **Administrative and Support Services - 1.03%** | **Administrative and Support Services - 1.03%** |  |  |
| ASGN, Inc. | ASGN, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.625%, 05/15/2028 (b) | &nbsp;&nbsp;&nbsp; 4.625%, 05/15/2028 (b) | 350000 | 312954 |
| Booking Holdings, Inc. | Booking Holdings, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 3.550%, 03/15/2028 | &nbsp;&nbsp;&nbsp; 3.550%, 03/15/2028 | 1097000 | 1028580 |
| Korn Ferry | Korn Ferry |  |  |
| &nbsp;&nbsp;&nbsp; 4.625%, 12/15/2027 (b) | &nbsp;&nbsp;&nbsp; 4.625%, 12/15/2027 (b) | 100000 | 91584 |
| Live Nation Entertainment, Inc. | Live Nation Entertainment, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.750%, 10/15/2027 (b) | &nbsp;&nbsp;&nbsp; 4.750%, 10/15/2027 (b) | 145000 | 129190 |
| PayPal Holdings, Inc. | PayPal Holdings, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 2.400%, 10/01/2024 | &nbsp;&nbsp;&nbsp; 2.400%, 10/01/2024 | 1110000 | 1063401 |
| Visa, Inc. | Visa, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 2.800%, 12/14/2022 | &nbsp;&nbsp;&nbsp; 2.800%, 12/14/2022 | 1639000 | 1638231 |
|  |  |  | 4263940 |
| **Air Transportation - 0.24%** | **Air Transportation - 0.24%** |  |  |
| Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd. | Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 6.500%, 06/20/2027 (b) | &nbsp;&nbsp;&nbsp; 6.500%, 06/20/2027 (b) | 190000 | 189286 |
| Southwest Airlines Co. | Southwest Airlines Co. |  |  |
| &nbsp;&nbsp;&nbsp; 5.250%, 05/04/2025 | &nbsp;&nbsp;&nbsp; 5.250%, 05/04/2025 | 800000 | 804111 |
|  |  |  | 993397 |
| **Ambulatory Health Care Services - 0.04%** | **Ambulatory Health Care Services - 0.04%** |  |  |
| Acadia Healthcare Co, Inc. | Acadia Healthcare Co, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 5.000%, 04/15/2029 (b) | &nbsp;&nbsp;&nbsp; 5.000%, 04/15/2029 (b) | 195000 | 180207 |
| **Beverage and Tobacco Product Manufacturing - 1.77%** | **Beverage and Tobacco Product Manufacturing - 1.77%** |  |  |
| Anheuser-Busch InBev Worldwide, Inc. | Anheuser-Busch InBev Worldwide, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.700%, 02/01/2036 | &nbsp;&nbsp;&nbsp; 4.700%, 02/01/2036 | 1435000 | 1365600 |
| &nbsp;&nbsp;&nbsp; 4.350%, 06/01/2040 | &nbsp;&nbsp;&nbsp; 4.350%, 06/01/2040 | 1006000 | 906119 |
| &nbsp;&nbsp;&nbsp; 4.600%, 04/15/2048 | &nbsp;&nbsp;&nbsp; 4.600%, 04/15/2048 | 720000 | 651204 |
| &nbsp;&nbsp;&nbsp; 4.750%, 04/15/2058 | &nbsp;&nbsp;&nbsp; 4.750%, 04/15/2058 | 510000 | 464597 |
| &nbsp;&nbsp;&nbsp; 5.800%, 01/23/2059 | &nbsp;&nbsp;&nbsp; 5.800%, 01/23/2059 | 400000 | 419551 |
| Philip Morris International, Inc. | Philip Morris International, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 3.125%, 08/17/2027 (f) | &nbsp;&nbsp;&nbsp; 3.125%, 08/17/2027 (f) | 2654000 | 2452043 |
| &nbsp;&nbsp;&nbsp; 5.750%, 11/17/2032 | &nbsp;&nbsp;&nbsp; 5.750%, 11/17/2032 | 1045000 | 1063920 |
|  |  |  | 7323034 |
| **Broadcasting (except Internet) - 1.85%** | **Broadcasting (except Internet) - 1.85%** |  |  |
| CCO Holdings LLC / CCO Holdings Capital Corp. | CCO Holdings LLC / CCO Holdings Capital Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 4.250%, 02/01/2031 (b) | &nbsp;&nbsp;&nbsp; 4.250%, 02/01/2031 (b) | 298000 | 242393 |
| Charter Communications Operating LLC / Charter Communications Operating Capital | Charter Communications Operating LLC / Charter Communications Operating Capital |  |  |
| &nbsp;&nbsp;&nbsp; 5.250%, 04/01/2053 | &nbsp;&nbsp;&nbsp; 5.250%, 04/01/2053 | 665000 | 532367 |
| Comcast Corp. | Comcast Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 3.150%, 02/15/2028 | &nbsp;&nbsp;&nbsp; 3.150%, 02/15/2028 | 405000 | 376277 |
| &nbsp;&nbsp;&nbsp; 4.150%, 10/15/2028 | &nbsp;&nbsp;&nbsp; 4.150%, 10/15/2028 | 1708000 | 1655647 |
| CSC Holdings LLC | CSC Holdings LLC |  |  |
| &nbsp;&nbsp;&nbsp; 4.625%, 12/01/2030 (b)(f) | &nbsp;&nbsp;&nbsp; 4.625%, 12/01/2030 (b)(f) | 435000 | 276552 |
| &nbsp;&nbsp;&nbsp; 3.375%, 02/15/2031 (b) | &nbsp;&nbsp;&nbsp; 3.375%, 02/15/2031 (b) | 264000 | 191928 |
| Discovery Communications LLC | Discovery Communications LLC |  |  |
| &nbsp;&nbsp;&nbsp; 2.950%, 03/20/2023 (f) | &nbsp;&nbsp;&nbsp; 2.950%, 03/20/2023 (f) | 566000 | 562269 |
| DISH DBS Corp. | DISH DBS Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 5.875%, 11/15/2024 | &nbsp;&nbsp;&nbsp; 5.875%, 11/15/2024 | 110000 | 103410 |
| Fox Corp. | Fox Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 5.576%, 01/25/2049 | &nbsp;&nbsp;&nbsp; 5.576%, 01/25/2049 | 770000 | 686402 |
| Magallanes, Inc. | Magallanes, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 5.050%, 03/15/2042 (b) | &nbsp;&nbsp;&nbsp; 5.050%, 03/15/2042 (b) | 1545000 | 1223868 |
| &nbsp;&nbsp;&nbsp; 5.141%, 03/15/2052 (b) | &nbsp;&nbsp;&nbsp; 5.141%, 03/15/2052 (b) | 845000 | 646057 |
| Paramount Global | Paramount Global |  |  |
| &nbsp;&nbsp;&nbsp; 4.200%, 05/19/2032 (f) | &nbsp;&nbsp;&nbsp; 4.200%, 05/19/2032 (f) | 970000 | 802891 |
| Sirius XM Radio, Inc. | Sirius XM Radio, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.125%, 07/01/2030 (b) | &nbsp;&nbsp;&nbsp; 4.125%, 07/01/2030 (b) | 415000 | 348571 |
|  |  |  | 7648632 |
| **Building Material and Garden Equipment and Supplies Dealers - 0.62%** | **Building Material and Garden Equipment and Supplies Dealers - 0.62%** |  |  |
| Home Depot, Inc. | Home Depot, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 2.700%, 04/01/2023 (f) | &nbsp;&nbsp;&nbsp; 2.700%, 04/01/2023 (f) | 1202000 | 1194254 |
| &nbsp;&nbsp;&nbsp; 4.500%, 09/15/2032 (f) | &nbsp;&nbsp;&nbsp; 4.500%, 09/15/2032 (f) | 655000 | 648479 |
| &nbsp;&nbsp;&nbsp; 4.950%, 09/15/2052 (f) | &nbsp;&nbsp;&nbsp; 4.950%, 09/15/2052 (f) | 715000 | 701626 |
|  |  |  | 2544359 |
| **Chemical Manufacturing - 1.50%** | **Chemical Manufacturing - 1.50%** |  |  |
| AbbVie, Inc. | AbbVie, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.050%, 11/21/2039 | &nbsp;&nbsp;&nbsp; 4.050%, 11/21/2039 | 270000 | 233748 |
| &nbsp;&nbsp;&nbsp; 4.700%, 05/14/2045 | &nbsp;&nbsp;&nbsp; 4.700%, 05/14/2045 | 710000 | 648705 |
| &nbsp;&nbsp;&nbsp; 4.250%, 11/21/2049 | &nbsp;&nbsp;&nbsp; 4.250%, 11/21/2049 | 485000 | 412595 |
| Biogen, Inc. | Biogen, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 2.250%, 05/01/2030 | &nbsp;&nbsp;&nbsp; 2.250%, 05/01/2030 | 2894000 | 2383000 |
| Bristol-Myers Squibb Co. | Bristol-Myers Squibb Co. |  |  |
| &nbsp;&nbsp;&nbsp; 2.950%, 03/15/2032 | &nbsp;&nbsp;&nbsp; 2.950%, 03/15/2032 | 785000 | 691277 |
| &nbsp;&nbsp;&nbsp; 3.550%, 03/15/2042 | &nbsp;&nbsp;&nbsp; 3.550%, 03/15/2042 | 300000 | 249111 |
| Merck & Co, Inc. | Merck & Co, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 2.750%, 12/10/2051 (f) | &nbsp;&nbsp;&nbsp; 2.750%, 12/10/2051 (f) | 615000 | 424490 |
| Roche Holdings, Inc. | Roche Holdings, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 2.607%, 12/13/2051 (b)(f) | &nbsp;&nbsp;&nbsp; 2.607%, 12/13/2051 (b)(f) | 615000 | 409570 |
| Viatris, Inc. | Viatris, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.000%, 06/22/2050 | &nbsp;&nbsp;&nbsp; 4.000%, 06/22/2050 | 1140000 | 738570 |
|  |  |  | 6191066 |
| **Computer and Electronic Product Manufacturing - 2.55%** | **Computer and Electronic Product Manufacturing - 2.55%** |  |  |
| Apple, Inc. | Apple, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 1.800%, 09/11/2024 | &nbsp;&nbsp;&nbsp; 1.800%, 09/11/2024 | 2818000 | 2693530 |
| Broadcom, Inc. | Broadcom, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.926%, 05/15/2037 (b) | &nbsp;&nbsp;&nbsp; 4.926%, 05/15/2037 (b) | 705000 | 615454 |
| Dell International LLC / EMC Corp. | Dell International LLC / EMC Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 5.450%, 06/15/2023 | &nbsp;&nbsp;&nbsp; 5.450%, 06/15/2023 | 289000 | 289151 |
| &nbsp;&nbsp;&nbsp; 6.200%, 07/15/2030 | &nbsp;&nbsp;&nbsp; 6.200%, 07/15/2030 | 1140000 | 1171772 |
| ILLUMINA, Inc. | ILLUMINA, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 5.750%, 12/13/2027 | &nbsp;&nbsp;&nbsp; 5.750%, 12/13/2027 | 670000 | 674036 |
| Intel Corp. | Intel Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 3.750%, 03/25/2027 | &nbsp;&nbsp;&nbsp; 3.750%, 03/25/2027 | 1144000 | 1112546 |
| Marvell Technology, Inc. | Marvell Technology, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 2.950%, 04/15/2031 | &nbsp;&nbsp;&nbsp; 2.950%, 04/15/2031 | 2035000 | 1658936 |
| Microchip Technology, Inc. | Microchip Technology, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.333%, 06/01/2023 | &nbsp;&nbsp;&nbsp; 4.333%, 06/01/2023 | 690000 | 687145 |
| QUALCOMM, Inc. | QUALCOMM, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 6.000%, 05/20/2053 | &nbsp;&nbsp;&nbsp; 6.000%, 05/20/2053 | 1515000 | 1639538 |
|  |  |  | 10542108 |
| **Construction of Buildings - 0.03%** | **Construction of Buildings - 0.03%** |  |  |
| Shea Homes LP / Shea Homes Funding Corp. | Shea Homes LP / Shea Homes Funding Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 4.750%, 02/15/2028 | &nbsp;&nbsp;&nbsp; 4.750%, 02/15/2028 | 150000 | 129259 |
| **Credit Intermediation and Related Activities - 5.75%** | **Credit Intermediation and Related Activities - 5.75%** |  |  |
| Bank of America Corp. | Bank of America Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 3.875%, 08/01/2025 (f) | &nbsp;&nbsp;&nbsp; 3.875%, 08/01/2025 (f) | 1591000 | 1568328 |
| &nbsp;&nbsp;&nbsp; 3.559% to 04/23/2026, then 3 Month LIBOR USD + 1.060%, 04/23/2027 (a)(f) | &nbsp;&nbsp;&nbsp; 3.559% to 04/23/2026, then 3 Month LIBOR USD + 1.060%, 04/23/2027 (a)(f) | 1610000 | 1517884 |
| &nbsp;&nbsp;&nbsp; 3.705% to 04/24/2027, then 3 Month LIBOR USD + 1.512%, 04/24/2028 (a) | &nbsp;&nbsp;&nbsp; 3.705% to 04/24/2027, then 3 Month LIBOR USD + 1.512%, 04/24/2028 (a) | 660000 | 614094 |
| &nbsp;&nbsp;&nbsp; 3.970% to 03/05/2028, then 3 Month LIBOR USD + 1.070%, 03/05/2029 (a) | &nbsp;&nbsp;&nbsp; 3.970% to 03/05/2028, then 3 Month LIBOR USD + 1.070%, 03/05/2029 (a) | 630000 | 584711 |
| &nbsp;&nbsp;&nbsp; 2.884% to 10/22/2029, then 3 Month LIBOR USD + 1.190%, 10/22/2030 (a) | &nbsp;&nbsp;&nbsp; 2.884% to 10/22/2029, then 3 Month LIBOR USD + 1.190%, 10/22/2030 (a) | 743000 | 631074 |
| &nbsp;&nbsp;&nbsp; 2.496% to 02/13/2030, then 3 Month LIBOR USD + 0.990%, 02/13/2031 (a) | &nbsp;&nbsp;&nbsp; 2.496% to 02/13/2030, then 3 Month LIBOR USD + 0.990%, 02/13/2031 (a) | 785000 | 643922 |
| &nbsp;&nbsp;&nbsp; 4.571% to 04/27/2032, then SOFR + 1.830%, 04/27/2033 (a) | &nbsp;&nbsp;&nbsp; 4.571% to 04/27/2032, then SOFR + 1.830%, 04/27/2033 (a) | 725000 | 673827 |
| Citigroup, Inc. | Citigroup, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 3.200%, 10/21/2026 | &nbsp;&nbsp;&nbsp; 3.200%, 10/21/2026 | 1115000 | 1040919 |
| &nbsp;&nbsp;&nbsp; 4.300%, 11/20/2026 | &nbsp;&nbsp;&nbsp; 4.300%, 11/20/2026 | 890000 | 867547 |
| &nbsp;&nbsp;&nbsp; 1.122% to 01/28/2026, then SOFR + 0.765%, 01/28/2027 (a) | &nbsp;&nbsp;&nbsp; 1.122% to 01/28/2026, then SOFR + 0.765%, 01/28/2027 (a) | 1610000 | 1403627 |
| &nbsp;&nbsp;&nbsp; 3.887% to 01/10/2027, then 3 Month LIBOR USD + 1.563%, 01/10/2028 (a) | &nbsp;&nbsp;&nbsp; 3.887% to 01/10/2027, then 3 Month LIBOR USD + 1.563%, 01/10/2028 (a) | 835000 | 784337 |
| &nbsp;&nbsp;&nbsp; 3.520% to 10/27/2027, then 3 Month LIBOR USD + 1.151%, 10/27/2028 (a) | &nbsp;&nbsp;&nbsp; 3.520% to 10/27/2027, then 3 Month LIBOR USD + 1.151%, 10/27/2028 (a) | 455000 | 415960 |
| &nbsp;&nbsp;&nbsp; 2.976% to 11/05/2029, then SOFR + 1.422%, 11/05/2030 (a) | &nbsp;&nbsp;&nbsp; 2.976% to 11/05/2029, then SOFR + 1.422%, 11/05/2030 (a) | 495000 | 421432 |
| Ford Motor Credit Co. LLC | Ford Motor Credit Co. LLC |  |  |
| &nbsp;&nbsp;&nbsp; 5.113%, 05/03/2029 (f) | &nbsp;&nbsp;&nbsp; 5.113%, 05/03/2029 (f) | 310000 | 285065 |
| General Motors Financial Co., Inc. | General Motors Financial Co., Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 5.100%, 01/17/2024 | &nbsp;&nbsp;&nbsp; 5.100%, 01/17/2024 | 370000 | 368786 |
| &nbsp;&nbsp;&nbsp; 3.600%, 06/21/2030 | &nbsp;&nbsp;&nbsp; 3.600%, 06/21/2030 | 700000 | 598777 |
| GSK Consumer Healthcare Capital US LLC | GSK Consumer Healthcare Capital US LLC |  |  |
| &nbsp;&nbsp;&nbsp; 3.375%, 03/24/2029 | &nbsp;&nbsp;&nbsp; 3.375%, 03/24/2029 | 920000 | 835213 |
| &nbsp;&nbsp;&nbsp; 3.625%, 03/24/2032 | &nbsp;&nbsp;&nbsp; 3.625%, 03/24/2032 | 1040000 | 911889 |
| JPMorgan Chase & Co. | JPMorgan Chase & Co. |  |  |
| &nbsp;&nbsp;&nbsp; 2.700%, 05/18/2023 | &nbsp;&nbsp;&nbsp; 2.700%, 05/18/2023 | 480000 | 475781 |
| &nbsp;&nbsp;&nbsp; 2.950%, 10/01/2026 | &nbsp;&nbsp;&nbsp; 2.950%, 10/01/2026 | 1658000 | 1562848 |
| &nbsp;&nbsp;&nbsp; 2.580% to 04/22/2031, then SOFR + 1.250%, 04/22/2032 (a) | &nbsp;&nbsp;&nbsp; 2.580% to 04/22/2031, then SOFR + 1.250%, 04/22/2032 (a) | 1535000 | 1241411 |
| OneMain Finance Corp. | OneMain Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 3.500%, 01/15/2027 (f) | &nbsp;&nbsp;&nbsp; 3.500%, 01/15/2027 (f) | 255000 | 209147 |
| Synchrony Financial | Synchrony Financial |  |  |
| &nbsp;&nbsp;&nbsp; 2.875%, 10/28/2031 | &nbsp;&nbsp;&nbsp; 2.875%, 10/28/2031 | 920000 | 689378 |
| Wells Fargo & Co. | Wells Fargo & Co. |  |  |
| &nbsp;&nbsp;&nbsp; 2.406% to 10/30/2024, then SOFR + 1.087%, 10/30/2025 (a) | &nbsp;&nbsp;&nbsp; 2.406% to 10/30/2024, then SOFR + 1.087%, 10/30/2025 (a) | 900000 | 848095 |
| &nbsp;&nbsp;&nbsp; 2.393% to 06/02/2027, then SOFR + 2.100%, 06/02/2028 (a) | &nbsp;&nbsp;&nbsp; 2.393% to 06/02/2027, then SOFR + 2.100%, 06/02/2028 (a) | 1020000 | 901350 |
| &nbsp;&nbsp;&nbsp; 4.150%, 01/24/2029 | &nbsp;&nbsp;&nbsp; 4.150%, 01/24/2029 | 1563000 | 1471667 |
| &nbsp;&nbsp;&nbsp; 2.572% to 02/11/2030, then SOFR + 1.262%, 02/11/2031 (a) | &nbsp;&nbsp;&nbsp; 2.572% to 02/11/2030, then SOFR + 1.262%, 02/11/2031 (a) | 1045000 | 872879 |
| &nbsp;&nbsp;&nbsp; 4.897% to 07/25/2032, then SOFR + 2.100%, 07/25/2033 (a) | &nbsp;&nbsp;&nbsp; 4.897% to 07/25/2032, then SOFR + 2.100%, 07/25/2033 (a) | 1025000 | 984362 |
| &nbsp;&nbsp;&nbsp; 5.013% to 04/04/2050, then SOFR + 4.502%, 04/04/2051 (a) | &nbsp;&nbsp;&nbsp; 5.013% to 04/04/2050, then SOFR + 4.502%, 04/04/2051 (a) | 365000 | 341380 |
|  |  |  | 23765690 |
| **Electrical Equipment, Appliance, and Component Manufacturing - 0.05%** | **Electrical Equipment, Appliance, and Component Manufacturing - 0.05%** |  |  |
| Energizer Holdings, Inc. | Energizer Holdings, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.375%, 03/31/2029 (b) | &nbsp;&nbsp;&nbsp; 4.375%, 03/31/2029 (b) | 250000 | 213059 |
| **Electronics and Appliance Stores - 0.02%** | **Electronics and Appliance Stores - 0.02%** |  |  |
| AMC Networks, Inc. | AMC Networks, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.250%, 02/15/2029 (f) | &nbsp;&nbsp;&nbsp; 4.250%, 02/15/2029 (f) | 100000 | 73994 |
| **Food Manufacturing - 0.03%** | **Food Manufacturing - 0.03%** |  |  |
| Post Holdings, Inc. | Post Holdings, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.625%, 04/15/2030 (b) | &nbsp;&nbsp;&nbsp; 4.625%, 04/15/2030 (b) | 150000 | 129893 |
| **Food Services and Drinking Places - 0.54%** | **Food Services and Drinking Places - 0.54%** |  |  |
| Aramark Services, Inc. | Aramark Services, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 5.000%, 02/01/2028 (b) | &nbsp;&nbsp;&nbsp; 5.000%, 02/01/2028 (b) | 235000 | 219858 |
| McDonald's Corp. | McDonald's Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 3.500%, 07/01/2027 (f) | &nbsp;&nbsp;&nbsp; 3.500%, 07/01/2027 (f) | 1622000 | 1548416 |
| Starbucks Corp. | Starbucks Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 2.550%, 11/15/2030 | &nbsp;&nbsp;&nbsp; 2.550%, 11/15/2030 | 530000 | 452031 |
|  |  |  | 2220305 |
| **General Merchandise Stores - 0.28%** | **General Merchandise Stores - 0.28%** |  |  |
| Walmart, Inc. | Walmart, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 2.350%, 12/15/2022 | &nbsp;&nbsp;&nbsp; 2.350%, 12/15/2022 | 1142000 | 1141337 |
| **Health and Personal Care Stores - 0.11%** | **Health and Personal Care Stores - 0.11%** |  |  |
| CVS Health Corp. | CVS Health Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 4.125%, 04/01/2040 | &nbsp;&nbsp;&nbsp; 4.125%, 04/01/2040 | 560000 | 471985 |
| **Hospitals - 0.24%** | **Hospitals - 0.24%** |  |  |
| HCA, Inc. | HCA, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 5.250%, 06/15/2049 | &nbsp;&nbsp;&nbsp; 5.250%, 06/15/2049 | 870000 | 758023 |
| Tenet Healthcare Corp. | Tenet Healthcare Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 6.125%, 10/01/2028 (b)(f) | &nbsp;&nbsp;&nbsp; 6.125%, 10/01/2028 (b)(f) | 265000 | 233942 |
|  |  |  | 991965 |
| **Insurance Carriers and Related Activities - 1.43%** | **Insurance Carriers and Related Activities - 1.43%** |  |  |
| Berkshire Hathaway, Inc. | Berkshire Hathaway, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 2.750%, 03/15/2023 | &nbsp;&nbsp;&nbsp; 2.750%, 03/15/2023 | 2543000 | 2531423 |
| Cigna Corp. | Cigna Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 3.200%, 03/15/2040 | &nbsp;&nbsp;&nbsp; 3.200%, 03/15/2040 | 690000 | 529185 |
| Equitable Holdings, Inc. | Equitable Holdings, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 5.000%, 04/20/2048 | &nbsp;&nbsp;&nbsp; 5.000%, 04/20/2048 | 545000 | 472206 |
| MetLife, Inc. | MetLife, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 6.500%, 12/15/2032 | &nbsp;&nbsp;&nbsp; 6.500%, 12/15/2032 | 2137000 | 2357654 |
|  |  |  | 5890468 |
| **Machinery Manufacturing - 0.25%** | **Machinery Manufacturing - 0.25%** |  |  |
| Deere & Co. | Deere & Co. |  |  |
| &nbsp;&nbsp;&nbsp; 5.375%, 10/16/2029 | &nbsp;&nbsp;&nbsp; 5.375%, 10/16/2029 | 983000 | 1030159 |
| **Management of Companies and Enterprises - 0.31%** | **Management of Companies and Enterprises - 0.31%** |  |  |
| Abbott Laboratories | Abbott Laboratories |  |  |
| &nbsp;&nbsp;&nbsp; 3.400%, 11/30/2023 | &nbsp;&nbsp;&nbsp; 3.400%, 11/30/2023 | 1128000 | 1111782 |
| Park Intermediate Holdings LLC / PK Domestic Property LLC | Park Intermediate Holdings LLC / PK Domestic Property LLC |  |  |
| &nbsp;&nbsp;&nbsp; 5.875%, 10/01/2028 (b) | &nbsp;&nbsp;&nbsp; 5.875%, 10/01/2028 (b) | 195000 | 180843 |
|  |  |  | 1292625 |
| **Merchant Wholesalers, Durable Goods - 0.51%** | **Merchant Wholesalers, Durable Goods - 0.51%** |  |  |
| CDW LLC / CDW Finance Corp. | CDW LLC / CDW Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 2.670%, 12/01/2026 | &nbsp;&nbsp;&nbsp; 2.670%, 12/01/2026 | 328000 | 291324 |
| &nbsp;&nbsp;&nbsp; 3.276%, 12/01/2028 | &nbsp;&nbsp;&nbsp; 3.276%, 12/01/2028 | 1915000 | 1613043 |
| &nbsp;&nbsp;&nbsp; 3.569%, 12/01/2031 | &nbsp;&nbsp;&nbsp; 3.569%, 12/01/2031 | 265000 | 216539 |
|  |  |  | 2120906 |
| **Merchant Wholesalers, Nondurable Goods - 0.43%** | **Merchant Wholesalers, Nondurable Goods - 0.43%** |  |  |
| Energy Transfer LP | Energy Transfer LP |  |  |
| &nbsp;&nbsp;&nbsp; 3.600%, 02/01/2023 | &nbsp;&nbsp;&nbsp; 3.600%, 02/01/2023 | 600000 | 598131 |
| Performance Food Group, Inc. | Performance Food Group, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 5.500%, 10/15/2027 (b) | &nbsp;&nbsp;&nbsp; 5.500%, 10/15/2027 (b) | 90000 | 87178 |
| Sysco Corp. | Sysco Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 6.600%, 04/01/2050 | &nbsp;&nbsp;&nbsp; 6.600%, 04/01/2050 | 764000 | 847164 |
| Univar Solutions USA, Inc. | Univar Solutions USA, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 5.125%, 12/01/2027 (b) | &nbsp;&nbsp;&nbsp; 5.125%, 12/01/2027 (b) | 250000 | 239551 |
|  |  |  | 1772024 |
| **Nonstore Retailers - 0.72%** | **Nonstore Retailers - 0.72%** |  |  |
| Amazon.com, Inc. | Amazon.com, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 3.800%, 12/05/2024 | &nbsp;&nbsp;&nbsp; 3.800%, 12/05/2024 | 1637000 | 1611690 |
| eBay, Inc. | eBay, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 2.600%, 05/10/2031 (f) | &nbsp;&nbsp;&nbsp; 2.600%, 05/10/2031 (f) | 1680000 | 1371966 |
|  |  |  | 2983656 |
| **Oil and Gas Extraction - 0.92%** | **Oil and Gas Extraction - 0.92%** |  |  |
| CQP Holdco LP / BIP-V Chinook Holdco LLC | CQP Holdco LP / BIP-V Chinook Holdco LLC |  |  |
| &nbsp;&nbsp;&nbsp; 5.500%, 06/15/2031 (b) | &nbsp;&nbsp;&nbsp; 5.500%, 06/15/2031 (b) | 315000 | 284645 |
| Dominion Energy, Inc. | Dominion Energy, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.350%, 08/15/2032 (f) | &nbsp;&nbsp;&nbsp; 4.350%, 08/15/2032 (f) | 1415000 | 1327237 |
| Occidental Petroleum Corp. | Occidental Petroleum Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 4.300%, 08/15/2039 | &nbsp;&nbsp;&nbsp; 4.300%, 08/15/2039 | 260000 | 211042 |
| Phillips 66 | Phillips 66 |  |  |
| &nbsp;&nbsp;&nbsp; 1.300%, 02/15/2026 | &nbsp;&nbsp;&nbsp; 1.300%, 02/15/2026 | 1290000 | 1157524 |
| Pioneer Natural Resources Co. | Pioneer Natural Resources Co. |  |  |
| &nbsp;&nbsp;&nbsp; 2.150%, 01/15/2031 | &nbsp;&nbsp;&nbsp; 2.150%, 01/15/2031 | 997000 | 803918 |
|  |  |  | 3784366 |
| **Other Information Services - 0.16%** | **Other Information Services - 0.16%** |  |  |
| Meta Platforms, Inc. | Meta Platforms, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.450%, 08/15/2052 (b) | &nbsp;&nbsp;&nbsp; 4.450%, 08/15/2052 (b) | 815000 | 664421 |
| **Petroleum and Coal Products Manufacturing - 0.19%** | **Petroleum and Coal Products Manufacturing - 0.19%** |  |  |
| Marathon Petroleum Corp. | Marathon Petroleum Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 4.700%, 05/01/2025 | &nbsp;&nbsp;&nbsp; 4.700%, 05/01/2025 | 775000 | 768282 |
| **Pipeline Transportation - 0.89%** | **Pipeline Transportation - 0.89%** |  |  |
| Antero Midstream Partners LP / Antero Midstream Finance Corp. | Antero Midstream Partners LP / Antero Midstream Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 5.375%, 06/15/2029 (b) | &nbsp;&nbsp;&nbsp; 5.375%, 06/15/2029 (b) | 225000 | 207823 |
| Buckeye Partners LP | Buckeye Partners LP |  |  |
| &nbsp;&nbsp;&nbsp; 3.950%, 12/01/2026 | &nbsp;&nbsp;&nbsp; 3.950%, 12/01/2026 | 75000 | 66308 |
| DT Midstream, Inc. | DT Midstream, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.125%, 06/15/2029 (b) | &nbsp;&nbsp;&nbsp; 4.125%, 06/15/2029 (b) | 125000 | 110283 |
| Energy Transfer LP | Energy Transfer LP |  |  |
| &nbsp;&nbsp;&nbsp; 6.625% to 02/15/2028, then 3 Month LIBOR USD + 4.155% (a)(h) | &nbsp;&nbsp;&nbsp; 6.625% to 02/15/2028, then 3 Month LIBOR USD + 4.155% (a)(h) | 785000 | 574031 |
| &nbsp;&nbsp;&nbsp; 7.125% to 05/15/2030, then 5 Year CMT Rate + 5.306% (a)(h) | &nbsp;&nbsp;&nbsp; 7.125% to 05/15/2030, then 5 Year CMT Rate + 5.306% (a)(h) | 1055000 | 888837 |
| EQM Midstream Partners LP | EQM Midstream Partners LP |  |  |
| &nbsp;&nbsp;&nbsp; 5.500%, 07/15/2028 | &nbsp;&nbsp;&nbsp; 5.500%, 07/15/2028 | 350000 | 324730 |
| MPLX LP | MPLX LP |  |  |
| &nbsp;&nbsp;&nbsp; 4.700%, 04/15/2048 | &nbsp;&nbsp;&nbsp; 4.700%, 04/15/2048 | 815000 | 656110 |
| Plains All American Pipeline LP / PAA Finance Corp. | Plains All American Pipeline LP / PAA Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 4.650%, 10/15/2025 | &nbsp;&nbsp;&nbsp; 4.650%, 10/15/2025 | 780000 | 767815 |
| Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp. | Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 6.000%, 09/01/2031 (b) | &nbsp;&nbsp;&nbsp; 6.000%, 09/01/2031 (b) | 110000 | 98236 |
|  |  |  | 3694173 |
| **Plastics and Rubber Products Manufacturing - 0.03%** | **Plastics and Rubber Products Manufacturing - 0.03%** |  |  |
| Goodyear Tire & Rubber Co. | Goodyear Tire & Rubber Co. |  |  |
| &nbsp;&nbsp;&nbsp; 5.250%, 04/30/2031 | &nbsp;&nbsp;&nbsp; 5.250%, 04/30/2031 | 125000 | 107096 |
| **Professional, Scientific, and Technical Services - 0.38%** | **Professional, Scientific, and Technical Services - 0.38%** |  |  |
| Presidio Holdings, Inc. | Presidio Holdings, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.875%, 02/01/2027 (b) | &nbsp;&nbsp;&nbsp; 4.875%, 02/01/2027 (b) | 120000 | 112176 |
| ServiceNow, Inc. | ServiceNow, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 1.400%, 09/01/2030 | &nbsp;&nbsp;&nbsp; 1.400%, 09/01/2030 | 1894000 | 1461674 |
|  |  |  | 1573850 |
| **Publishing Industries (except Internet) - 1.33%** | **Publishing Industries (except Internet) - 1.33%** |  |  |
| Microsoft Corp. | Microsoft Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 3.125%, 11/03/2025 | &nbsp;&nbsp;&nbsp; 3.125%, 11/03/2025 | 2676000 | 2600787 |
| Oracle Corp. | Oracle Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 2.875%, 03/25/2031 | &nbsp;&nbsp;&nbsp; 2.875%, 03/25/2031 | 1045000 | 872979 |
| &nbsp;&nbsp;&nbsp; 4.000%, 07/15/2046 | &nbsp;&nbsp;&nbsp; 4.000%, 07/15/2046 | 615000 | 452441 |
| &nbsp;&nbsp;&nbsp; 6.900%, 11/09/2052 | &nbsp;&nbsp;&nbsp; 6.900%, 11/09/2052 | 1240000 | 1363471 |
| Ziff Davis, Inc. | Ziff Davis, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.625%, 10/15/2030 (b) | &nbsp;&nbsp;&nbsp; 4.625%, 10/15/2030 (b) | 255000 | 221759 |
|  |  |  | 5511437 |
| **Real Estate - 0.63%** | **Real Estate - 0.63%** |  |  |
| Public Storage | Public Storage |  |  |
| &nbsp;&nbsp;&nbsp; 2.300%, 05/01/2031 | &nbsp;&nbsp;&nbsp; 2.300%, 05/01/2031 | 2787000 | 2301026 |
| RHP Hotel Properties LP / RHP Finance Corp. | RHP Hotel Properties LP / RHP Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 4.750%, 10/15/2027 | &nbsp;&nbsp;&nbsp; 4.750%, 10/15/2027 | 140000 | 128058 |
| Uniti Group LP / Uniti Fiber Holdings Inc / CSL Capital LLC | Uniti Group LP / Uniti Fiber Holdings Inc / CSL Capital LLC |  |  |
| &nbsp;&nbsp;&nbsp; 7.875%, 02/15/2025 (b) | &nbsp;&nbsp;&nbsp; 7.875%, 02/15/2025 (b) | 190000 | 191112 |
|  |  |  | 2620196 |
| **Rental and Leasing Services - 0.17%** | **Rental and Leasing Services - 0.17%** |  |  |
| Air Lease Corp. | Air Lease Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 2.300%, 02/01/2025 | &nbsp;&nbsp;&nbsp; 2.300%, 02/01/2025 | 655000 | 609621 |
| Harsco Corp. | Harsco Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 5.750%, 07/31/2027 (b) | &nbsp;&nbsp;&nbsp; 5.750%, 07/31/2027 (b) | 110000 | 89009 |
|  |  |  | 698630 |
| **Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 4.28%** | **Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 4.28%** |  |  |
| BAT Capital Corp. | BAT Capital Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 3.222%, 08/15/2024 | &nbsp;&nbsp;&nbsp; 3.222%, 08/15/2024 | 222000 | 213884 |
| &nbsp;&nbsp;&nbsp; 3.557%, 08/15/2027 | &nbsp;&nbsp;&nbsp; 3.557%, 08/15/2027 | 220000 | 200526 |
| &nbsp;&nbsp;&nbsp; 3.734%, 09/25/2040 | &nbsp;&nbsp;&nbsp; 3.734%, 09/25/2040 | 665000 | 462474 |
| Charles Schwab Corp. | Charles Schwab Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 2.300%, 05/13/2031 | &nbsp;&nbsp;&nbsp; 2.300%, 05/13/2031 | 1725000 | 1422215 |
| CME Group, Inc. | CME Group, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 3.000%, 03/15/2025 | &nbsp;&nbsp;&nbsp; 3.000%, 03/15/2025 | 1085000 | 1049605 |
| CommScope, Inc. | CommScope, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 8.250%, 03/01/2027 (b)(f) | &nbsp;&nbsp;&nbsp; 8.250%, 03/01/2027 (b)(f) | 377000 | 324220 |
| Goldman Sachs Group, Inc. | Goldman Sachs Group, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 3.850%, 01/26/2027 | &nbsp;&nbsp;&nbsp; 3.850%, 01/26/2027 | 1375000 | 1320179 |
| &nbsp;&nbsp;&nbsp; 3.800%, 03/15/2030 | &nbsp;&nbsp;&nbsp; 3.800%, 03/15/2030 | 1450000 | 1313852 |
| &nbsp;&nbsp;&nbsp; 2.615% to 04/22/2031, then SOFR + 1.281%, 04/22/2032 (a) | &nbsp;&nbsp;&nbsp; 2.615% to 04/22/2031, then SOFR + 1.281%, 04/22/2032 (a) | 1040000 | 839357 |
| &nbsp;&nbsp;&nbsp; 2.383% to 07/21/2031, then SOFR + 1.248%, 07/21/2032 (a) | &nbsp;&nbsp;&nbsp; 2.383% to 07/21/2031, then SOFR + 1.248%, 07/21/2032 (a) | 1315000 | 1035999 |
| &nbsp;&nbsp;&nbsp; 4.017% to 10/31/2037, then 3 Month LIBOR USD + 1.373%, 10/31/2038 (a) | &nbsp;&nbsp;&nbsp; 4.017% to 10/31/2037, then 3 Month LIBOR USD + 1.373%, 10/31/2038 (a) | 250000 | 209981 |
| Morgan Stanley | Morgan Stanley |  |  |
| &nbsp;&nbsp;&nbsp; 0.791% to 01/22/2024, then SOFR + 0.509%, 01/22/2025 (a)(f) | &nbsp;&nbsp;&nbsp; 0.791% to 01/22/2024, then SOFR + 0.509%, 01/22/2025 (a)(f) | 1300000 | 1222568 |
| &nbsp;&nbsp;&nbsp; 6.250%, 08/09/2026 | &nbsp;&nbsp;&nbsp; 6.250%, 08/09/2026 | 2436000 | 2552068 |
| &nbsp;&nbsp;&nbsp; 3.950%, 04/23/2027 | &nbsp;&nbsp;&nbsp; 3.950%, 04/23/2027 | 935000 | 899310 |
| &nbsp;&nbsp;&nbsp; 3.591% to 07/22/2027, then 3 Month LIBOR USD + 1.340%, 07/22/2028 (a) | &nbsp;&nbsp;&nbsp; 3.591% to 07/22/2027, then 3 Month LIBOR USD + 1.340%, 07/22/2028 (a) | 1625000 | 1497826 |
| &nbsp;&nbsp;&nbsp; 2.699% to 01/22/2030, then SOFR + 1.143%, 01/22/2031 (a) | &nbsp;&nbsp;&nbsp; 2.699% to 01/22/2030, then SOFR + 1.143%, 01/22/2031 (a) | 1190000 | 995549 |
| &nbsp;&nbsp;&nbsp; 2.239% to 07/21/2031, then SOFR + 1.178%, 07/21/2032 (a) | &nbsp;&nbsp;&nbsp; 2.239% to 07/21/2031, then SOFR + 1.178%, 07/21/2032 (a) | 1670000 | 1298932 |
| &nbsp;&nbsp;&nbsp; 5.297% to 04/20/2032, then SOFR + 2.620%, 04/20/2037 (a) | &nbsp;&nbsp;&nbsp; 5.297% to 04/20/2032, then SOFR + 2.620%, 04/20/2037 (a) | 480000 | 445825 |
| MPH Acquisition Holdings LLC | MPH Acquisition Holdings LLC |  |  |
| &nbsp;&nbsp;&nbsp; 5.500%, 09/01/2028 (b)(f) | &nbsp;&nbsp;&nbsp; 5.500%, 09/01/2028 (b)(f) | 205000 | 163976 |
| Prime Security Services Borrower LLC / Prime Finance, Inc. | Prime Security Services Borrower LLC / Prime Finance, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 5.750%, 04/15/2026 (b) | &nbsp;&nbsp;&nbsp; 5.750%, 04/15/2026 (b) | 230000 | 225788 |
|  |  |  | 17694134 |
| **Support Activities for Mining - 0.82%** | **Support Activities for Mining - 0.82%** |  |  |
| ConocoPhillips Co. | ConocoPhillips Co. |  |  |
| &nbsp;&nbsp;&nbsp; 3.800%, 03/15/2052 | &nbsp;&nbsp;&nbsp; 3.800%, 03/15/2052 | 475000 | 382878 |
| Diamondback Energy, Inc. | Diamondback Energy, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 3.125%, 03/24/2031 | &nbsp;&nbsp;&nbsp; 3.125%, 03/24/2031 | 1310000 | 1099541 |
| &nbsp;&nbsp;&nbsp; 6.250%, 03/15/2033 | &nbsp;&nbsp;&nbsp; 6.250%, 03/15/2033 | 1275000 | 1315306 |
| Hess Corp. | Hess Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 5.600%, 02/15/2041 | &nbsp;&nbsp;&nbsp; 5.600%, 02/15/2041 | 470000 | 451672 |
| Hilcorp Energy I LP / Hilcorp Finance Co. | Hilcorp Energy I LP / Hilcorp Finance Co. |  |  |
| &nbsp;&nbsp;&nbsp; 6.250%, 11/01/2028 (b) | &nbsp;&nbsp;&nbsp; 6.250%, 11/01/2028 (b) | 160000 | 152550 |
|  |  |  | 3401947 |
| **Telecommunications - 2.62%** | **Telecommunications - 2.62%** |  |  |
| AT&T, Inc. | AT&T, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 2.550%, 12/01/2033 | &nbsp;&nbsp;&nbsp; 2.550%, 12/01/2033 | 1100000 | 860096 |
| &nbsp;&nbsp;&nbsp; 3.650%, 06/01/2051 | &nbsp;&nbsp;&nbsp; 3.650%, 06/01/2051 | 845000 | 614922 |
| &nbsp;&nbsp;&nbsp; 3.500%, 09/15/2053 | &nbsp;&nbsp;&nbsp; 3.500%, 09/15/2053 | 265000 | 185473 |
| &nbsp;&nbsp;&nbsp; 3.550%, 09/15/2055 | &nbsp;&nbsp;&nbsp; 3.550%, 09/15/2055 | 184000 | 127273 |
| &nbsp;&nbsp;&nbsp; 3.650%, 09/15/2059 | &nbsp;&nbsp;&nbsp; 3.650%, 09/15/2059 | 1018000 | 698766 |
| Frontier Communications Holdings LLC | Frontier Communications Holdings LLC |  |  |
| &nbsp;&nbsp;&nbsp; 5.875%, 10/15/2027 (b) | &nbsp;&nbsp;&nbsp; 5.875%, 10/15/2027 (b) | 235000 | 222075 |
| Lumen Technologies, Inc. | Lumen Technologies, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.500%, 01/15/2029 (b) | &nbsp;&nbsp;&nbsp; 4.500%, 01/15/2029 (b) | 210000 | 142070 |
| T-Mobile USA, Inc. | T-Mobile USA, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 2.875%, 02/15/2031 | &nbsp;&nbsp;&nbsp; 2.875%, 02/15/2031 | 125000 | 104608 |
| &nbsp;&nbsp;&nbsp; 5.200%, 01/15/2033 (f) | &nbsp;&nbsp;&nbsp; 5.200%, 01/15/2033 (f) | 650000 | 650286 |
| &nbsp;&nbsp;&nbsp; 4.375%, 04/15/2040 | &nbsp;&nbsp;&nbsp; 4.375%, 04/15/2040 | 550000 | 475922 |
| &nbsp;&nbsp;&nbsp; 3.000%, 02/15/2041 | &nbsp;&nbsp;&nbsp; 3.000%, 02/15/2041 | 1186000 | 853151 |
| &nbsp;&nbsp;&nbsp; 4.500%, 04/15/2050 | &nbsp;&nbsp;&nbsp; 4.500%, 04/15/2050 | 645000 | 542220 |
| &nbsp;&nbsp;&nbsp; 3.300%, 02/15/2051 | &nbsp;&nbsp;&nbsp; 3.300%, 02/15/2051 | 350000 | 241730 |
| Verizon Communications, Inc. | Verizon Communications, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.329%, 09/21/2028 | &nbsp;&nbsp;&nbsp; 4.329%, 09/21/2028 | 2494000 | 2422306 |
| &nbsp;&nbsp;&nbsp; 4.016%, 12/03/2029 | &nbsp;&nbsp;&nbsp; 4.016%, 12/03/2029 | 400000 | 376708 |
| &nbsp;&nbsp;&nbsp; 2.355%, 03/15/2032 | &nbsp;&nbsp;&nbsp; 2.355%, 03/15/2032 | 2360000 | 1896079 |
| &nbsp;&nbsp;&nbsp; 2.987%, 10/30/2056 | &nbsp;&nbsp;&nbsp; 2.987%, 10/30/2056 | 660000 | 415620 |
|  |  |  | 10829305 |
| **Transportation Equipment Manufacturing - 2.11%** | **Transportation Equipment Manufacturing - 2.11%** |  |  |
| Boeing Co. | Boeing Co. |  |  |
| &nbsp;&nbsp;&nbsp; 4.875%, 05/01/2025 (f) | &nbsp;&nbsp;&nbsp; 4.875%, 05/01/2025 (f) | 1371000 | 1357552 |
| &nbsp;&nbsp;&nbsp; 3.900%, 05/01/2049 | &nbsp;&nbsp;&nbsp; 3.900%, 05/01/2049 | 185000 | 130651 |
| &nbsp;&nbsp;&nbsp; 5.805%, 05/01/2050 | &nbsp;&nbsp;&nbsp; 5.805%, 05/01/2050 | 2125000 | 1995188 |
| Ford Motor Co. | Ford Motor Co. |  |  |
| &nbsp;&nbsp;&nbsp; 4.750%, 01/15/2043 | &nbsp;&nbsp;&nbsp; 4.750%, 01/15/2043 | 90000 | 66698 |
| General Motors Co. | General Motors Co. |  |  |
| &nbsp;&nbsp;&nbsp; 6.125%, 10/01/2025 | &nbsp;&nbsp;&nbsp; 6.125%, 10/01/2025 | 1448000 | 1466502 |
| Lockheed Martin Corp. | Lockheed Martin Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 5.250%, 01/15/2033 | &nbsp;&nbsp;&nbsp; 5.250%, 01/15/2033 | 375000 | 388996 |
| &nbsp;&nbsp;&nbsp; 5.900%, 11/15/2063 | &nbsp;&nbsp;&nbsp; 5.900%, 11/15/2063 | 490000 | 535555 |
| Raytheon Technologies Corp. | Raytheon Technologies Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 7.500%, 09/15/2029 | &nbsp;&nbsp;&nbsp; 7.500%, 09/15/2029 | 2213000 | 2516177 |
| TransDigm, Inc. | TransDigm, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 6.250%, 03/15/2026 (b)(f) | &nbsp;&nbsp;&nbsp; 6.250%, 03/15/2026 (b)(f) | 275000 | 271245 |
|  |  |  | 8728564 |
| **Utilities - 2.19%** | **Utilities - 2.19%** |  |  |
| American Electric Power Co, Inc. | American Electric Power Co, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 5.950%, 11/01/2032 (f) | &nbsp;&nbsp;&nbsp; 5.950%, 11/01/2032 (f) | 940000 | 983707 |
| Calpine Corp. | Calpine Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 4.500%, 02/15/2028 (b) | &nbsp;&nbsp;&nbsp; 4.500%, 02/15/2028 (b) | 310000 | 283572 |
| DTE Energy Co. | DTE Energy Co. |  |  |
| &nbsp;&nbsp;&nbsp; 3.400%, 06/15/2029 | &nbsp;&nbsp;&nbsp; 3.400%, 06/15/2029 | 607000 | 541528 |
| Exelon Corp. | Exelon Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 4.700%, 04/15/2050 | &nbsp;&nbsp;&nbsp; 4.700%, 04/15/2050 | 475000 | 417613 |
| Kinder Morgan Energy Partners LP | Kinder Morgan Energy Partners LP |  |  |
| &nbsp;&nbsp;&nbsp; 4.150%, 02/01/2024 | &nbsp;&nbsp;&nbsp; 4.150%, 02/01/2024 | 755000 | 745086 |
| Kinder Morgan, Inc. | Kinder Morgan, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 5.550%, 06/01/2045 | &nbsp;&nbsp;&nbsp; 5.550%, 06/01/2045 | 1745000 | 1622502 |
| New Fortress Energy, Inc. | New Fortress Energy, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 6.500%, 09/30/2026 (b) | &nbsp;&nbsp;&nbsp; 6.500%, 09/30/2026 (b) | 95000 | 91941 |
| Pacific Gas and Electric Co. | Pacific Gas and Electric Co. |  |  |
| &nbsp;&nbsp;&nbsp; 2.500%, 02/01/2031 | &nbsp;&nbsp;&nbsp; 2.500%, 02/01/2031 | 1405000 | 1098979 |
| Southern Co. | Southern Co. |  |  |
| &nbsp;&nbsp;&nbsp; 2.950%, 07/01/2023 (f) | &nbsp;&nbsp;&nbsp; 2.950%, 07/01/2023 (f) | 313000 | 309559 |
| Vistra Operations Co. LLC | Vistra Operations Co. LLC |  |  |
| &nbsp;&nbsp;&nbsp; 4.375%, 05/01/2029 (b) | &nbsp;&nbsp;&nbsp; 4.375%, 05/01/2029 (b) | 265000 | 233333 |
| WEC Energy Group, Inc. | WEC Energy Group, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 5.150%, 10/01/2027 | &nbsp;&nbsp;&nbsp; 5.150%, 10/01/2027 | 1795000 | 1818592 |
| Wisconsin Electric Power Co. | Wisconsin Electric Power Co. |  |  |
| &nbsp;&nbsp;&nbsp; 4.750%, 09/30/2032 | &nbsp;&nbsp;&nbsp; 4.750%, 09/30/2032 | 905000 | 893937 |
|  |  |  | 9040349 |
| **Warehousing and Storage - 0.09%** | **Warehousing and Storage - 0.09%** |  |  |
| Iron Mountain, Inc. | Iron Mountain, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 5.250%, 03/15/2028 (b) | &nbsp;&nbsp;&nbsp; 5.250%, 03/15/2028 (b) | 45000 | 42132 |
| &nbsp;&nbsp;&nbsp; 4.875%, 09/15/2029 (b)(f) | &nbsp;&nbsp;&nbsp; 4.875%, 09/15/2029 (b)(f) | 240000 | 211492 |
| &nbsp;&nbsp;&nbsp; 5.250%, 07/15/2030 (b) | &nbsp;&nbsp;&nbsp; 5.250%, 07/15/2030 (b) | 150000 | 135190 |
|  |  |  | 388814 |
| **Wood Product Manufacturing - 0.01%** | **Wood Product Manufacturing - 0.01%** |  |  |
| Standard Industries, Inc. | Standard Industries, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 4.750%, 01/15/2028 (b)(f) | &nbsp;&nbsp;&nbsp; 4.750%, 01/15/2028 (b)(f) | 65000 | 59007 |
| **TOTAL CORPORATE BONDS (Cost $174,053,416)** | **TOTAL CORPORATE BONDS (Cost $174,053,416)** |  | **153746774** |
| **FOREIGN CORPORATE BONDS - 8.22%** | **FOREIGN CORPORATE BONDS - 8.22%** |  |  |
| **Air Transportation - 0.82%** | **Air Transportation - 0.82%** |  |  |
| Delta Air Lines, Inc. / SkyMiles IP Ltd. | Delta Air Lines, Inc. / SkyMiles IP Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 4.500%, 10/20/2025 (b) | &nbsp;&nbsp;&nbsp; 4.500%, 10/20/2025 (b) | 3500000 | 3409385 |
| **Chemical Manufacturing - 0.04%** | **Chemical Manufacturing - 0.04%** |  |  |
| NOVA Chemicals Corp. | NOVA Chemicals Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 4.875%, 06/01/2024 (b) | &nbsp;&nbsp;&nbsp; 4.875%, 06/01/2024 (b) | 120000 | 116924 |
| &nbsp;&nbsp;&nbsp; 5.250%, 06/01/2027 (b) | &nbsp;&nbsp;&nbsp; 5.250%, 06/01/2027 (b) | 75000 | 67412 |
|  |  |  | 184336 |
| **Computer and Electronic Product Manufacturing - 0.39%** | **Computer and Electronic Product Manufacturing - 0.39%** |  |  |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust | AerCap Ireland Capital DAC / AerCap Global Aviation Trust |  |  |
| &nbsp;&nbsp;&nbsp; 4.450%, 10/01/2025 | &nbsp;&nbsp;&nbsp; 4.450%, 10/01/2025 | 800000 | 767592 |
| NXP BV / NXP Funding LLC / NXP USA, Inc. | NXP BV / NXP Funding LLC / NXP USA, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 5.000%, 01/15/2033 | &nbsp;&nbsp;&nbsp; 5.000%, 01/15/2033 | 905000 | 856218 |
|  |  |  | 1623810 |
| **Credit Intermediation and Related Activities - 4.76%** | **Credit Intermediation and Related Activities - 4.76%** |  |  |
| ABN AMRO Bank NV | ABN AMRO Bank NV |  |  |
| &nbsp;&nbsp;&nbsp; 3.324% to 03/13/2032, then 5 Year CMT Rate + 1.900%, 03/13/2037 (a)(b) | &nbsp;&nbsp;&nbsp; 3.324% to 03/13/2032, then 5 Year CMT Rate + 1.900%, 03/13/2037 (a)(b) | 600000 | 433570 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust | AerCap Ireland Capital DAC / AerCap Global Aviation Trust |  |  |
| &nbsp;&nbsp;&nbsp; 3.300%, 01/30/2032 | &nbsp;&nbsp;&nbsp; 3.300%, 01/30/2032 | 880000 | 698526 |
| Banco Santander SA | Banco Santander SA |  |  |
| &nbsp;&nbsp;&nbsp; 1.849%, 03/25/2026 | &nbsp;&nbsp;&nbsp; 1.849%, 03/25/2026 | 1600000 | 1409206 |
| &nbsp;&nbsp;&nbsp; 5.294%, 08/18/2027 | &nbsp;&nbsp;&nbsp; 5.294%, 08/18/2027 | 1400000 | 1359616 |
| &nbsp;&nbsp;&nbsp; 3.490%, 05/28/2030 | &nbsp;&nbsp;&nbsp; 3.490%, 05/28/2030 | 400000 | 335735 |
| Barclays PLC | Barclays PLC |  |  |
| &nbsp;&nbsp;&nbsp; 2.852% to 05/07/2025, then SOFR + 2.714%, 05/07/2026 (a) | &nbsp;&nbsp;&nbsp; 2.852% to 05/07/2025, then SOFR + 2.714%, 05/07/2026 (a) | 2145000 | 1977071 |
| &nbsp;&nbsp;&nbsp; 3.564% to 09/23/2030, then 5 Year CMT Rate + 2.900%, 09/23/2035 (a) | &nbsp;&nbsp;&nbsp; 3.564% to 09/23/2030, then 5 Year CMT Rate + 2.900%, 09/23/2035 (a) | 1000000 | 757956 |
| BAT International Finance PLC | BAT International Finance PLC |  |  |
| &nbsp;&nbsp;&nbsp; 1.668%, 03/25/2026 | &nbsp;&nbsp;&nbsp; 1.668%, 03/25/2026 | 1590000 | 1408466 |
| BNP Paribas SA | BNP Paribas SA |  |  |
| &nbsp;&nbsp;&nbsp; 2.219% to 06/09/2025, then SOFR + 2.074%, 06/09/2026 (a)(b) | &nbsp;&nbsp;&nbsp; 2.219% to 06/09/2025, then SOFR + 2.074%, 06/09/2026 (a)(b) | 1015000 | 931688 |
| &nbsp;&nbsp;&nbsp; 3.052% to 01/13/2030, then SOFR + 1.507%, 01/13/2031 (a)(b) | &nbsp;&nbsp;&nbsp; 3.052% to 01/13/2030, then SOFR + 1.507%, 01/13/2031 (a)(b) | 615000 | 509100 |
| Credit Suisse Group AG | Credit Suisse Group AG |  |  |
| &nbsp;&nbsp;&nbsp; 3.800%, 06/09/2023 | &nbsp;&nbsp;&nbsp; 3.800%, 06/09/2023 | 860000 | 821314 |
| &nbsp;&nbsp;&nbsp; 2.997% to 12/14/2022, then 3 Month LIBOR USD + 1.200%, 12/14/2023 (a)(b) | &nbsp;&nbsp;&nbsp; 2.997% to 12/14/2022, then 3 Month LIBOR USD + 1.200%, 12/14/2023 (a)(b) | 1145000 | 1133563 |
| &nbsp;&nbsp;&nbsp; 6.537% to 08/12/2032, then SOFR + 3.920%, 08/12/2033 (a)(b)(f) | &nbsp;&nbsp;&nbsp; 6.537% to 08/12/2032, then SOFR + 3.920%, 08/12/2033 (a)(b)(f) | 950000 | 830619 |
| &nbsp;&nbsp;&nbsp; 9.016% to 11/15/2032, then SOFR + 5.020%, 11/15/2033 (a)(b) | &nbsp;&nbsp;&nbsp; 9.016% to 11/15/2032, then SOFR + 5.020%, 11/15/2033 (a)(b) | 770000 | 777607 |
| HSBC Holdings PLC | HSBC Holdings PLC |  |  |
| &nbsp;&nbsp;&nbsp; 2.633% to 11/07/2024, then SOFR + 1.402%, 11/07/2025 (a) | &nbsp;&nbsp;&nbsp; 2.633% to 11/07/2024, then SOFR + 1.402%, 11/07/2025 (a) | 1417000 | 1317286 |
| &nbsp;&nbsp;&nbsp; 2.099% to 06/04/2025, then SOFR + 1.929%, 06/04/2026 (a) | &nbsp;&nbsp;&nbsp; 2.099% to 06/04/2025, then SOFR + 1.929%, 06/04/2026 (a) | 200000 | 181223 |
| &nbsp;&nbsp;&nbsp; 4.950%, 03/31/2030 | &nbsp;&nbsp;&nbsp; 4.950%, 03/31/2030 | 285000 | 272688 |
| &nbsp;&nbsp;&nbsp; 6.000% to 05/22/2027, then 5 Year Mid Swap Rate USD + 3.746% (a)(h) | &nbsp;&nbsp;&nbsp; 6.000% to 05/22/2027, then 5 Year Mid Swap Rate USD + 3.746% (a)(h) | 910000 | 807807 |
| Intesa Sanpaolo SpA | Intesa Sanpaolo SpA |  |  |
| &nbsp;&nbsp;&nbsp; 4.198% to 06/01/2031, then 1 Year CMT Rate + 2.600%, 06/01/2032 (a)(b) | &nbsp;&nbsp;&nbsp; 4.198% to 06/01/2031, then 1 Year CMT Rate + 2.600%, 06/01/2032 (a)(b) | 770000 | 566713 |
| &nbsp;&nbsp;&nbsp; 8.248% to 11/21/2032, then 1 Year CMT Rate + 4.400%, 11/21/2033 (a)(b) | &nbsp;&nbsp;&nbsp; 8.248% to 11/21/2032, then 1 Year CMT Rate + 4.400%, 11/21/2033 (a)(b) | 710000 | 725023 |
| Virgin Media Vendor Financing Notes IV DAC | Virgin Media Vendor Financing Notes IV DAC |  |  |
| &nbsp;&nbsp;&nbsp; 5.000%, 07/15/2028 (b) | &nbsp;&nbsp;&nbsp; 5.000%, 07/15/2028 (b) | 350000 | 300494 |
| UBS Group AG | UBS Group AG |  |  |
| &nbsp;&nbsp;&nbsp; 4.751% to 05/12/2027, then 1 Year CMT Rate + 1.750%, 05/12/2028 (a)(b) | &nbsp;&nbsp;&nbsp; 4.751% to 05/12/2027, then 1 Year CMT Rate + 1.750%, 05/12/2028 (a)(b) | 1170000 | 1123156 |
| Westpac Banking Corp. | Westpac Banking Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 2.668% to 11/15/2030, then 5 Year CMT Rate + 1.750%, 11/15/2035 (a) | &nbsp;&nbsp;&nbsp; 2.668% to 11/15/2030, then 5 Year CMT Rate + 1.750%, 11/15/2035 (a) | 1370000 | 1006885 |
|  |  |  | 19685312 |
| **Food Manufacturing - 0.15%** | **Food Manufacturing - 0.15%** |  |  |
| Grupo Bimbo SAB de CV | Grupo Bimbo SAB de CV |  |  |
| &nbsp;&nbsp;&nbsp; 4.700%, 11/10/2047 (b) | &nbsp;&nbsp;&nbsp; 4.700%, 11/10/2047 (b) | 730000 | 631317 |
| **Management of Companies and Enterprises - 1.44%** | **Management of Companies and Enterprises - 1.44%** |  |  |
| Altice France SA | Altice France SA |  |  |
| &nbsp;&nbsp;&nbsp; 5.500%, 01/15/2028 (b) | &nbsp;&nbsp;&nbsp; 5.500%, 01/15/2028 (b) | 405000 | 338106 |
| Carnival Corp. | Carnival Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 10.500%, 02/01/2026 (b) | &nbsp;&nbsp;&nbsp; 10.500%, 02/01/2026 (b) | 95000 | 96287 |
| &nbsp;&nbsp;&nbsp; 7.625%, 03/01/2026 (b)(f) | &nbsp;&nbsp;&nbsp; 7.625%, 03/01/2026 (b)(f) | 340000 | 287115 |
| Credit Suisse Group AG | Credit Suisse Group AG |  |  |
| &nbsp;&nbsp;&nbsp; 3.869% to 01/12/2028, then 3 Month LIBOR USD + 1.410%, 01/12/2029 (a)(b) | &nbsp;&nbsp;&nbsp; 3.869% to 01/12/2028, then 3 Month LIBOR USD + 1.410%, 01/12/2029 (a)(b) | 250000 | 199428 |
| &nbsp;&nbsp;&nbsp; 4.194% to 04/01/2030, then SOFR + 3.730%, 04/01/2031 (a)(b) | &nbsp;&nbsp;&nbsp; 4.194% to 04/01/2030, then SOFR + 3.730%, 04/01/2031 (a)(b) | 560000 | 423248 |
| &nbsp;&nbsp;&nbsp; 3.091% to 05/14/2031, then SOFR + 1.730%, 05/14/2032 (a)(b) | &nbsp;&nbsp;&nbsp; 3.091% to 05/14/2031, then SOFR + 1.730%, 05/14/2032 (a)(b) | 830000 | 564331 |
| Lloyds Banking Group PLC | Lloyds Banking Group PLC |  |  |
| &nbsp;&nbsp;&nbsp; 1.627% to 05/11/2026, then 1 Year CMT Rate + 0.850%, 05/11/2027 (a) | &nbsp;&nbsp;&nbsp; 1.627% to 05/11/2026, then 1 Year CMT Rate + 0.850%, 05/11/2027 (a) | 1610000 | 1385846 |
| &nbsp;&nbsp;&nbsp; 7.953% to 11/15/2032, then 1 Year CMT Rate + 3.750%, 11/15/2033 (a) | &nbsp;&nbsp;&nbsp; 7.953% to 11/15/2032, then 1 Year CMT Rate + 3.750%, 11/15/2033 (a) | 430000 | 451799 |
| &nbsp;&nbsp;&nbsp; 3.369% to 12/14/2041, then 5 Year CMT Rate + 1.500%, 12/14/2046 (a) | &nbsp;&nbsp;&nbsp; 3.369% to 12/14/2041, then 5 Year CMT Rate + 1.500%, 12/14/2046 (a) | 920000 | 596700 |
| Natwest Group PLC | Natwest Group PLC |  |  |
| &nbsp;&nbsp;&nbsp; 3.032% to 11/28/2030, t hen 5 Year CMT Rate + 2.350%, 11/28/2035 (a)(f) | &nbsp;&nbsp;&nbsp; 3.032% to 11/28/2030, t hen 5 Year CMT Rate + 2.350%, 11/28/2035 (a)(f) | 2170000 | 1590760 |
|  |  |  | 5933620 |
| **Mining (except Oil and Gas) - 0.03%** | **Mining (except Oil and Gas) - 0.03%** |  |  |
| Hudbay Minerals, Inc. | Hudbay Minerals, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 6.125%, 04/01/2029 (b) | &nbsp;&nbsp;&nbsp; 6.125%, 04/01/2029 (b) | 125000 | 112060 |
| **Oil and Gas Extraction - 0.21%** | **Oil and Gas Extraction - 0.21%** |  |  |
| Canadian Natural Resources Ltd. | Canadian Natural Resources Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 6.250%, 03/15/2038 | &nbsp;&nbsp;&nbsp; 6.250%, 03/15/2038 | 850000 | 865387 |
| **Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 0.18%** | **Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 0.18%** |  |  |
| Societe Generale SA | Societe Generale SA |  |  |
| &nbsp;&nbsp;&nbsp; 3.337% to 01/21/2032, then 1 Year CMT Rate + 1.600%, 01/21/2033 (a)(b) | &nbsp;&nbsp;&nbsp; 3.337% to 01/21/2032, then 1 Year CMT Rate + 1.600%, 01/21/2033 (a)(b) | 975000 | 761630 |
| **Support Activities for Transportation - 0.06%** | **Support Activities for Transportation - 0.06%** |  |  |
| American Airlines Inc/AAdvantage Loyalty IP Ltd. | American Airlines Inc/AAdvantage Loyalty IP Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 5.500%, 04/20/2026 (b) | &nbsp;&nbsp;&nbsp; 5.500%, 04/20/2026 (b) | 235000 | 227803 |
| **Telecommunications - 0.10%** | **Telecommunications - 0.10%** |  |  |
| Vodafone Group PLC | Vodafone Group PLC |  |  |
| &nbsp;&nbsp;&nbsp; 4.875%, 06/19/2049 | &nbsp;&nbsp;&nbsp; 4.875%, 06/19/2049 | 500000 | 424661 |
| **Water Transportation - 0.04%** | **Water Transportation - 0.04%** |  |  |
| Royal Caribbean Cruises Ltd. | Royal Caribbean Cruises Ltd. |  |  |
| &nbsp;&nbsp;&nbsp; 5.500%, 04/01/2028 (b) | &nbsp;&nbsp;&nbsp; 5.500%, 04/01/2028 (b) | 205000 | 167569 |
| **TOTAL FOREIGN CORPORATE BONDS (Cost $38,968,957)** | **TOTAL FOREIGN CORPORATE BONDS (Cost $38,968,957)** |  | **34026890** |
| **FOREIGN GOVERNMENT AGENCY ISSUES - 1.31%** | **FOREIGN GOVERNMENT AGENCY ISSUES - 1.31%** |  |  |
| Asian Development Bank | Asian Development Bank |  |  |
| &nbsp;&nbsp;&nbsp; 3.125%, 04/27/2032 | &nbsp;&nbsp;&nbsp; 3.125%, 04/27/2032 | 960000 | 895709 |
| Development Bank of Japan, Inc. | Development Bank of Japan, Inc. |  |  |
| &nbsp;&nbsp;&nbsp; 1.000%, 08/27/2030 (b) | &nbsp;&nbsp;&nbsp; 1.000%, 08/27/2030 (b) | 260000 | 201613 |
| European Investment Bank | European Investment Bank |  |  |
| &nbsp;&nbsp;&nbsp; 3.250%, 11/15/2027 | &nbsp;&nbsp;&nbsp; 3.250%, 11/15/2027 | 235000 | 227417 |
| International Bank for Reconstruction & Development | International Bank for Reconstruction & Development |  |  |
| &nbsp;&nbsp;&nbsp; 3.125%, 06/15/2027 | &nbsp;&nbsp;&nbsp; 3.125%, 06/15/2027 | 640000 | 617276 |
| &nbsp;&nbsp;&nbsp; 3.625%, 09/21/2029 | &nbsp;&nbsp;&nbsp; 3.625%, 09/21/2029 | 640000 | 627595 |
| International Finance Corp. | International Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 3.625%, 09/15/2025 | &nbsp;&nbsp;&nbsp; 3.625%, 09/15/2025 | 660000 | 649199 |
| Japan International Cooperation Agency | Japan International Cooperation Agency |  |  |
| &nbsp;&nbsp;&nbsp; 3.250%, 05/25/2027 | &nbsp;&nbsp;&nbsp; 3.250%, 05/25/2027 | 790000 | 749056 |
| Kreditanstalt fuer Wiederaufbau | Kreditanstalt fuer Wiederaufbau |  |  |
| &nbsp;&nbsp;&nbsp; 3.000%, 05/20/2027 | &nbsp;&nbsp;&nbsp; 3.000%, 05/20/2027 | 740000 | 710844 |
| Province of Ontario Canada | Province of Ontario Canada |  |  |
| &nbsp;&nbsp;&nbsp; 2.125%, 01/21/2032 | &nbsp;&nbsp;&nbsp; 2.125%, 01/21/2032 | 865000 | 726047 |
| **TOTAL FOREIGN GOVERNMENT AGENCY ISSUES (Cost $5,778,044)** | **TOTAL FOREIGN GOVERNMENT AGENCY ISSUES (Cost $5,778,044)** |  | **5404756** |
| **FOREIGN GOVERNMENT NOTES/BONDS - 1.03%** | **FOREIGN GOVERNMENT NOTES/BONDS - 1.03%** |  |  |
| Colombia Government International Bond | Colombia Government International Bond |  |  |
| &nbsp;&nbsp;&nbsp; 4.000%, 02/26/2024 | &nbsp;&nbsp;&nbsp; 4.000%, 02/26/2024 | 590000 | 573746 |
| &nbsp;&nbsp;&nbsp; 3.000%, 01/30/2030 | &nbsp;&nbsp;&nbsp; 3.000%, 01/30/2030 | 570000 | 426966 |
| Dominican Republic International Bond | Dominican Republic International Bond |  |  |
| &nbsp;&nbsp;&nbsp; 6.875%, 01/29/2026 (b) | &nbsp;&nbsp;&nbsp; 6.875%, 01/29/2026 (b) | 330000 | 334234 |
| &nbsp;&nbsp;&nbsp; 6.850%, 01/27/2045 (b) | &nbsp;&nbsp;&nbsp; 6.850%, 01/27/2045 (b) | 560000 | 487900 |
| Hungary Government International Bond | Hungary Government International Bond |  |  |
| &nbsp;&nbsp;&nbsp; 7.625%, 03/29/2041 | &nbsp;&nbsp;&nbsp; 7.625%, 03/29/2041 | 360000 | 393199 |
| Indonesia Government International Bond | Indonesia Government International Bond |  |  |
| &nbsp;&nbsp;&nbsp; 4.350%, 01/08/2027 (b) | &nbsp;&nbsp;&nbsp; 4.350%, 01/08/2027 (b) | 550000 | 544480 |
| Mexico Government International Bond | Mexico Government International Bond |  |  |
| &nbsp;&nbsp;&nbsp; 4.350%, 01/15/2047 | &nbsp;&nbsp;&nbsp; 4.350%, 01/15/2047 | 740000 | 582200 |
| Republic of South Africa Government International Bond | Republic of South Africa Government International Bond |  |  |
| &nbsp;&nbsp;&nbsp; 5.000%, 10/12/2046 | &nbsp;&nbsp;&nbsp; 5.000%, 10/12/2046 | 150000 | 108556 |
| Romanian Government International Bond | Romanian Government International Bond |  |  |
| &nbsp;&nbsp;&nbsp; 6.125%, 01/22/2044 (b) | &nbsp;&nbsp;&nbsp; 6.125%, 01/22/2044 (b) | 505000 | 462712 |
| Saudi Government International Bond | Saudi Government International Bond |  |  |
| &nbsp;&nbsp;&nbsp; 4.500%, 10/26/2046 (b) | &nbsp;&nbsp;&nbsp; 4.500%, 10/26/2046 (b) | 400000 | 352527 |
| **TOTAL FOREIGN GOVERNMENT NOTES/BONDS (Cost $5,075,815)** | **TOTAL FOREIGN GOVERNMENT NOTES/BONDS (Cost $5,075,815)** |  | **4266520** |
| **NON-AGENCY MORTGAGE BACKED SECURITIES - 4.83%** | **NON-AGENCY MORTGAGE BACKED SECURITIES - 4.83%** |  |  |
| Angel Oak Mortgage Trust | Angel Oak Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2019-6, 2.620%, 11/25/2059 (b)(d) | &nbsp;&nbsp;&nbsp; 2019-6, 2.620%, 11/25/2059 (b)(d) | 83452 | 79159 |
| Bank | Bank |  |  |
| &nbsp;&nbsp;&nbsp; 2021-BNK31, 1.739%, 02/15/2054 | &nbsp;&nbsp;&nbsp; 2021-BNK31, 1.739%, 02/15/2054 | 454000 | 383439 |
| &nbsp;&nbsp;&nbsp; 2022-BNK39, 2.928%, 02/15/2055 | &nbsp;&nbsp;&nbsp; 2022-BNK39, 2.928%, 02/15/2055 | 179000 | 151112 |
| BBCMS Mortgage Trust | BBCMS Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2021-C11, 1.502%, 09/15/2054 (d)(e) | &nbsp;&nbsp;&nbsp; 2021-C11, 1.502%, 09/15/2054 (d)(e) | 7966713 | 620284 |
| BB-UBS Trust | BB-UBS Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2012-SHOW, 3.430%, 11/05/2036 (b) | &nbsp;&nbsp;&nbsp; 2012-SHOW, 3.430%, 11/05/2036 (b) | 1646000 | 1529285 |
| Benchmark Mortgage Trust | Benchmark Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2020-B21, 1.978%, 12/17/2053 | &nbsp;&nbsp;&nbsp; 2020-B21, 1.978%, 12/17/2053 | 251000 | 199890 |
| &nbsp;&nbsp;&nbsp; 2021-B23, 1.766%, 02/15/2054 | &nbsp;&nbsp;&nbsp; 2021-B23, 1.766%, 02/15/2054 | 612000 | 517075 |
| &nbsp;&nbsp;&nbsp; 2021-B26, 0.998%, 06/15/2054 (d)(e) | &nbsp;&nbsp;&nbsp; 2021-B26, 0.998%, 06/15/2054 (d)(e) | 9536759 | 476323 |
| &nbsp;&nbsp;&nbsp; 2021-B31 D, 2.250%, 12/15/2054 (b) | &nbsp;&nbsp;&nbsp; 2021-B31 D, 2.250%, 12/15/2054 (b) | 278000 | 157662 |
| &nbsp;&nbsp;&nbsp; 2021-B31 C, 3.195%, 12/15/2054 (d) | &nbsp;&nbsp;&nbsp; 2021-B31 C, 3.195%, 12/15/2054 (d) | 415000 | 298309 |
| BX Commercial Mortgage Trust | BX Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2021-VOLT, 5.525% (1 Month LIBOR USD + 1.650%), 09/15/2036 (b)(c) | &nbsp;&nbsp;&nbsp; 2021-VOLT, 5.525% (1 Month LIBOR USD + 1.650%), 09/15/2036 (b)(c) | 1085000 | 1014575 |
| BX Trust | BX Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2019-OC11, 3.202%, 12/09/2041 (b) | &nbsp;&nbsp;&nbsp; 2019-OC11, 3.202%, 12/09/2041 (b) | 971000 | 818839 |
| BXP Trust | BXP Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2017-GM, 3.379%, 06/13/2039 (b) | &nbsp;&nbsp;&nbsp; 2017-GM, 3.379%, 06/13/2039 (b) | 331000 | 296633 |
| CAMB Commercial Mortgage Trust | CAMB Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2019-LIFE, 5.123% (1 Month LIBOR USD + 1.250%), 12/15/2037 (b)(c) | &nbsp;&nbsp;&nbsp; 2019-LIFE, 5.123% (1 Month LIBOR USD + 1.250%), 12/15/2037 (b)(c) | 978000 | 948060 |
| Citigroup Commercial Mortgage Trust | Citigroup Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2013-GCJ11, 3.732%, 04/10/2046 (d) | &nbsp;&nbsp;&nbsp; 2013-GCJ11, 3.732%, 04/10/2046 (d) | 455000 | 450595 |
| &nbsp;&nbsp;&nbsp; 2013-GC17, 5.095%, 11/10/2046 (d) | &nbsp;&nbsp;&nbsp; 2013-GC17, 5.095%, 11/10/2046 (d) | 145000 | 140009 |
| &nbsp;&nbsp;&nbsp; 2014-GC25, 1.096%, 10/10/2047 (d)(e) | &nbsp;&nbsp;&nbsp; 2014-GC25, 1.096%, 10/10/2047 (d)(e) | 1286214 | 16857 |
| &nbsp;&nbsp;&nbsp; 2015-GC27, 1.460%, 02/10/2048 (d)(e) | &nbsp;&nbsp;&nbsp; 2015-GC27, 1.460%, 02/10/2048 (d)(e) | 930098 | 19900 |
| &nbsp;&nbsp;&nbsp; 2022-GC48, 4.743%, 05/15/2054 (d) | &nbsp;&nbsp;&nbsp; 2022-GC48, 4.743%, 05/15/2054 (d) | 619207 | 588463 |
| COMM Mortgage Trust | COMM Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2012-CCRE4, 3.251%, 10/15/2045 | &nbsp;&nbsp;&nbsp; 2012-CCRE4, 3.251%, 10/15/2045 | 476000 | 458303 |
| &nbsp;&nbsp;&nbsp; 2014-UBS2, 3.472%, 03/10/2047 | &nbsp;&nbsp;&nbsp; 2014-UBS2, 3.472%, 03/10/2047 | 186566 | 183660 |
| &nbsp;&nbsp;&nbsp; 2014-CR16, 1.102%, 04/10/2047 (d)(e) | &nbsp;&nbsp;&nbsp; 2014-CR16, 1.102%, 04/10/2047 (d)(e) | 1217592 | 11988 |
| &nbsp;&nbsp;&nbsp; 2014-LC15, 1.216%, 04/10/2047 (d)(e) | &nbsp;&nbsp;&nbsp; 2014-LC15, 1.216%, 04/10/2047 (d)(e) | 1189742 | 11053 |
| &nbsp;&nbsp;&nbsp; 2014-CR17, 1.111%, 05/10/2047 (d)(e) | &nbsp;&nbsp;&nbsp; 2014-CR17, 1.111%, 05/10/2047 (d)(e) | 1030940 | 9941 |
| &nbsp;&nbsp;&nbsp; 2014-UBS3, 1.216%, 06/10/2047 (d)(e) | &nbsp;&nbsp;&nbsp; 2014-UBS3, 1.216%, 06/10/2047 (d)(e) | 862488 | 9287 |
| &nbsp;&nbsp;&nbsp; 2014-UBS6, 0.985%, 12/10/2047 (d)(e) | &nbsp;&nbsp;&nbsp; 2014-UBS6, 0.985%, 12/10/2047 (d)(e) | 1399773 | 17861 |
| &nbsp;&nbsp;&nbsp; 2014-CCRE21, 3.987%, 12/10/2047 | &nbsp;&nbsp;&nbsp; 2014-CCRE21, 3.987%, 12/10/2047 | 281514 | 266540 |
| Connecticut Avenue Securities Trust | Connecticut Avenue Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2021-R01, 5.071% (SOFR30A + 1.550%), 10/25/2041 (b)(c) | &nbsp;&nbsp;&nbsp; 2021-R01, 5.071% (SOFR30A + 1.550%), 10/25/2041 (b)(c) | 480000 | 461306 |
| &nbsp;&nbsp;&nbsp; 2022-R01, 5.421% (SOFR30A + 1.900%), 12/25/2041 (b)(c) | &nbsp;&nbsp;&nbsp; 2022-R01, 5.421% (SOFR30A + 1.900%), 12/25/2041 (b)(c) | 1070000 | 997845 |
| &nbsp;&nbsp;&nbsp; 2022-R03, 7.021% (SOFR30A + 3.500%), 03/25/2042 (b)(c) | &nbsp;&nbsp;&nbsp; 2022-R03, 7.021% (SOFR30A + 3.500%), 03/25/2042 (b)(c) | 1065000 | 1049098 |
| &nbsp;&nbsp;&nbsp; 2022-R07, 6.497% (SOFR30A + 2.950%), 06/25/2042 (b)(c) | &nbsp;&nbsp;&nbsp; 2022-R07, 6.497% (SOFR30A + 2.950%), 06/25/2042 (b)(c) | 596833 | 600566 |
| CSAIL Commercial Mortgage Trust | CSAIL Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2019-C17, 3.016%, 09/15/2029 | &nbsp;&nbsp;&nbsp; 2019-C17, 3.016%, 09/15/2029 | 850000 | 730146 |
| &nbsp;&nbsp;&nbsp; 2015-C1, 4.044%, 04/15/2050 (d) | &nbsp;&nbsp;&nbsp; 2015-C1, 4.044%, 04/15/2050 (d) | 450000 | 412463 |
| &nbsp;&nbsp;&nbsp; 2015-C2, 0.857%, 06/15/2057 (d)(e) | &nbsp;&nbsp;&nbsp; 2015-C2, 0.857%, 06/15/2057 (d)(e) | 1410730 | 18453 |
| GS Mortgage Securities Trust | GS Mortgage Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2014-GC18, 1.192%, 01/10/2047 (d)(e) | &nbsp;&nbsp;&nbsp; 2014-GC18, 1.192%, 01/10/2047 (d)(e) | 3195758 | 25031 |
| &nbsp;&nbsp;&nbsp; 2014-GC26, 1.086%, 11/10/2047 (d)(e) | &nbsp;&nbsp;&nbsp; 2014-GC26, 1.086%, 11/10/2047 (d)(e) | 1805817 | 26133 |
| &nbsp;&nbsp;&nbsp; 2015-GC34, 3.278%, 10/10/2048 | &nbsp;&nbsp;&nbsp; 2015-GC34, 3.278%, 10/10/2048 | 76158 | 73317 |
| &nbsp;&nbsp;&nbsp; 2020-GC47, 2.377%, 05/12/2053 | &nbsp;&nbsp;&nbsp; 2020-GC47, 2.377%, 05/12/2053 | 73000 | 60248 |
| Hilton USA Trust | Hilton USA Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2016-HHV, 3.719%, 11/05/2038 (b) | &nbsp;&nbsp;&nbsp; 2016-HHV, 3.719%, 11/05/2038 (b) | 283000 | 257990 |
| Hudson Yards Mortgage Trust | Hudson Yards Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2019-55HY, 3.041%, 12/10/2041 (b)(d) | &nbsp;&nbsp;&nbsp; 2019-55HY, 3.041%, 12/10/2041 (b)(d) | 865000 | 735087 |
| J.P. Morgan Chase Commercial Mortgage Securities Trust | J.P. Morgan Chase Commercial Mortgage Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2022-OPO, 3.377%, 01/05/2039 (b) | &nbsp;&nbsp;&nbsp; 2022-OPO, 3.377%, 01/05/2039 (b) | 501000 | 410842 |
| Morgan Stanley Bank of America Merrill Lynch Trust | Morgan Stanley Bank of America Merrill Lynch Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2013-C9, 2.657%, 05/15/2046 | &nbsp;&nbsp;&nbsp; 2013-C9, 2.657%, 05/15/2046 | 21297 | 21229 |
| Morgan Stanley Capital I Trust | Morgan Stanley Capital I Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2015-MS1, 3.779%, 05/15/2048 (d) | &nbsp;&nbsp;&nbsp; 2015-MS1, 3.779%, 05/15/2048 (d) | 200000 | 190684 |
| &nbsp;&nbsp;&nbsp; 2018-L1, 4.879%, 10/15/2051 (d) | &nbsp;&nbsp;&nbsp; 2018-L1, 4.879%, 10/15/2051 (d) | 325000 | 294756 |
| &nbsp;&nbsp;&nbsp; 2020-HR8, 2.041%, 07/15/2053 | &nbsp;&nbsp;&nbsp; 2020-HR8, 2.041%, 07/15/2053 | 335000 | 269589 |
| New Residential Mortgage Loan Trust | New Residential Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2019-NQM5, 2.710%, 11/25/2059 (b)(d) | &nbsp;&nbsp;&nbsp; 2019-NQM5, 2.710%, 11/25/2059 (b)(d) | 149372 | 133772 |
| OBX Trust | OBX Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2021-NQM3, 1.054%, 07/25/2061 (b)(d) | &nbsp;&nbsp;&nbsp; 2021-NQM3, 1.054%, 07/25/2061 (b)(d) | 783435 | 590482 |
| Taubman Centers Commercial Mortgage Trust | Taubman Centers Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2022-DPM, 6.726% (TSFR1M + 2.932%), 05/15/2037 (b)(c) | &nbsp;&nbsp;&nbsp; 2022-DPM, 6.726% (TSFR1M + 2.932%), 05/15/2037 (b)(c) | 1045000 | 1006025 |
| UBS Commercial Mortgage Trust | UBS Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2017-C2, 3.487%, 08/15/2050 | &nbsp;&nbsp;&nbsp; 2017-C2, 3.487%, 08/15/2050 | 1025000 | 939412 |
| &nbsp;&nbsp;&nbsp; 2017-C4, 3.836%, 10/15/2050 (d) | &nbsp;&nbsp;&nbsp; 2017-C4, 3.836%, 10/15/2050 (d) | 200000 | 180153 |
| Verus Securitization Trust | Verus Securitization Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2019-4, 2.642%, 11/25/2059 (b) | &nbsp;&nbsp;&nbsp; 2019-4, 2.642%, 11/25/2059 (b) | 43080 | 41013 |
| Wells Fargo Commercial Mortgage Trust | Wells Fargo Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2015-C29, 3.637%, 06/15/2048 | &nbsp;&nbsp;&nbsp; 2015-C29, 3.637%, 06/15/2048 | 130000 | 123500 |
| &nbsp;&nbsp;&nbsp; 2018-C48, 4.302%, 01/15/2052 | &nbsp;&nbsp;&nbsp; 2018-C48, 4.302%, 01/15/2052 | 333945 | 317171 |
| WFRBS Commercial Mortgage Trust | WFRBS Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2014-LC14, 1.416%, 03/15/2047 (d)(e) | &nbsp;&nbsp;&nbsp; 2014-LC14, 1.416%, 03/15/2047 (d)(e) | 644544 | 6073 |
| &nbsp;&nbsp;&nbsp; 2014-C22 XA, 0.937%, 09/15/2057 (d)(e) | &nbsp;&nbsp;&nbsp; 2014-C22 XA, 0.937%, 09/15/2057 (d)(e) | 2813513 | 28095 |
| &nbsp;&nbsp;&nbsp; 2014-C22 AS, 4.069%, 09/15/2057 (d) | &nbsp;&nbsp;&nbsp; 2014-C22 AS, 4.069%, 09/15/2057 (d) | 290000 | 275990 |
| **TOTAL NON-AGENCY MORTGAGE BACKED SECURITIES (Cost $23,446,505)** | **TOTAL NON-AGENCY MORTGAGE BACKED SECURITIES (Cost $23,446,505)** |  | **19951571** |
| **AGENCY MORTGAGE BACKED SECURITIES - 30.93%** | **AGENCY MORTGAGE BACKED SECURITIES - 30.93%** |  |  |
| Fannie Mae Connecticut Avenue Securities | Fannie Mae Connecticut Avenue Securities |  |  |
| &nbsp;&nbsp;&nbsp; 2017-C03, 7.016% (1 Month LIBOR USD + 3.000%), 10/25/2029 (c) | &nbsp;&nbsp;&nbsp; 2017-C03, 7.016% (1 Month LIBOR USD + 3.000%), 10/25/2029 (c) | 1026067 | 1033294 |
| &nbsp;&nbsp;&nbsp; 2017-C04, 6.866% (1 Month LIBOR USD + 2.850%), 11/25/2029 (c) | &nbsp;&nbsp;&nbsp; 2017-C04, 6.866% (1 Month LIBOR USD + 2.850%), 11/25/2029 (c) | 238486 | 242314 |
| &nbsp;&nbsp;&nbsp; 2017-C05, 6.216% (1 Month LIBOR USD + 2.200%), 01/25/2030 (c) | &nbsp;&nbsp;&nbsp; 2017-C05, 6.216% (1 Month LIBOR USD + 2.200%), 01/25/2030 (c) | 521239 | 523298 |
| &nbsp;&nbsp;&nbsp; 2017-C06, 6.816% (1 Month LIBOR USD + 2.800%), 02/25/2030 (c) | &nbsp;&nbsp;&nbsp; 2017-C06, 6.816% (1 Month LIBOR USD + 2.800%), 02/25/2030 (c) | 1124779 | 1120193 |
| &nbsp;&nbsp;&nbsp; 2017-C07 1M2, 6.444% (1 Month LIBOR USD + 2.400%), 05/25/2030 (c) | &nbsp;&nbsp;&nbsp; 2017-C07 1M2, 6.444% (1 Month LIBOR USD + 2.400%), 05/25/2030 (c) | 522621 | 519152 |
| &nbsp;&nbsp;&nbsp; 2017-C07 2M2, 6.544% (1 Month LIBOR USD + 2.500%), 05/25/2030 (c) | &nbsp;&nbsp;&nbsp; 2017-C07 2M2, 6.544% (1 Month LIBOR USD + 2.500%), 05/25/2030 (c) | 500656 | 505537 |
| &nbsp;&nbsp;&nbsp; 2018-C01, 6.266% (1 Month LIBOR USD + 2.250%), 07/25/2030 (c) | &nbsp;&nbsp;&nbsp; 2018-C01, 6.266% (1 Month LIBOR USD + 2.250%), 07/25/2030 (c) | 1158849 | 1143847 |
| &nbsp;&nbsp;&nbsp; 2018-C02, 6.216% (1 Month LIBOR USD + 2.200%), 08/25/2030 (c) | &nbsp;&nbsp;&nbsp; 2018-C02, 6.216% (1 Month LIBOR USD + 2.200%), 08/25/2030 (c) | 1111132 | 1094087 |
| &nbsp;&nbsp;&nbsp; 2018-C03, 6.166% (1 Month LIBOR USD + 2.150%), 10/25/2030 (c) | &nbsp;&nbsp;&nbsp; 2018-C03, 6.166% (1 Month LIBOR USD + 2.150%), 10/25/2030 (c) | 777913 | 769802 |
| &nbsp;&nbsp;&nbsp; 2018-C04, 6.566% (1 Month LIBOR USD + 2.550%), 12/25/2030 (c) | &nbsp;&nbsp;&nbsp; 2018-C04, 6.566% (1 Month LIBOR USD + 2.550%), 12/25/2030 (c) | 1612491 | 1591975 |
| Fannie Mae Interest Strip | Fannie Mae Interest Strip |  |  |
| &nbsp;&nbsp;&nbsp; 4.000%, 08/25/2043 (e) | &nbsp;&nbsp;&nbsp; 4.000%, 08/25/2043 (e) | 1304720 | 245710 |
| Fannie Mae Pool | Fannie Mae Pool |  |  |
| &nbsp;&nbsp;&nbsp; MA0096, 4.500%, 06/01/2029 | &nbsp;&nbsp;&nbsp; MA0096, 4.500%, 06/01/2029 | 2947 | 2981 |
| &nbsp;&nbsp;&nbsp; AB3000, 4.500%, 05/01/2031 | &nbsp;&nbsp;&nbsp; AB3000, 4.500%, 05/01/2031 | 8369 | 8464 |
| &nbsp;&nbsp;&nbsp; AB1389, 4.500%, 08/01/2040 | &nbsp;&nbsp;&nbsp; AB1389, 4.500%, 08/01/2040 | 25085 | 25102 |
| &nbsp;&nbsp;&nbsp; MA0510, 4.500%, 09/01/2040 | &nbsp;&nbsp;&nbsp; MA0510, 4.500%, 09/01/2040 | 276 | 276 |
| &nbsp;&nbsp;&nbsp; AE8714, 3.500%, 11/01/2040 | &nbsp;&nbsp;&nbsp; AE8714, 3.500%, 11/01/2040 | 9506 | 8953 |
| &nbsp;&nbsp;&nbsp; 890310, 4.500%, 12/01/2040 | &nbsp;&nbsp;&nbsp; 890310, 4.500%, 12/01/2040 | 5978 | 5982 |
| &nbsp;&nbsp;&nbsp; AH3952, 4.000%, 01/01/2041 | &nbsp;&nbsp;&nbsp; AH3952, 4.000%, 01/01/2041 | 75607 | 73575 |
| &nbsp;&nbsp;&nbsp; AL0791, 4.000%, 02/01/2041 | &nbsp;&nbsp;&nbsp; AL0791, 4.000%, 02/01/2041 | 26288 | 25581 |
| &nbsp;&nbsp;&nbsp; AE0954, 4.500%, 02/01/2041 | &nbsp;&nbsp;&nbsp; AE0954, 4.500%, 02/01/2041 | 21155 | 21170 |
| &nbsp;&nbsp;&nbsp; AS7001, 3.000%, 04/01/2041 | &nbsp;&nbsp;&nbsp; AS7001, 3.000%, 04/01/2041 | 506012 | 463143 |
| &nbsp;&nbsp;&nbsp; AL0245, 4.000%, 04/01/2041 | &nbsp;&nbsp;&nbsp; AL0245, 4.000%, 04/01/2041 | 5492 | 5334 |
| &nbsp;&nbsp;&nbsp; AL0065, 4.500%, 04/01/2041 | &nbsp;&nbsp;&nbsp; AL0065, 4.500%, 04/01/2041 | 9972 | 9979 |
| &nbsp;&nbsp;&nbsp; AH7395, 4.500%, 06/01/2041 | &nbsp;&nbsp;&nbsp; AH7395, 4.500%, 06/01/2041 | 2277 | 2254 |
| &nbsp;&nbsp;&nbsp; AB3194, 4.500%, 06/01/2041 | &nbsp;&nbsp;&nbsp; AB3194, 4.500%, 06/01/2041 | 6819 | 6824 |
| &nbsp;&nbsp;&nbsp; FM0040, 3.000%, 10/01/2041 | &nbsp;&nbsp;&nbsp; FM0040, 3.000%, 10/01/2041 | 94034 | 86067 |
| &nbsp;&nbsp;&nbsp; AL1547, 4.500%, 11/01/2041 | &nbsp;&nbsp;&nbsp; AL1547, 4.500%, 11/01/2041 | 3884 | 3886 |
| &nbsp;&nbsp;&nbsp; AJ9278, 3.500%, 12/01/2041 | &nbsp;&nbsp;&nbsp; AJ9278, 3.500%, 12/01/2041 | 5033 | 4743 |
| &nbsp;&nbsp;&nbsp; AJ6346, 3.500%, 12/01/2041 | &nbsp;&nbsp;&nbsp; AJ6346, 3.500%, 12/01/2041 | 16326 | 15385 |
| &nbsp;&nbsp;&nbsp; AK6744, 4.000%, 03/01/2042 | &nbsp;&nbsp;&nbsp; AK6744, 4.000%, 03/01/2042 | 31279 | 30460 |
| &nbsp;&nbsp;&nbsp; AO1214, 3.500%, 04/01/2042 | &nbsp;&nbsp;&nbsp; AO1214, 3.500%, 04/01/2042 | 57678 | 54353 |
| &nbsp;&nbsp;&nbsp; AK6568, 3.500%, 04/01/2042 | &nbsp;&nbsp;&nbsp; AK6568, 3.500%, 04/01/2042 | 20735 | 19540 |
| &nbsp;&nbsp;&nbsp; AK9393, 3.500%, 04/01/2042 | &nbsp;&nbsp;&nbsp; AK9393, 3.500%, 04/01/2042 | 10097 | 9515 |
| &nbsp;&nbsp;&nbsp; AL4029, 4.500%, 04/01/2042 | &nbsp;&nbsp;&nbsp; AL4029, 4.500%, 04/01/2042 | 29146 | 29166 |
| &nbsp;&nbsp;&nbsp; AL7306, 4.500%, 09/01/2042 | &nbsp;&nbsp;&nbsp; AL7306, 4.500%, 09/01/2042 | 16987 | 16830 |
| &nbsp;&nbsp;&nbsp; AP8743, 3.500%, 10/01/2042 | &nbsp;&nbsp;&nbsp; AP8743, 3.500%, 10/01/2042 | 160358 | 151097 |
| &nbsp;&nbsp;&nbsp; AL2897, 3.500%, 01/01/2043 | &nbsp;&nbsp;&nbsp; AL2897, 3.500%, 01/01/2043 | 22548 | 21239 |
| &nbsp;&nbsp;&nbsp; AL3714, 3.500%, 01/01/2043 | &nbsp;&nbsp;&nbsp; AL3714, 3.500%, 01/01/2043 | 14816 | 13954 |
| &nbsp;&nbsp;&nbsp; AQ9330, 3.500%, 01/01/2043 | &nbsp;&nbsp;&nbsp; AQ9330, 3.500%, 01/01/2043 | 20220 | 19044 |
| &nbsp;&nbsp;&nbsp; AB7965, 3.500%, 02/01/2043 | &nbsp;&nbsp;&nbsp; AB7965, 3.500%, 02/01/2043 | 12715 | 11973 |
| &nbsp;&nbsp;&nbsp; AT1001, 3.500%, 04/01/2043 | &nbsp;&nbsp;&nbsp; AT1001, 3.500%, 04/01/2043 | 14690 | 13825 |
| &nbsp;&nbsp;&nbsp; AT2021, 3.500%, 04/01/2043 | &nbsp;&nbsp;&nbsp; AT2021, 3.500%, 04/01/2043 | 13354 | 12583 |
| &nbsp;&nbsp;&nbsp; AB9046, 3.500%, 04/01/2043 | &nbsp;&nbsp;&nbsp; AB9046, 3.500%, 04/01/2043 | 39621 | 37314 |
| &nbsp;&nbsp;&nbsp; AB9260, 3.500%, 05/01/2043 | &nbsp;&nbsp;&nbsp; AB9260, 3.500%, 05/01/2043 | 35756 | 33633 |
| &nbsp;&nbsp;&nbsp; AU0949, 3.500%, 08/01/2043 | &nbsp;&nbsp;&nbsp; AU0949, 3.500%, 08/01/2043 | 31648 | 29822 |
| &nbsp;&nbsp;&nbsp; AS0212, 3.500%, 08/01/2043 | &nbsp;&nbsp;&nbsp; AS0212, 3.500%, 08/01/2043 | 34857 | 32802 |
| &nbsp;&nbsp;&nbsp; AU3751, 4.000%, 08/01/2043 | &nbsp;&nbsp;&nbsp; AU3751, 4.000%, 08/01/2043 | 65182 | 63569 |
| &nbsp;&nbsp;&nbsp; AS0531, 4.000%, 09/01/2043 | &nbsp;&nbsp;&nbsp; AS0531, 4.000%, 09/01/2043 | 30765 | 30004 |
| &nbsp;&nbsp;&nbsp; AU6857, 4.000%, 09/01/2043 | &nbsp;&nbsp;&nbsp; AU6857, 4.000%, 09/01/2043 | 27255 | 26538 |
| &nbsp;&nbsp;&nbsp; AU4658, 4.500%, 09/01/2043 | &nbsp;&nbsp;&nbsp; AU4658, 4.500%, 09/01/2043 | 5567 | 5517 |
| &nbsp;&nbsp;&nbsp; MA1600, 3.500%, 10/01/2043 | &nbsp;&nbsp;&nbsp; MA1600, 3.500%, 10/01/2043 | 14949 | 14062 |
| &nbsp;&nbsp;&nbsp; AS1042, 4.000%, 11/01/2043 | &nbsp;&nbsp;&nbsp; AS1042, 4.000%, 11/01/2043 | 25319 | 24692 |
| &nbsp;&nbsp;&nbsp; AS1333, 4.500%, 12/01/2043 | &nbsp;&nbsp;&nbsp; AS1333, 4.500%, 12/01/2043 | 10688 | 10696 |
| &nbsp;&nbsp;&nbsp; AL4450, 4.500%, 12/01/2043 | &nbsp;&nbsp;&nbsp; AL4450, 4.500%, 12/01/2043 | 11834 | 11842 |
| &nbsp;&nbsp;&nbsp; AS1559, 4.000%, 01/01/2044 | &nbsp;&nbsp;&nbsp; AS1559, 4.000%, 01/01/2044 | 17275 | 16848 |
| &nbsp;&nbsp;&nbsp; AS2516, 4.500%, 05/01/2044 | &nbsp;&nbsp;&nbsp; AS2516, 4.500%, 05/01/2044 | 12035 | 12043 |
| &nbsp;&nbsp;&nbsp; MA1926, 4.500%, 06/01/2044 | &nbsp;&nbsp;&nbsp; MA1926, 4.500%, 06/01/2044 | 12491 | 12499 |
| &nbsp;&nbsp;&nbsp; AS2751, 4.500%, 06/01/2044 | &nbsp;&nbsp;&nbsp; AS2751, 4.500%, 06/01/2044 | 14641 | 14651 |
| &nbsp;&nbsp;&nbsp; AL6223, 4.500%, 08/01/2044 | &nbsp;&nbsp;&nbsp; AL6223, 4.500%, 08/01/2044 | 14485 | 14495 |
| &nbsp;&nbsp;&nbsp; AX0118, 4.000%, 09/01/2044 | &nbsp;&nbsp;&nbsp; AX0118, 4.000%, 09/01/2044 | 109292 | 106286 |
| &nbsp;&nbsp;&nbsp; AS3467, 4.000%, 10/01/2044 | &nbsp;&nbsp;&nbsp; AS3467, 4.000%, 10/01/2044 | 9436 | 9203 |
| &nbsp;&nbsp;&nbsp; AX2491, 4.000%, 10/01/2044 | &nbsp;&nbsp;&nbsp; AX2491, 4.000%, 10/01/2044 | 7385 | 7202 |
| &nbsp;&nbsp;&nbsp; AL6432, 4.000%, 01/01/2045 | &nbsp;&nbsp;&nbsp; AL6432, 4.000%, 01/01/2045 | 23414 | 22835 |
| &nbsp;&nbsp;&nbsp; AL6520, 4.000%, 02/01/2045 | &nbsp;&nbsp;&nbsp; AL6520, 4.000%, 02/01/2045 | 84017 | 81938 |
| &nbsp;&nbsp;&nbsp; AZ0862, 3.500%, 07/01/2045 | &nbsp;&nbsp;&nbsp; AZ0862, 3.500%, 07/01/2045 | 45160 | 42294 |
| &nbsp;&nbsp;&nbsp; AZ0814, 3.500%, 07/01/2045 | &nbsp;&nbsp;&nbsp; AZ0814, 3.500%, 07/01/2045 | 26459 | 24785 |
| &nbsp;&nbsp;&nbsp; BM1953, 3.500%, 08/01/2045 | &nbsp;&nbsp;&nbsp; BM1953, 3.500%, 08/01/2045 | 57030 | 53734 |
| &nbsp;&nbsp;&nbsp; AZ4775, 3.500%, 10/01/2045 | &nbsp;&nbsp;&nbsp; AZ4775, 3.500%, 10/01/2045 | 11266 | 10549 |
| &nbsp;&nbsp;&nbsp; AZ4788, 4.000%, 10/01/2045 | &nbsp;&nbsp;&nbsp; AZ4788, 4.000%, 10/01/2045 | 241003 | 234699 |
| &nbsp;&nbsp;&nbsp; AS6311, 3.500%, 12/01/2045 | &nbsp;&nbsp;&nbsp; AS6311, 3.500%, 12/01/2045 | 16433 | 15375 |
| &nbsp;&nbsp;&nbsp; CA2929, 3.500%, 12/01/2045 | &nbsp;&nbsp;&nbsp; CA2929, 3.500%, 12/01/2045 | 91926 | 86036 |
| &nbsp;&nbsp;&nbsp; AS6405, 4.000%, 12/01/2045 | &nbsp;&nbsp;&nbsp; AS6405, 4.000%, 12/01/2045 | 189191 | 183920 |
| &nbsp;&nbsp;&nbsp; AS6464, 3.500%, 01/01/2046 | &nbsp;&nbsp;&nbsp; AS6464, 3.500%, 01/01/2046 | 21977 | 20555 |
| &nbsp;&nbsp;&nbsp; BC4114, 3.500%, 02/01/2046 | &nbsp;&nbsp;&nbsp; BC4114, 3.500%, 02/01/2046 | 130669 | 122242 |
| &nbsp;&nbsp;&nbsp; AL8219, 4.000%, 02/01/2046 | &nbsp;&nbsp;&nbsp; AL8219, 4.000%, 02/01/2046 | 194518 | 190502 |
| &nbsp;&nbsp;&nbsp; BC0305, 4.000%, 03/01/2046 | &nbsp;&nbsp;&nbsp; BC0305, 4.000%, 03/01/2046 | 48408 | 47046 |
| &nbsp;&nbsp;&nbsp; AS6795, 4.000%, 03/01/2046 | &nbsp;&nbsp;&nbsp; AS6795, 4.000%, 03/01/2046 | 41816 | 40568 |
| &nbsp;&nbsp;&nbsp; AL8387, 4.000%, 03/01/2046 | &nbsp;&nbsp;&nbsp; AL8387, 4.000%, 03/01/2046 | 482703 | 470945 |
| &nbsp;&nbsp;&nbsp; FM1370, 3.000%, 04/01/2046 | &nbsp;&nbsp;&nbsp; FM1370, 3.000%, 04/01/2046 | 32944 | 30015 |
| &nbsp;&nbsp;&nbsp; BC0793, 3.500%, 04/01/2046 | &nbsp;&nbsp;&nbsp; BC0793, 3.500%, 04/01/2046 | 110038 | 103107 |
| &nbsp;&nbsp;&nbsp; BC0835, 4.000%, 04/01/2046 | &nbsp;&nbsp;&nbsp; BC0835, 4.000%, 04/01/2046 | 102765 | 99873 |
| &nbsp;&nbsp;&nbsp; AS7248, 4.000%, 05/01/2046 | &nbsp;&nbsp;&nbsp; AS7248, 4.000%, 05/01/2046 | 55872 | 54265 |
| &nbsp;&nbsp;&nbsp; AS7200, 4.500%, 05/01/2046 | &nbsp;&nbsp;&nbsp; AS7200, 4.500%, 05/01/2046 | 6445 | 6390 |
| &nbsp;&nbsp;&nbsp; AS7388, 3.500%, 06/01/2046 | &nbsp;&nbsp;&nbsp; AS7388, 3.500%, 06/01/2046 | 458800 | 430649 |
| &nbsp;&nbsp;&nbsp; AL8735, 4.000%, 06/01/2046 | &nbsp;&nbsp;&nbsp; AL8735, 4.000%, 06/01/2046 | 113200 | 110175 |
| &nbsp;&nbsp;&nbsp; AS7401, 4.000%, 06/01/2046 | &nbsp;&nbsp;&nbsp; AS7401, 4.000%, 06/01/2046 | 39809 | 38652 |
| &nbsp;&nbsp;&nbsp; AL9282, 4.000%, 06/01/2046 | &nbsp;&nbsp;&nbsp; AL9282, 4.000%, 06/01/2046 | 75748 | 73616 |
| &nbsp;&nbsp;&nbsp; AS7580, 3.000%, 07/01/2046 | &nbsp;&nbsp;&nbsp; AS7580, 3.000%, 07/01/2046 | 103974 | 93737 |
| &nbsp;&nbsp;&nbsp; AS7492, 4.000%, 07/01/2046 | &nbsp;&nbsp;&nbsp; AS7492, 4.000%, 07/01/2046 | 20038 | 19468 |
| &nbsp;&nbsp;&nbsp; AS7801, 3.500%, 08/01/2046 | &nbsp;&nbsp;&nbsp; AS7801, 3.500%, 08/01/2046 | 97478 | 91050 |
| &nbsp;&nbsp;&nbsp; MA2737, 3.000%, 09/01/2046 | &nbsp;&nbsp;&nbsp; MA2737, 3.000%, 09/01/2046 | 581691 | 524206 |
| &nbsp;&nbsp;&nbsp; MA2771, 3.000%, 10/01/2046 | &nbsp;&nbsp;&nbsp; MA2771, 3.000%, 10/01/2046 | 88200 | 79452 |
| &nbsp;&nbsp;&nbsp; AS8056, 3.000%, 10/01/2046 | &nbsp;&nbsp;&nbsp; AS8056, 3.000%, 10/01/2046 | 57694 | 51930 |
| &nbsp;&nbsp;&nbsp; BM3932, 3.500%, 10/01/2046 | &nbsp;&nbsp;&nbsp; BM3932, 3.500%, 10/01/2046 | 82169 | 76787 |
| &nbsp;&nbsp;&nbsp; AS8269, 3.000%, 11/01/2046 | &nbsp;&nbsp;&nbsp; AS8269, 3.000%, 11/01/2046 | 74079 | 66678 |
| &nbsp;&nbsp;&nbsp; AS8661, 4.000%, 01/01/2047 | &nbsp;&nbsp;&nbsp; AS8661, 4.000%, 01/01/2047 | 68060 | 65891 |
| &nbsp;&nbsp;&nbsp; AS8659, 4.000%, 01/01/2047 | &nbsp;&nbsp;&nbsp; AS8659, 4.000%, 01/01/2047 | 24016 | 23251 |
| &nbsp;&nbsp;&nbsp; BE2975, 4.000%, 01/01/2047 | &nbsp;&nbsp;&nbsp; BE2975, 4.000%, 01/01/2047 | 98432 | 95268 |
| &nbsp;&nbsp;&nbsp; AS8699, 4.000%, 01/01/2047 | &nbsp;&nbsp;&nbsp; AS8699, 4.000%, 01/01/2047 | 20674 | 20001 |
| &nbsp;&nbsp;&nbsp; MA2872, 4.500%, 01/01/2047 | &nbsp;&nbsp;&nbsp; MA2872, 4.500%, 01/01/2047 | 60222 | 59736 |
| &nbsp;&nbsp;&nbsp; AS8700, 4.500%, 01/01/2047 | &nbsp;&nbsp;&nbsp; AS8700, 4.500%, 01/01/2047 | 23949 | 23766 |
| &nbsp;&nbsp;&nbsp; AL9879, 3.500%, 02/01/2047 | &nbsp;&nbsp;&nbsp; AL9879, 3.500%, 02/01/2047 | 1368458 | 1278505 |
| &nbsp;&nbsp;&nbsp; BE5475, 3.500%, 02/01/2047 | &nbsp;&nbsp;&nbsp; BE5475, 3.500%, 02/01/2047 | 37167 | 34677 |
| &nbsp;&nbsp;&nbsp; AL9916, 4.000%, 02/01/2047 | &nbsp;&nbsp;&nbsp; AL9916, 4.000%, 02/01/2047 | 112145 | 109020 |
| &nbsp;&nbsp;&nbsp; AS8966, 4.000%, 03/01/2047 | &nbsp;&nbsp;&nbsp; AS8966, 4.000%, 03/01/2047 | 19358 | 18689 |
| &nbsp;&nbsp;&nbsp; FM4894, 4.000%, 03/01/2047 | &nbsp;&nbsp;&nbsp; FM4894, 4.000%, 03/01/2047 | 435994 | 424467 |
| &nbsp;&nbsp;&nbsp; AS8982, 4.500%, 03/01/2047 | &nbsp;&nbsp;&nbsp; AS8982, 4.500%, 03/01/2047 | 8221 | 8151 |
| &nbsp;&nbsp;&nbsp; CA5843, 3.000%, 04/01/2047 | &nbsp;&nbsp;&nbsp; CA5843, 3.000%, 04/01/2047 | 114782 | 103875 |
| &nbsp;&nbsp;&nbsp; FM1000, 3.000%, 04/01/2047 | &nbsp;&nbsp;&nbsp; FM1000, 3.000%, 04/01/2047 | 209691 | 188230 |
| &nbsp;&nbsp;&nbsp; MA2959, 3.500%, 04/01/2047 | &nbsp;&nbsp;&nbsp; MA2959, 3.500%, 04/01/2047 | 79664 | 74009 |
| &nbsp;&nbsp;&nbsp; BM5348, 3.500%, 05/01/2047 | &nbsp;&nbsp;&nbsp; BM5348, 3.500%, 05/01/2047 | 45305 | 42327 |
| &nbsp;&nbsp;&nbsp; BM5347, 3.500%, 05/01/2047 | &nbsp;&nbsp;&nbsp; BM5347, 3.500%, 05/01/2047 | 90406 | 84482 |
| &nbsp;&nbsp;&nbsp; AS9536, 3.500%, 05/01/2047 | &nbsp;&nbsp;&nbsp; AS9536, 3.500%, 05/01/2047 | 40662 | 37972 |
| &nbsp;&nbsp;&nbsp; BM5784, 3.500%, 05/01/2047 | &nbsp;&nbsp;&nbsp; BM5784, 3.500%, 05/01/2047 | 100921 | 94318 |
| &nbsp;&nbsp;&nbsp; BE3619, 4.000%, 05/01/2047 | &nbsp;&nbsp;&nbsp; BE3619, 4.000%, 05/01/2047 | 85983 | 83244 |
| &nbsp;&nbsp;&nbsp; MA3008, 4.500%, 05/01/2047 | &nbsp;&nbsp;&nbsp; MA3008, 4.500%, 05/01/2047 | 16519 | 16254 |
| &nbsp;&nbsp;&nbsp; AS9829, 3.500%, 06/01/2047 | &nbsp;&nbsp;&nbsp; AS9829, 3.500%, 06/01/2047 | 37045 | 34583 |
| &nbsp;&nbsp;&nbsp; BE3702, 4.000%, 06/01/2047 | &nbsp;&nbsp;&nbsp; BE3702, 4.000%, 06/01/2047 | 48370 | 46744 |
| &nbsp;&nbsp;&nbsp; AS9664, 4.000%, 06/01/2047 | &nbsp;&nbsp;&nbsp; AS9664, 4.000%, 06/01/2047 | 21420 | 20744 |
| &nbsp;&nbsp;&nbsp; AS9831, 4.000%, 06/01/2047 | &nbsp;&nbsp;&nbsp; AS9831, 4.000%, 06/01/2047 | 53908 | 52154 |
| &nbsp;&nbsp;&nbsp; BM5179, 3.000%, 07/01/2047 | &nbsp;&nbsp;&nbsp; BM5179, 3.000%, 07/01/2047 | 67175 | 60634 |
| &nbsp;&nbsp;&nbsp; BE3767, 3.500%, 07/01/2047 | &nbsp;&nbsp;&nbsp; BE3767, 3.500%, 07/01/2047 | 46826 | 43718 |
| &nbsp;&nbsp;&nbsp; CA0062, 4.000%, 07/01/2047 | &nbsp;&nbsp;&nbsp; CA0062, 4.000%, 07/01/2047 | 42122 | 40611 |
| &nbsp;&nbsp;&nbsp; MA3121, 4.000%, 09/01/2047 | &nbsp;&nbsp;&nbsp; MA3121, 4.000%, 09/01/2047 | 500754 | 482822 |
| &nbsp;&nbsp;&nbsp; FM4019, 3.500%, 10/01/2047 | &nbsp;&nbsp;&nbsp; FM4019, 3.500%, 10/01/2047 | 425927 | 395961 |
| &nbsp;&nbsp;&nbsp; CA0559, 4.500%, 10/01/2047 | &nbsp;&nbsp;&nbsp; CA0559, 4.500%, 10/01/2047 | 50069 | 49612 |
| &nbsp;&nbsp;&nbsp; FM1467, 3.000%, 12/01/2047 | &nbsp;&nbsp;&nbsp; FM1467, 3.000%, 12/01/2047 | 65817 | 59764 |
| &nbsp;&nbsp;&nbsp; BH7058, 3.500%, 12/01/2047 | &nbsp;&nbsp;&nbsp; BH7058, 3.500%, 12/01/2047 | 118282 | 110155 |
| &nbsp;&nbsp;&nbsp; MA3210, 3.500%, 12/01/2047 | &nbsp;&nbsp;&nbsp; MA3210, 3.500%, 12/01/2047 | 109681 | 102131 |
| &nbsp;&nbsp;&nbsp; FM2897, 3.000%, 02/01/2048 | &nbsp;&nbsp;&nbsp; FM2897, 3.000%, 02/01/2048 | 208105 | 187521 |
| &nbsp;&nbsp;&nbsp; CA4140, 3.000%, 02/01/2048 | &nbsp;&nbsp;&nbsp; CA4140, 3.000%, 02/01/2048 | 67757 | 60766 |
| &nbsp;&nbsp;&nbsp; CA1535, 3.500%, 02/01/2048 | &nbsp;&nbsp;&nbsp; CA1535, 3.500%, 02/01/2048 | 22518 | 21005 |
| &nbsp;&nbsp;&nbsp; BJ8783, 3.500%, 02/01/2048 | &nbsp;&nbsp;&nbsp; BJ8783, 3.500%, 02/01/2048 | 68445 | 63839 |
| &nbsp;&nbsp;&nbsp; CA1218, 4.500%, 02/01/2048 | &nbsp;&nbsp;&nbsp; CA1218, 4.500%, 02/01/2048 | 36269 | 35733 |
| &nbsp;&nbsp;&nbsp; MA3278, 4.500%, 02/01/2048 | &nbsp;&nbsp;&nbsp; MA3278, 4.500%, 02/01/2048 | 214707 | 211841 |
| &nbsp;&nbsp;&nbsp; BM3590, 3.500%, 03/01/2048 | &nbsp;&nbsp;&nbsp; BM3590, 3.500%, 03/01/2048 | 91346 | 85180 |
| &nbsp;&nbsp;&nbsp; BJ0650, 3.500%, 03/01/2048 | &nbsp;&nbsp;&nbsp; BJ0650, 3.500%, 03/01/2048 | 49294 | 45977 |
| &nbsp;&nbsp;&nbsp; BJ0648, 3.500%, 03/01/2048 | &nbsp;&nbsp;&nbsp; BJ0648, 3.500%, 03/01/2048 | 46316 | 43200 |
| &nbsp;&nbsp;&nbsp; FM5923, 3.500%, 03/01/2048 | &nbsp;&nbsp;&nbsp; FM5923, 3.500%, 03/01/2048 | 579154 | 540338 |
| &nbsp;&nbsp;&nbsp; BM3900, 4.000%, 04/01/2048 | &nbsp;&nbsp;&nbsp; BM3900, 4.000%, 04/01/2048 | 89011 | 85693 |
| &nbsp;&nbsp;&nbsp; CA1710, 4.500%, 05/01/2048 | &nbsp;&nbsp;&nbsp; CA1710, 4.500%, 05/01/2048 | 62921 | 62159 |
| &nbsp;&nbsp;&nbsp; FM2385, 3.000%, 09/01/2048 | &nbsp;&nbsp;&nbsp; FM2385, 3.000%, 09/01/2048 | 127297 | 114109 |
| &nbsp;&nbsp;&nbsp; FM1572, 3.000%, 09/01/2048 | &nbsp;&nbsp;&nbsp; FM1572, 3.000%, 09/01/2048 | 209841 | 189208 |
| &nbsp;&nbsp;&nbsp; FM2915, 3.000%, 11/01/2048 | &nbsp;&nbsp;&nbsp; FM2915, 3.000%, 11/01/2048 | 455838 | 413446 |
| &nbsp;&nbsp;&nbsp; BM5024, 3.000%, 11/01/2048 | &nbsp;&nbsp;&nbsp; BM5024, 3.000%, 11/01/2048 | 55745 | 49893 |
| &nbsp;&nbsp;&nbsp; FM1239, 3.500%, 11/01/2048 | &nbsp;&nbsp;&nbsp; FM1239, 3.500%, 11/01/2048 | 73366 | 68413 |
| &nbsp;&nbsp;&nbsp; FM5108, 3.500%, 11/01/2048 | &nbsp;&nbsp;&nbsp; FM5108, 3.500%, 11/01/2048 | 599593 | 560179 |
| &nbsp;&nbsp;&nbsp; CA2922, 3.000%, 12/01/2048 | &nbsp;&nbsp;&nbsp; CA2922, 3.000%, 12/01/2048 | 182930 | 163593 |
| &nbsp;&nbsp;&nbsp; FM2239, 3.000%, 12/01/2048 | &nbsp;&nbsp;&nbsp; FM2239, 3.000%, 12/01/2048 | 112359 | 101012 |
| &nbsp;&nbsp;&nbsp; FM1051, 4.500%, 05/01/2049 | &nbsp;&nbsp;&nbsp; FM1051, 4.500%, 05/01/2049 | 150952 | 149123 |
| &nbsp;&nbsp;&nbsp; FM4895, 4.000%, 06/01/2049 | &nbsp;&nbsp;&nbsp; FM4895, 4.000%, 06/01/2049 | 381589 | 367897 |
| &nbsp;&nbsp;&nbsp; CA3683, 4.500%, 06/01/2049 | &nbsp;&nbsp;&nbsp; CA3683, 4.500%, 06/01/2049 | 56165 | 55446 |
| &nbsp;&nbsp;&nbsp; BO2201, 3.000%, 09/01/2049 | &nbsp;&nbsp;&nbsp; BO2201, 3.000%, 09/01/2049 | 158345 | 140745 |
| &nbsp;&nbsp;&nbsp; CA4571, 4.000%, 11/01/2049 | &nbsp;&nbsp;&nbsp; CA4571, 4.000%, 11/01/2049 | 366646 | 348877 |
| &nbsp;&nbsp;&nbsp; BO8947, 3.000%, 01/01/2050 | &nbsp;&nbsp;&nbsp; BO8947, 3.000%, 01/01/2050 | 83985 | 74901 |
| &nbsp;&nbsp;&nbsp; BO6164, 3.000%, 01/01/2050 | &nbsp;&nbsp;&nbsp; BO6164, 3.000%, 01/01/2050 | 68420 | 60899 |
| &nbsp;&nbsp;&nbsp; FM3619, 4.500%, 01/01/2050 | &nbsp;&nbsp;&nbsp; FM3619, 4.500%, 01/01/2050 | 96671 | 94609 |
| &nbsp;&nbsp;&nbsp; BP2099, 3.000%, 02/01/2050 | &nbsp;&nbsp;&nbsp; BP2099, 3.000%, 02/01/2050 | 341150 | 303671 |
| &nbsp;&nbsp;&nbsp; BP1424, 3.000%, 03/01/2050 | &nbsp;&nbsp;&nbsp; BP1424, 3.000%, 03/01/2050 | 129507 | 114999 |
| &nbsp;&nbsp;&nbsp; FM7592, 3.500%, 03/01/2050 | &nbsp;&nbsp;&nbsp; FM7592, 3.500%, 03/01/2050 | 585140 | 540722 |
| &nbsp;&nbsp;&nbsp; CA5519, 3.000%, 04/01/2050 | &nbsp;&nbsp;&nbsp; CA5519, 3.000%, 04/01/2050 | 75292 | 66954 |
| &nbsp;&nbsp;&nbsp; FM4334, 3.000%, 04/01/2050 | &nbsp;&nbsp;&nbsp; FM4334, 3.000%, 04/01/2050 | 178855 | 159598 |
| &nbsp;&nbsp;&nbsp; CA5559, 3.500%, 04/01/2050 | &nbsp;&nbsp;&nbsp; CA5559, 3.500%, 04/01/2050 | 594359 | 548283 |
| &nbsp;&nbsp;&nbsp; MA3992, 3.500%, 04/01/2050 | &nbsp;&nbsp;&nbsp; MA3992, 3.500%, 04/01/2050 | 146925 | 135578 |
| &nbsp;&nbsp;&nbsp; CA5670, 3.000%, 05/01/2050 | &nbsp;&nbsp;&nbsp; CA5670, 3.000%, 05/01/2050 | 120684 | 107156 |
| &nbsp;&nbsp;&nbsp; CA5668, 3.000%, 05/01/2050 | &nbsp;&nbsp;&nbsp; CA5668, 3.000%, 05/01/2050 | 291180 | 258873 |
| &nbsp;&nbsp;&nbsp; CA6086, 3.000%, 06/01/2050 | &nbsp;&nbsp;&nbsp; CA6086, 3.000%, 06/01/2050 | 1162717 | 1037470 |
| &nbsp;&nbsp;&nbsp; CA6291, 3.000%, 07/01/2050 | &nbsp;&nbsp;&nbsp; CA6291, 3.000%, 07/01/2050 | 82817 | 73644 |
| &nbsp;&nbsp;&nbsp; BP6466, 3.000%, 07/01/2050 | &nbsp;&nbsp;&nbsp; BP6466, 3.000%, 07/01/2050 | 185946 | 165199 |
| &nbsp;&nbsp;&nbsp; BP6481, 4.500%, 07/01/2050 | &nbsp;&nbsp;&nbsp; BP6481, 4.500%, 07/01/2050 | 34814 | 34147 |
| &nbsp;&nbsp;&nbsp; BQ0239, 2.500%, 08/01/2050 | &nbsp;&nbsp;&nbsp; BQ0239, 2.500%, 08/01/2050 | 195782 | 169595 |
| &nbsp;&nbsp;&nbsp; BQ0188, 3.000%, 08/01/2050 | &nbsp;&nbsp;&nbsp; BQ0188, 3.000%, 08/01/2050 | 99985 | 88808 |
| &nbsp;&nbsp;&nbsp; BP6716, 2.500%, 09/01/2050 | &nbsp;&nbsp;&nbsp; BP6716, 2.500%, 09/01/2050 | 346268 | 297439 |
| &nbsp;&nbsp;&nbsp; BK3044, 2.500%, 09/01/2050 | &nbsp;&nbsp;&nbsp; BK3044, 2.500%, 09/01/2050 | 324769 | 279222 |
| &nbsp;&nbsp;&nbsp; MA4121, 3.000%, 09/01/2050 | &nbsp;&nbsp;&nbsp; MA4121, 3.000%, 09/01/2050 | 559468 | 499503 |
| &nbsp;&nbsp;&nbsp; FM9143, 4.500%, 09/01/2050 | &nbsp;&nbsp;&nbsp; FM9143, 4.500%, 09/01/2050 | 132682 | 130911 |
| &nbsp;&nbsp;&nbsp; MA4160, 3.000%, 10/01/2050 | &nbsp;&nbsp;&nbsp; MA4160, 3.000%, 10/01/2050 | 473658 | 420712 |
| &nbsp;&nbsp;&nbsp; MA4170, 4.500%, 10/01/2050 | &nbsp;&nbsp;&nbsp; MA4170, 4.500%, 10/01/2050 | 294141 | 287789 |
| &nbsp;&nbsp;&nbsp; FM7475, 4.500%, 10/01/2050 | &nbsp;&nbsp;&nbsp; FM7475, 4.500%, 10/01/2050 | 22533 | 22258 |
| &nbsp;&nbsp;&nbsp; MA4208, 2.000%, 12/01/2050 | &nbsp;&nbsp;&nbsp; MA4208, 2.000%, 12/01/2050 | 2420859 | 1998612 |
| &nbsp;&nbsp;&nbsp; FM5316, 2.000%, 12/01/2050 | &nbsp;&nbsp;&nbsp; FM5316, 2.000%, 12/01/2050 | 191582 | 158076 |
| &nbsp;&nbsp;&nbsp; MA4237, 2.000%, 01/01/2051 | &nbsp;&nbsp;&nbsp; MA4237, 2.000%, 01/01/2051 | 203183 | 167696 |
| &nbsp;&nbsp;&nbsp; BR1269, 2.500%, 01/01/2051 | &nbsp;&nbsp;&nbsp; BR1269, 2.500%, 01/01/2051 | 776984 | 671866 |
| &nbsp;&nbsp;&nbsp; MA4256, 2.500%, 02/01/2051 | &nbsp;&nbsp;&nbsp; MA4256, 2.500%, 02/01/2051 | 683167 | 586296 |
| &nbsp;&nbsp;&nbsp; MA4282, 2.500%, 03/01/2051 | &nbsp;&nbsp;&nbsp; MA4282, 2.500%, 03/01/2051 | 435034 | 373853 |
| &nbsp;&nbsp;&nbsp; MA4306, 2.500%, 04/01/2051 | &nbsp;&nbsp;&nbsp; MA4306, 2.500%, 04/01/2051 | 280272 | 240307 |
| &nbsp;&nbsp;&nbsp; BR7795, 2.500%, 04/01/2051 | &nbsp;&nbsp;&nbsp; BR7795, 2.500%, 04/01/2051 | 709305 | 607939 |
| &nbsp;&nbsp;&nbsp; MA4307, 3.000%, 04/01/2051 | &nbsp;&nbsp;&nbsp; MA4307, 3.000%, 04/01/2051 | 821604 | 728656 |
| &nbsp;&nbsp;&nbsp; MA4325, 2.000%, 05/01/2051 | &nbsp;&nbsp;&nbsp; MA4325, 2.000%, 05/01/2051 | 702561 | 579100 |
| &nbsp;&nbsp;&nbsp; BT2488, 2.500%, 05/01/2051 | &nbsp;&nbsp;&nbsp; BT2488, 2.500%, 05/01/2051 | 435731 | 373371 |
| &nbsp;&nbsp;&nbsp; MA4326, 2.500%, 05/01/2051 | &nbsp;&nbsp;&nbsp; MA4326, 2.500%, 05/01/2051 | 462922 | 396814 |
| &nbsp;&nbsp;&nbsp; FM7189, 2.500%, 05/01/2051 | &nbsp;&nbsp;&nbsp; FM7189, 2.500%, 05/01/2051 | 499023 | 427760 |
| &nbsp;&nbsp;&nbsp; MA4356, 2.500%, 06/01/2051 | &nbsp;&nbsp;&nbsp; MA4356, 2.500%, 06/01/2051 | 921195 | 789546 |
| &nbsp;&nbsp;&nbsp; FM7738, 2.500%, 06/01/2051 | &nbsp;&nbsp;&nbsp; FM7738, 2.500%, 06/01/2051 | 500959 | 429633 |
| &nbsp;&nbsp;&nbsp; BT0417, 2.500%, 06/01/2051 | &nbsp;&nbsp;&nbsp; BT0417, 2.500%, 06/01/2051 | 302848 | 259504 |
| &nbsp;&nbsp;&nbsp; MA4378, 2.000%, 07/01/2051 | &nbsp;&nbsp;&nbsp; MA4378, 2.000%, 07/01/2051 | 661745 | 545116 |
| &nbsp;&nbsp;&nbsp; FS1550, 2.500%, 07/01/2051 | &nbsp;&nbsp;&nbsp; FS1550, 2.500%, 07/01/2051 | 349559 | 300400 |
| &nbsp;&nbsp;&nbsp; MA4379, 2.500%, 07/01/2051 | &nbsp;&nbsp;&nbsp; MA4379, 2.500%, 07/01/2051 | 363323 | 311362 |
| &nbsp;&nbsp;&nbsp; CB1027, 2.500%, 07/01/2051 | &nbsp;&nbsp;&nbsp; CB1027, 2.500%, 07/01/2051 | 263432 | 225663 |
| &nbsp;&nbsp;&nbsp; CB1038, 2.500%, 07/01/2051 | &nbsp;&nbsp;&nbsp; CB1038, 2.500%, 07/01/2051 | 325328 | 279068 |
| &nbsp;&nbsp;&nbsp; BT1339, 2.500%, 07/01/2051 | &nbsp;&nbsp;&nbsp; BT1339, 2.500%, 07/01/2051 | 769912 | 659631 |
| &nbsp;&nbsp;&nbsp; FM8178, 2.500%, 07/01/2051 | &nbsp;&nbsp;&nbsp; FM8178, 2.500%, 07/01/2051 | 800230 | 685417 |
| &nbsp;&nbsp;&nbsp; MA4380, 3.000%, 07/01/2051 | &nbsp;&nbsp;&nbsp; MA4380, 3.000%, 07/01/2051 | 906887 | 803169 |
| &nbsp;&nbsp;&nbsp; MA4399, 2.500%, 08/01/2051 | &nbsp;&nbsp;&nbsp; MA4399, 2.500%, 08/01/2051 | 2405065 | 2060750 |
| &nbsp;&nbsp;&nbsp; BT3273, 2.500%, 08/01/2051 | &nbsp;&nbsp;&nbsp; BT3273, 2.500%, 08/01/2051 | 777361 | 665940 |
| &nbsp;&nbsp;&nbsp; FM8422, 2.500%, 08/01/2051 | &nbsp;&nbsp;&nbsp; FM8422, 2.500%, 08/01/2051 | 770644 | 660343 |
| &nbsp;&nbsp;&nbsp; FM8360, 2.500%, 08/01/2051 | &nbsp;&nbsp;&nbsp; FM8360, 2.500%, 08/01/2051 | 362641 | 311341 |
| &nbsp;&nbsp;&nbsp; MA4401, 3.500%, 08/01/2051 | &nbsp;&nbsp;&nbsp; MA4401, 3.500%, 08/01/2051 | 236962 | 217288 |
| &nbsp;&nbsp;&nbsp; BT7263, 2.500%, 09/01/2051 | &nbsp;&nbsp;&nbsp; BT7263, 2.500%, 09/01/2051 | 466391 | 399486 |
| &nbsp;&nbsp;&nbsp; MA4437, 2.000%, 10/01/2051 | &nbsp;&nbsp;&nbsp; MA4437, 2.000%, 10/01/2051 | 347866 | 286429 |
| &nbsp;&nbsp;&nbsp; MA4465, 2.000%, 11/01/2051 | &nbsp;&nbsp;&nbsp; MA4465, 2.000%, 11/01/2051 | 93689 | 77107 |
| &nbsp;&nbsp;&nbsp; CB2852, 2.000%, 11/01/2051 | &nbsp;&nbsp;&nbsp; CB2852, 2.000%, 11/01/2051 | 1354277 | 1114983 |
| &nbsp;&nbsp;&nbsp; MA4493, 2.500%, 12/01/2051 | &nbsp;&nbsp;&nbsp; MA4493, 2.500%, 12/01/2051 | 441361 | 377465 |
| &nbsp;&nbsp;&nbsp; FS0121, 2.000%, 01/01/2052 | &nbsp;&nbsp;&nbsp; FS0121, 2.000%, 01/01/2052 | 781671 | 645165 |
| &nbsp;&nbsp;&nbsp; CB2548, 2.500%, 01/01/2052 | &nbsp;&nbsp;&nbsp; CB2548, 2.500%, 01/01/2052 | 141191 | 120803 |
| &nbsp;&nbsp;&nbsp; BU1350, 3.000%, 02/01/2052 | &nbsp;&nbsp;&nbsp; BU1350, 3.000%, 02/01/2052 | 84917 | 75027 |
| &nbsp;&nbsp;&nbsp; BV4139, 2.500%, 03/01/2052 | &nbsp;&nbsp;&nbsp; BV4139, 2.500%, 03/01/2052 | 212961 | 182661 |
| &nbsp;&nbsp;&nbsp; MA4600, 3.500%, 05/01/2052 | &nbsp;&nbsp;&nbsp; MA4600, 3.500%, 05/01/2052 | 1548876 | 1418379 |
| &nbsp;&nbsp;&nbsp; BU8667, 4.000%, 05/01/2052 | &nbsp;&nbsp;&nbsp; BU8667, 4.000%, 05/01/2052 | 569963 | 538746 |
| &nbsp;&nbsp;&nbsp; CB3622, 4.000%, 05/01/2052 | &nbsp;&nbsp;&nbsp; CB3622, 4.000%, 05/01/2052 | 486429 | 459689 |
| &nbsp;&nbsp;&nbsp; MA4626, 4.000%, 06/01/2052 | &nbsp;&nbsp;&nbsp; MA4626, 4.000%, 06/01/2052 | 702994 | 664055 |
| &nbsp;&nbsp;&nbsp; CB3914, 4.000%, 06/01/2052 | &nbsp;&nbsp;&nbsp; CB3914, 4.000%, 06/01/2052 | 527793 | 498558 |
| &nbsp;&nbsp;&nbsp; BV2558, 5.000%, 06/01/2052 | &nbsp;&nbsp;&nbsp; BV2558, 5.000%, 06/01/2052 | 703377 | 699414 |
| &nbsp;&nbsp;&nbsp; BV2634, 4.000%, 07/01/2052 | &nbsp;&nbsp;&nbsp; BV2634, 4.000%, 07/01/2052 | 536714 | 506984 |
| &nbsp;&nbsp;&nbsp; BV2623, 4.500%, 07/01/2052 | &nbsp;&nbsp;&nbsp; BV2623, 4.500%, 07/01/2052 | 269099 | 261536 |
| &nbsp;&nbsp;&nbsp; MA4656, 4.500%, 07/01/2052 | &nbsp;&nbsp;&nbsp; MA4656, 4.500%, 07/01/2052 | 338936 | 329516 |
| &nbsp;&nbsp;&nbsp; BW0036, 4.500%, 07/01/2052 | &nbsp;&nbsp;&nbsp; BW0036, 4.500%, 07/01/2052 | 414330 | 404379 |
| &nbsp;&nbsp;&nbsp; FS2603, 4.500%, 08/01/2052 | &nbsp;&nbsp;&nbsp; FS2603, 4.500%, 08/01/2052 | 696236 | 676670 |
| &nbsp;&nbsp;&nbsp; BV7959, 5.000%, 08/01/2052 | &nbsp;&nbsp;&nbsp; BV7959, 5.000%, 08/01/2052 | 736017 | 731956 |
| &nbsp;&nbsp;&nbsp; CB4404, 5.000%, 08/01/2052 | &nbsp;&nbsp;&nbsp; CB4404, 5.000%, 08/01/2052 | 719837 | 716251 |
| &nbsp;&nbsp;&nbsp; BV8055, 4.500%, 09/01/2052 | &nbsp;&nbsp;&nbsp; BV8055, 4.500%, 09/01/2052 | 709907 | 689956 |
| &nbsp;&nbsp;&nbsp; BW6232, 5.000%, 09/01/2052 | &nbsp;&nbsp;&nbsp; BW6232, 5.000%, 09/01/2052 | 896916 | 891871 |
| &nbsp;&nbsp;&nbsp; BW1201, 5.000%, 09/01/2052 | &nbsp;&nbsp;&nbsp; BW1201, 5.000%, 09/01/2052 | 790310 | 785840 |
| &nbsp;&nbsp;&nbsp; MA4785, 5.000%, 10/01/2052 | &nbsp;&nbsp;&nbsp; MA4785, 5.000%, 10/01/2052 | 741061 | 736892 |
| Fannie Mae Principal Strip | Fannie Mae Principal Strip |  |  |
| &nbsp;&nbsp;&nbsp; 0.000%, 07/15/2037 | &nbsp;&nbsp;&nbsp; 0.000%, 07/15/2037 | 1370000 | 706362 |
| Fannie Mae REMICS | Fannie Mae REMICS |  |  |
| &nbsp;&nbsp;&nbsp; 2012-70, 1.984% (1 Month LIBOR USD + 6.000%), 07/25/2042 (c)(e) | &nbsp;&nbsp;&nbsp; 2012-70, 1.984% (1 Month LIBOR USD + 6.000%), 07/25/2042 (c)(e) | 933482 | 110534 |
| &nbsp;&nbsp;&nbsp; 2012-68, 2.034% (1 Month LIBOR USD + 6.050%), 07/25/2042 (c)(e) | &nbsp;&nbsp;&nbsp; 2012-68, 2.034% (1 Month LIBOR USD + 6.050%), 07/25/2042 (c)(e) | 1530112 | 170020 |
| &nbsp;&nbsp;&nbsp; 2013-6, 2.084% (1 Month LIBOR USD + 6.100%), 02/25/2043 (c)(e) | &nbsp;&nbsp;&nbsp; 2013-6, 2.084% (1 Month LIBOR USD + 6.100%), 02/25/2043 (c)(e) | 984796 | 121439 |
| &nbsp;&nbsp;&nbsp; 2013-18, 2.084% (1 Month LIBOR USD + 6.100%), 03/25/2043 (c)(e) | &nbsp;&nbsp;&nbsp; 2013-18, 2.084% (1 Month LIBOR USD + 6.100%), 03/25/2043 (c)(e) | 1065176 | 119341 |
| &nbsp;&nbsp;&nbsp; 2014-90, 2.134% (1 Month LIBOR USD + 6.150%), 01/25/2045 (c)(e) | &nbsp;&nbsp;&nbsp; 2014-90, 2.134% (1 Month LIBOR USD + 6.150%), 01/25/2045 (c)(e) | 1498888 | 188422 |
| &nbsp;&nbsp;&nbsp; 2015-32, 2.184% (1 Month LIBOR USD + 6.200%), 05/25/2045 (c)(e) | &nbsp;&nbsp;&nbsp; 2015-32, 2.184% (1 Month LIBOR USD + 6.200%), 05/25/2045 (c)(e) | 957389 | 117322 |
| &nbsp;&nbsp;&nbsp; 2016-03, 4.000%, 02/25/2046 (e) | &nbsp;&nbsp;&nbsp; 2016-03, 4.000%, 02/25/2046 (e) | 448111 | 80298 |
| &nbsp;&nbsp;&nbsp; 2016-40, 1.834% (1 Month LIBOR USD + 5.850%), 07/25/2046 (c)(e) | &nbsp;&nbsp;&nbsp; 2016-40, 1.834% (1 Month LIBOR USD + 5.850%), 07/25/2046 (c)(e) | 616820 | 65041 |
| &nbsp;&nbsp;&nbsp; 2018-07, 4.000%, 02/25/2048 (e) | &nbsp;&nbsp;&nbsp; 2018-07, 4.000%, 02/25/2048 (e) | 1226235 | 235447 |
| &nbsp;&nbsp;&nbsp; 2020-52, 4.500%, 08/25/2050 (e) | &nbsp;&nbsp;&nbsp; 2020-52, 4.500%, 08/25/2050 (e) | 1120172 | 238684 |
| Freddie Mac Gold Pool | Freddie Mac Gold Pool |  |  |
| &nbsp;&nbsp;&nbsp; G1-3122, 5.000%, 04/01/2023 | &nbsp;&nbsp;&nbsp; G1-3122, 5.000%, 04/01/2023 | 26 | 26 |
| &nbsp;&nbsp;&nbsp; G1-4953, 3.500%, 01/01/2029 | &nbsp;&nbsp;&nbsp; G1-4953, 3.500%, 01/01/2029 | 15154 | 14956 |
| &nbsp;&nbsp;&nbsp; A8-6315, 4.500%, 05/01/2039 | &nbsp;&nbsp;&nbsp; A8-6315, 4.500%, 05/01/2039 | 14186 | 14171 |
| &nbsp;&nbsp;&nbsp; A8-6521, 4.500%, 05/01/2039 | &nbsp;&nbsp;&nbsp; A8-6521, 4.500%, 05/01/2039 | 28405 | 28456 |
| &nbsp;&nbsp;&nbsp; A9-3617, 4.500%, 08/01/2040 | &nbsp;&nbsp;&nbsp; A9-3617, 4.500%, 08/01/2040 | 2406 | 2410 |
| &nbsp;&nbsp;&nbsp; Q0-0285, 4.500%, 04/01/2041 | &nbsp;&nbsp;&nbsp; Q0-0285, 4.500%, 04/01/2041 | 3704 | 3710 |
| &nbsp;&nbsp;&nbsp; Q0-0876, 4.500%, 05/01/2041 | &nbsp;&nbsp;&nbsp; Q0-0876, 4.500%, 05/01/2041 | 23656 | 23699 |
| &nbsp;&nbsp;&nbsp; Q0-2173, 4.500%, 07/01/2041 | &nbsp;&nbsp;&nbsp; Q0-2173, 4.500%, 07/01/2041 | 16195 | 16223 |
| &nbsp;&nbsp;&nbsp; Q0-3705, 4.000%, 10/01/2041 | &nbsp;&nbsp;&nbsp; Q0-3705, 4.000%, 10/01/2041 | 16920 | 16597 |
| &nbsp;&nbsp;&nbsp; C0-3795, 3.500%, 04/01/2042 | &nbsp;&nbsp;&nbsp; C0-3795, 3.500%, 04/01/2042 | 113784 | 107343 |
| &nbsp;&nbsp;&nbsp; Q0-9004, 3.500%, 06/01/2042 | &nbsp;&nbsp;&nbsp; Q0-9004, 3.500%, 06/01/2042 | 10595 | 9995 |
| &nbsp;&nbsp;&nbsp; C0-9004, 3.500%, 07/01/2042 | &nbsp;&nbsp;&nbsp; C0-9004, 3.500%, 07/01/2042 | 11283 | 10644 |
| &nbsp;&nbsp;&nbsp; Q0-9896, 3.500%, 08/01/2042 | &nbsp;&nbsp;&nbsp; Q0-9896, 3.500%, 08/01/2042 | 14674 | 13843 |
| &nbsp;&nbsp;&nbsp; Q1-1348, 3.500%, 09/01/2042 | &nbsp;&nbsp;&nbsp; Q1-1348, 3.500%, 09/01/2042 | 29729 | 28033 |
| &nbsp;&nbsp;&nbsp; Q1-8305, 3.500%, 05/01/2043 | &nbsp;&nbsp;&nbsp; Q1-8305, 3.500%, 05/01/2043 | 12418 | 11700 |
| &nbsp;&nbsp;&nbsp; Q1-9475, 3.500%, 06/01/2043 | &nbsp;&nbsp;&nbsp; Q1-9475, 3.500%, 06/01/2043 | 21097 | 19877 |
| &nbsp;&nbsp;&nbsp; G6-0030, 3.500%, 07/01/2043 | &nbsp;&nbsp;&nbsp; G6-0030, 3.500%, 07/01/2043 | 66653 | 62865 |
| &nbsp;&nbsp;&nbsp; Q2-0780, 3.500%, 08/01/2043 | &nbsp;&nbsp;&nbsp; Q2-0780, 3.500%, 08/01/2043 | 26091 | 24575 |
| &nbsp;&nbsp;&nbsp; Q2-0857, 3.500%, 08/01/2043 | &nbsp;&nbsp;&nbsp; Q2-0857, 3.500%, 08/01/2043 | 16882 | 15915 |
| &nbsp;&nbsp;&nbsp; G0-7459, 3.500%, 08/01/2043 | &nbsp;&nbsp;&nbsp; G0-7459, 3.500%, 08/01/2043 | 13430 | 12659 |
| &nbsp;&nbsp;&nbsp; G0-8541, 3.500%, 08/01/2043 | &nbsp;&nbsp;&nbsp; G0-8541, 3.500%, 08/01/2043 | 23621 | 22256 |
| &nbsp;&nbsp;&nbsp; V8-0509, 4.000%, 10/01/2043 | &nbsp;&nbsp;&nbsp; V8-0509, 4.000%, 10/01/2043 | 14060 | 13727 |
| &nbsp;&nbsp;&nbsp; G0-8558, 4.000%, 11/01/2043 | &nbsp;&nbsp;&nbsp; G0-8558, 4.000%, 11/01/2043 | 15533 | 15165 |
| &nbsp;&nbsp;&nbsp; Q2-6367, 4.000%, 05/01/2044 | &nbsp;&nbsp;&nbsp; Q2-6367, 4.000%, 05/01/2044 | 4312 | 4210 |
| &nbsp;&nbsp;&nbsp; Q2-6513, 4.500%, 06/01/2044 | &nbsp;&nbsp;&nbsp; Q2-6513, 4.500%, 06/01/2044 | 11849 | 11750 |
| &nbsp;&nbsp;&nbsp; Q2-9916, 4.000%, 11/01/2044 | &nbsp;&nbsp;&nbsp; Q2-9916, 4.000%, 11/01/2044 | 17388 | 16976 |
| &nbsp;&nbsp;&nbsp; Q4-5219, 3.500%, 01/01/2045 | &nbsp;&nbsp;&nbsp; Q4-5219, 3.500%, 01/01/2045 | 79668 | 74825 |
| &nbsp;&nbsp;&nbsp; G0-7961, 3.500%, 03/01/2045 | &nbsp;&nbsp;&nbsp; G0-7961, 3.500%, 03/01/2045 | 18256 | 17154 |
| &nbsp;&nbsp;&nbsp; G0-8633, 4.000%, 03/01/2045 | &nbsp;&nbsp;&nbsp; G0-8633, 4.000%, 03/01/2045 | 35020 | 34191 |
| &nbsp;&nbsp;&nbsp; G0-8636, 3.500%, 04/01/2045 | &nbsp;&nbsp;&nbsp; G0-8636, 3.500%, 04/01/2045 | 21263 | 19935 |
| &nbsp;&nbsp;&nbsp; G0-8637, 4.000%, 04/01/2045 | &nbsp;&nbsp;&nbsp; G0-8637, 4.000%, 04/01/2045 | 17575 | 17158 |
| &nbsp;&nbsp;&nbsp; Q3-3869, 4.000%, 06/01/2045 | &nbsp;&nbsp;&nbsp; Q3-3869, 4.000%, 06/01/2045 | 11779 | 11500 |
| &nbsp;&nbsp;&nbsp; Q3-5225, 3.500%, 08/01/2045 | &nbsp;&nbsp;&nbsp; Q3-5225, 3.500%, 08/01/2045 | 10687 | 10015 |
| &nbsp;&nbsp;&nbsp; G0-8659, 3.500%, 08/01/2045 | &nbsp;&nbsp;&nbsp; G0-8659, 3.500%, 08/01/2045 | 58225 | 54553 |
| &nbsp;&nbsp;&nbsp; G0-8660, 4.000%, 08/01/2045 | &nbsp;&nbsp;&nbsp; G0-8660, 4.000%, 08/01/2045 | 69759 | 68086 |
| &nbsp;&nbsp;&nbsp; V8-1873, 4.000%, 08/01/2045 | &nbsp;&nbsp;&nbsp; V8-1873, 4.000%, 08/01/2045 | 15396 | 15023 |
| &nbsp;&nbsp;&nbsp; V8-1992, 4.000%, 10/01/2045 | &nbsp;&nbsp;&nbsp; V8-1992, 4.000%, 10/01/2045 | 214396 | 207743 |
| &nbsp;&nbsp;&nbsp; G0-8672, 4.000%, 10/01/2045 | &nbsp;&nbsp;&nbsp; G0-8672, 4.000%, 10/01/2045 | 11674 | 11383 |
| &nbsp;&nbsp;&nbsp; G0-8676, 3.500%, 11/01/2045 | &nbsp;&nbsp;&nbsp; G0-8676, 3.500%, 11/01/2045 | 25380 | 23793 |
| &nbsp;&nbsp;&nbsp; G6-0480, 4.500%, 11/01/2045 | &nbsp;&nbsp;&nbsp; G6-0480, 4.500%, 11/01/2045 | 10437 | 10457 |
| &nbsp;&nbsp;&nbsp; G0-8681, 3.500%, 12/01/2045 | &nbsp;&nbsp;&nbsp; G0-8681, 3.500%, 12/01/2045 | 18827 | 17632 |
| &nbsp;&nbsp;&nbsp; G0-8682, 4.000%, 12/01/2045 | &nbsp;&nbsp;&nbsp; G0-8682, 4.000%, 12/01/2045 | 23420 | 22812 |
| &nbsp;&nbsp;&nbsp; Q3-8470, 4.000%, 01/01/2046 | &nbsp;&nbsp;&nbsp; Q3-8470, 4.000%, 01/01/2046 | 13030 | 12688 |
| &nbsp;&nbsp;&nbsp; Q3-8473, 4.000%, 01/01/2046 | &nbsp;&nbsp;&nbsp; Q3-8473, 4.000%, 01/01/2046 | 23361 | 22781 |
| &nbsp;&nbsp;&nbsp; G0-8694, 4.000%, 02/01/2046 | &nbsp;&nbsp;&nbsp; G0-8694, 4.000%, 02/01/2046 | 13482 | 13125 |
| &nbsp;&nbsp;&nbsp; Q3-9434, 3.500%, 03/01/2046 | &nbsp;&nbsp;&nbsp; Q3-9434, 3.500%, 03/01/2046 | 3920 | 3674 |
| &nbsp;&nbsp;&nbsp; Q3-9644, 3.500%, 03/01/2046 | &nbsp;&nbsp;&nbsp; Q3-9644, 3.500%, 03/01/2046 | 85879 | 80428 |
| &nbsp;&nbsp;&nbsp; G0-8693, 3.500%, 03/01/2046 | &nbsp;&nbsp;&nbsp; G0-8693, 3.500%, 03/01/2046 | 4203 | 3936 |
| &nbsp;&nbsp;&nbsp; Q3-9438, 4.000%, 03/01/2046 | &nbsp;&nbsp;&nbsp; Q3-9438, 4.000%, 03/01/2046 | 72876 | 70923 |
| &nbsp;&nbsp;&nbsp; G0-8699, 4.000%, 03/01/2046 | &nbsp;&nbsp;&nbsp; G0-8699, 4.000%, 03/01/2046 | 36444 | 35468 |
| &nbsp;&nbsp;&nbsp; G0-8702, 3.500%, 04/01/2046 | &nbsp;&nbsp;&nbsp; G0-8702, 3.500%, 04/01/2046 | 43192 | 40432 |
| &nbsp;&nbsp;&nbsp; Q4-0375, 3.500%, 05/01/2046 | &nbsp;&nbsp;&nbsp; Q4-0375, 3.500%, 05/01/2046 | 28002 | 26210 |
| &nbsp;&nbsp;&nbsp; G0-8706, 3.500%, 05/01/2046 | &nbsp;&nbsp;&nbsp; G0-8706, 3.500%, 05/01/2046 | 19889 | 18772 |
| &nbsp;&nbsp;&nbsp; Q4-0718, 3.500%, 05/01/2046 | &nbsp;&nbsp;&nbsp; Q4-0718, 3.500%, 05/01/2046 | 123769 | 115835 |
| &nbsp;&nbsp;&nbsp; G0-8708, 4.500%, 05/01/2046 | &nbsp;&nbsp;&nbsp; G0-8708, 4.500%, 05/01/2046 | 28561 | 28483 |
| &nbsp;&nbsp;&nbsp; Q4-1208, 3.500%, 06/01/2046 | &nbsp;&nbsp;&nbsp; Q4-1208, 3.500%, 06/01/2046 | 61982 | 58110 |
| &nbsp;&nbsp;&nbsp; Q4-5458, 4.000%, 08/01/2046 | &nbsp;&nbsp;&nbsp; Q4-5458, 4.000%, 08/01/2046 | 60970 | 59336 |
| &nbsp;&nbsp;&nbsp; G0-8721, 3.000%, 09/01/2046 | &nbsp;&nbsp;&nbsp; G0-8721, 3.000%, 09/01/2046 | 42283 | 38144 |
| &nbsp;&nbsp;&nbsp; G0-8735, 4.500%, 10/01/2046 | &nbsp;&nbsp;&nbsp; G0-8735, 4.500%, 10/01/2046 | 38510 | 38245 |
| &nbsp;&nbsp;&nbsp; G0-8741, 3.000%, 01/01/2047 | &nbsp;&nbsp;&nbsp; G0-8741, 3.000%, 01/01/2047 | 773307 | 696214 |
| &nbsp;&nbsp;&nbsp; G0-8743, 4.000%, 01/01/2047 | &nbsp;&nbsp;&nbsp; G0-8743, 4.000%, 01/01/2047 | 34575 | 33552 |
| &nbsp;&nbsp;&nbsp; Q4-6279, 3.500%, 02/01/2047 | &nbsp;&nbsp;&nbsp; Q4-6279, 3.500%, 02/01/2047 | 48505 | 45376 |
| &nbsp;&nbsp;&nbsp; Q4-6283, 4.000%, 02/01/2047 | &nbsp;&nbsp;&nbsp; Q4-6283, 4.000%, 02/01/2047 | 37610 | 36463 |
| &nbsp;&nbsp;&nbsp; G0-8752, 4.000%, 03/01/2047 | &nbsp;&nbsp;&nbsp; G0-8752, 4.000%, 03/01/2047 | 16893 | 16509 |
| &nbsp;&nbsp;&nbsp; Q4-6539, 4.500%, 03/01/2047 | &nbsp;&nbsp;&nbsp; Q4-6539, 4.500%, 03/01/2047 | 3458 | 3395 |
| &nbsp;&nbsp;&nbsp; G0-8757, 3.500%, 04/01/2047 | &nbsp;&nbsp;&nbsp; G0-8757, 3.500%, 04/01/2047 | 7961 | 7443 |
| &nbsp;&nbsp;&nbsp; G0-8759, 4.500%, 04/01/2047 | &nbsp;&nbsp;&nbsp; G0-8759, 4.500%, 04/01/2047 | 12910 | 12817 |
| &nbsp;&nbsp;&nbsp; V8-3204, 4.500%, 05/01/2047 | &nbsp;&nbsp;&nbsp; V8-3204, 4.500%, 05/01/2047 | 31221 | 30800 |
| &nbsp;&nbsp;&nbsp; Q4-9100, 4.000%, 07/01/2047 | &nbsp;&nbsp;&nbsp; Q4-9100, 4.000%, 07/01/2047 | 79100 | 76504 |
| &nbsp;&nbsp;&nbsp; Q4-9394, 4.500%, 07/01/2047 | &nbsp;&nbsp;&nbsp; Q4-9394, 4.500%, 07/01/2047 | 67652 | 67025 |
| &nbsp;&nbsp;&nbsp; Q4-9888, 3.500%, 08/01/2047 | &nbsp;&nbsp;&nbsp; Q4-9888, 3.500%, 08/01/2047 | 41248 | 38553 |
| &nbsp;&nbsp;&nbsp; Q5-0035, 3.500%, 08/01/2047 | &nbsp;&nbsp;&nbsp; Q5-0035, 3.500%, 08/01/2047 | 60177 | 56257 |
| &nbsp;&nbsp;&nbsp; Q5-0109, 3.500%, 08/01/2047 | &nbsp;&nbsp;&nbsp; Q5-0109, 3.500%, 08/01/2047 | 8669 | 8102 |
| &nbsp;&nbsp;&nbsp; G6-1228, 4.000%, 08/01/2047 | &nbsp;&nbsp;&nbsp; G6-1228, 4.000%, 08/01/2047 | 116138 | 112632 |
| &nbsp;&nbsp;&nbsp; G0-8779, 3.500%, 09/01/2047 | &nbsp;&nbsp;&nbsp; G0-8779, 3.500%, 09/01/2047 | 170807 | 157481 |
| &nbsp;&nbsp;&nbsp; G0-8785, 4.000%, 10/01/2047 | &nbsp;&nbsp;&nbsp; G0-8785, 4.000%, 10/01/2047 | 87962 | 84606 |
| &nbsp;&nbsp;&nbsp; Q5-2319, 3.500%, 11/01/2047 | &nbsp;&nbsp;&nbsp; Q5-2319, 3.500%, 11/01/2047 | 131581 | 122888 |
| &nbsp;&nbsp;&nbsp; G6-1631, 3.500%, 11/01/2047 | &nbsp;&nbsp;&nbsp; G6-1631, 3.500%, 11/01/2047 | 157159 | 146987 |
| &nbsp;&nbsp;&nbsp; G6-1467, 4.000%, 11/01/2047 | &nbsp;&nbsp;&nbsp; G6-1467, 4.000%, 11/01/2047 | 113890 | 109694 |
| &nbsp;&nbsp;&nbsp; G6-1281, 3.500%, 01/01/2048 | &nbsp;&nbsp;&nbsp; G6-1281, 3.500%, 01/01/2048 | 74058 | 69164 |
| &nbsp;&nbsp;&nbsp; G0-8800, 3.500%, 02/01/2048 | &nbsp;&nbsp;&nbsp; G0-8800, 3.500%, 02/01/2048 | 100818 | 94094 |
| &nbsp;&nbsp;&nbsp; Q5-4463, 4.000%, 02/01/2048 | &nbsp;&nbsp;&nbsp; Q5-4463, 4.000%, 02/01/2048 | 55852 | 54062 |
| &nbsp;&nbsp;&nbsp; G6-7710, 3.500%, 03/01/2048 | &nbsp;&nbsp;&nbsp; G6-7710, 3.500%, 03/01/2048 | 140737 | 131017 |
| Freddie Mac Multifamily Structured Pass Through Certificates | Freddie Mac Multifamily Structured Pass Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp; K-098, 1.517%, 08/25/2029 (d)(e) | &nbsp;&nbsp;&nbsp; K-098, 1.517%, 08/25/2029 (d)(e) | 1985000 | 152928 |
| Freddie Mac Pool | Freddie Mac Pool |  |  |
| &nbsp;&nbsp;&nbsp; ZS-9972, 3.000%, 03/01/2042 | &nbsp;&nbsp;&nbsp; ZS-9972, 3.000%, 03/01/2042 | 715573 | 654879 |
| &nbsp;&nbsp;&nbsp; ZM-0630, 4.000%, 01/01/2046 | &nbsp;&nbsp;&nbsp; ZM-0630, 4.000%, 01/01/2046 | 240656 | 234085 |
| &nbsp;&nbsp;&nbsp; ZT-0390, 4.000%, 03/01/2046 | &nbsp;&nbsp;&nbsp; ZT-0390, 4.000%, 03/01/2046 | 91823 | 89552 |
| &nbsp;&nbsp;&nbsp; ZM-1590, 3.000%, 08/01/2046 | &nbsp;&nbsp;&nbsp; ZM-1590, 3.000%, 08/01/2046 | 519751 | 467099 |
| &nbsp;&nbsp;&nbsp; SD-0035, 3.000%, 04/01/2047 | &nbsp;&nbsp;&nbsp; SD-0035, 3.000%, 04/01/2047 | 463794 | 420031 |
| &nbsp;&nbsp;&nbsp; ZM-4908, 3.500%, 11/01/2047 | &nbsp;&nbsp;&nbsp; ZM-4908, 3.500%, 11/01/2047 | 210530 | 196398 |
| &nbsp;&nbsp;&nbsp; ZA-5250, 4.000%, 01/01/2048 | &nbsp;&nbsp;&nbsp; ZA-5250, 4.000%, 01/01/2048 | 189674 | 182800 |
| &nbsp;&nbsp;&nbsp; ZS-4759, 3.500%, 03/01/2048 | &nbsp;&nbsp;&nbsp; ZS-4759, 3.500%, 03/01/2048 | 128819 | 120144 |
| &nbsp;&nbsp;&nbsp; ZM-6197, 4.000%, 04/01/2048 | &nbsp;&nbsp;&nbsp; ZM-6197, 4.000%, 04/01/2048 | 461060 | 443542 |
| &nbsp;&nbsp;&nbsp; SD-0298, 3.000%, 11/01/2048 | &nbsp;&nbsp;&nbsp; SD-0298, 3.000%, 11/01/2048 | 326757 | 294384 |
| &nbsp;&nbsp;&nbsp; ZN-2103, 4.500%, 12/01/2048 | &nbsp;&nbsp;&nbsp; ZN-2103, 4.500%, 12/01/2048 | 30480 | 30076 |
| &nbsp;&nbsp;&nbsp; ZA-7141, 3.000%, 06/01/2049 | &nbsp;&nbsp;&nbsp; ZA-7141, 3.000%, 06/01/2049 | 65250 | 58085 |
| &nbsp;&nbsp;&nbsp; SD-8005, 3.500%, 08/01/2049 | &nbsp;&nbsp;&nbsp; SD-8005, 3.500%, 08/01/2049 | 598497 | 554122 |
| &nbsp;&nbsp;&nbsp; SD-8013, 4.500%, 09/01/2049 | &nbsp;&nbsp;&nbsp; SD-8013, 4.500%, 09/01/2049 | 90697 | 89372 |
| &nbsp;&nbsp;&nbsp; SI-2009, 3.000%, 10/01/2049 | &nbsp;&nbsp;&nbsp; SI-2009, 3.000%, 10/01/2049 | 395081 | 351802 |
| &nbsp;&nbsp;&nbsp; QA-5549, 3.000%, 12/01/2049 | &nbsp;&nbsp;&nbsp; QA-5549, 3.000%, 12/01/2049 | 212499 | 188989 |
| &nbsp;&nbsp;&nbsp; QA-7325, 3.000%, 02/01/2050 | &nbsp;&nbsp;&nbsp; QA-7325, 3.000%, 02/01/2050 | 168337 | 150187 |
| &nbsp;&nbsp;&nbsp; QA-6750, 3.000%, 02/01/2050 | &nbsp;&nbsp;&nbsp; QA-6750, 3.000%, 02/01/2050 | 123291 | 110108 |
| &nbsp;&nbsp;&nbsp; QA-8311, 3.000%, 03/01/2050 | &nbsp;&nbsp;&nbsp; QA-8311, 3.000%, 03/01/2050 | 190862 | 171743 |
| &nbsp;&nbsp;&nbsp; SD-8068, 3.000%, 06/01/2050 | &nbsp;&nbsp;&nbsp; SD-8068, 3.000%, 06/01/2050 | 541629 | 481404 |
| &nbsp;&nbsp;&nbsp; RA-2970, 2.500%, 07/01/2050 | &nbsp;&nbsp;&nbsp; RA-2970, 2.500%, 07/01/2050 | 180457 | 155540 |
| &nbsp;&nbsp;&nbsp; SD-8074, 3.000%, 07/01/2050 | &nbsp;&nbsp;&nbsp; SD-8074, 3.000%, 07/01/2050 | 79732 | 70930 |
| &nbsp;&nbsp;&nbsp; SD-8075, 3.500%, 07/01/2050 | &nbsp;&nbsp;&nbsp; SD-8075, 3.500%, 07/01/2050 | 463817 | 428011 |
| &nbsp;&nbsp;&nbsp; QB-2682, 2.500%, 08/01/2050 | &nbsp;&nbsp;&nbsp; QB-2682, 2.500%, 08/01/2050 | 134317 | 115417 |
| &nbsp;&nbsp;&nbsp; SD-8084, 3.000%, 08/01/2050 | &nbsp;&nbsp;&nbsp; SD-8084, 3.000%, 08/01/2050 | 232711 | 206649 |
| &nbsp;&nbsp;&nbsp; SD-8086, 4.000%, 08/01/2050 | &nbsp;&nbsp;&nbsp; SD-8086, 4.000%, 08/01/2050 | 171052 | 162883 |
| &nbsp;&nbsp;&nbsp; RA-3484, 3.000%, 09/01/2050 | &nbsp;&nbsp;&nbsp; RA-3484, 3.000%, 09/01/2050 | 271593 | 241078 |
| &nbsp;&nbsp;&nbsp; SD-8098, 2.000%, 10/01/2050 | &nbsp;&nbsp;&nbsp; SD-8098, 2.000%, 10/01/2050 | 2349230 | 1939442 |
| &nbsp;&nbsp;&nbsp; QB-4785, 2.500%, 10/01/2050 | &nbsp;&nbsp;&nbsp; QB-4785, 2.500%, 10/01/2050 | 191191 | 164213 |
| &nbsp;&nbsp;&nbsp; QB-6037, 2.500%, 11/01/2050 | &nbsp;&nbsp;&nbsp; QB-6037, 2.500%, 11/01/2050 | 139442 | 119711 |
| &nbsp;&nbsp;&nbsp; SD-8122, 2.500%, 01/01/2051 | &nbsp;&nbsp;&nbsp; SD-8122, 2.500%, 01/01/2051 | 408245 | 350482 |
| &nbsp;&nbsp;&nbsp; SD-8129, 2.500%, 02/01/2051 | &nbsp;&nbsp;&nbsp; SD-8129, 2.500%, 02/01/2051 | 550806 | 473367 |
| &nbsp;&nbsp;&nbsp; RA-4527, 2.500%, 02/01/2051 | &nbsp;&nbsp;&nbsp; RA-4527, 2.500%, 02/01/2051 | 279381 | 240134 |
| &nbsp;&nbsp;&nbsp; SD-8135, 2.500%, 03/01/2051 | &nbsp;&nbsp;&nbsp; SD-8135, 2.500%, 03/01/2051 | 197505 | 169778 |
| &nbsp;&nbsp;&nbsp; QC-0945, 2.500%, 04/01/2051 | &nbsp;&nbsp;&nbsp; QC-0945, 2.500%, 04/01/2051 | 796795 | 682973 |
| &nbsp;&nbsp;&nbsp; SD-8147, 2.500%, 05/01/2051 | &nbsp;&nbsp;&nbsp; SD-8147, 2.500%, 05/01/2051 | 461615 | 395626 |
| &nbsp;&nbsp;&nbsp; QC-2565, 2.000%, 06/01/2051 | &nbsp;&nbsp;&nbsp; QC-2565, 2.000%, 06/01/2051 | 544306 | 448459 |
| &nbsp;&nbsp;&nbsp; QC-4235, 2.500%, 07/01/2051 | &nbsp;&nbsp;&nbsp; QC-4235, 2.500%, 07/01/2051 | 705381 | 604113 |
| &nbsp;&nbsp;&nbsp; QC-3907, 2.500%, 07/01/2051 | &nbsp;&nbsp;&nbsp; QC-3907, 2.500%, 07/01/2051 | 457547 | 391945 |
| &nbsp;&nbsp;&nbsp; SD-8156, 2.500%, 07/01/2051 | &nbsp;&nbsp;&nbsp; SD-8156, 2.500%, 07/01/2051 | 429409 | 367933 |
| &nbsp;&nbsp;&nbsp; SD-8160, 2.000%, 08/01/2051 | &nbsp;&nbsp;&nbsp; SD-8160, 2.000%, 08/01/2051 | 820570 | 675800 |
| &nbsp;&nbsp;&nbsp; QC-5978, 2.500%, 08/01/2051 | &nbsp;&nbsp;&nbsp; QC-5978, 2.500%, 08/01/2051 | 612561 | 524802 |
| &nbsp;&nbsp;&nbsp; QC-6209, 2.500%, 08/01/2051 | &nbsp;&nbsp;&nbsp; QC-6209, 2.500%, 08/01/2051 | 385069 | 329910 |
| &nbsp;&nbsp;&nbsp; SD-8167, 2.500%, 09/01/2051 | &nbsp;&nbsp;&nbsp; SD-8167, 2.500%, 09/01/2051 | 1115951 | 955954 |
| &nbsp;&nbsp;&nbsp; RA-5855, 2.500%, 09/01/2051 | &nbsp;&nbsp;&nbsp; RA-5855, 2.500%, 09/01/2051 | 735727 | 629657 |
| &nbsp;&nbsp;&nbsp; SD-8169, 3.500%, 09/01/2051 | &nbsp;&nbsp;&nbsp; SD-8169, 3.500%, 09/01/2051 | 108414 | 99489 |
| &nbsp;&nbsp;&nbsp; SD-0780, 2.500%, 12/01/2051 | &nbsp;&nbsp;&nbsp; SD-0780, 2.500%, 12/01/2051 | 502539 | 430438 |
| &nbsp;&nbsp;&nbsp; SD-8189, 2.500%, 01/01/2052 | &nbsp;&nbsp;&nbsp; SD-8189, 2.500%, 01/01/2052 | 445409 | 380207 |
| &nbsp;&nbsp;&nbsp; RA-6686, 4.000%, 01/01/2052 | &nbsp;&nbsp;&nbsp; RA-6686, 4.000%, 01/01/2052 | 232619 | 219951 |
| &nbsp;&nbsp;&nbsp; QD-7594, 2.500%, 02/01/2052 | &nbsp;&nbsp;&nbsp; QD-7594, 2.500%, 02/01/2052 | 680587 | 584911 |
| &nbsp;&nbsp;&nbsp; SD-8214, 3.500%, 05/01/2052 | &nbsp;&nbsp;&nbsp; SD-8214, 3.500%, 05/01/2052 | 482788 | 442113 |
| &nbsp;&nbsp;&nbsp; SD-1883, 4.000%, 06/01/2052 | &nbsp;&nbsp;&nbsp; SD-1883, 4.000%, 06/01/2052 | 650000 | 614400 |
| &nbsp;&nbsp;&nbsp; QE-5195, 4.000%, 06/01/2052 | &nbsp;&nbsp;&nbsp; QE-5195, 4.000%, 06/01/2052 | 636639 | 601467 |
| &nbsp;&nbsp;&nbsp; QE-4039, 4.000%, 06/01/2052 | &nbsp;&nbsp;&nbsp; QE-4039, 4.000%, 06/01/2052 | 1226795 | 1158843 |
| &nbsp;&nbsp;&nbsp; QE-5474, 4.000%, 07/01/2052 | &nbsp;&nbsp;&nbsp; QE-5474, 4.000%, 07/01/2052 | 344539 | 325529 |
| &nbsp;&nbsp;&nbsp; SD-1060, 4.000%, 07/01/2052 | &nbsp;&nbsp;&nbsp; SD-1060, 4.000%, 07/01/2052 | 340441 | 321654 |
| &nbsp;&nbsp;&nbsp; QE-6058, 4.500%, 07/01/2052 | &nbsp;&nbsp;&nbsp; QE-6058, 4.500%, 07/01/2052 | 910108 | 884625 |
| &nbsp;&nbsp;&nbsp; SD-8231, 4.500%, 07/01/2052 | &nbsp;&nbsp;&nbsp; SD-8231, 4.500%, 07/01/2052 | 339358 | 329926 |
| &nbsp;&nbsp;&nbsp; SD-8233, 5.000%, 07/01/2052 | &nbsp;&nbsp;&nbsp; SD-8233, 5.000%, 07/01/2052 | 673306 | 669623 |
| &nbsp;&nbsp;&nbsp; SD-1382, 4.000%, 08/01/2052 | &nbsp;&nbsp;&nbsp; SD-1382, 4.000%, 08/01/2052 | 836676 | 790278 |
| &nbsp;&nbsp;&nbsp; QE-6925, 4.500%, 08/01/2052 | &nbsp;&nbsp;&nbsp; QE-6925, 4.500%, 08/01/2052 | 265132 | 257708 |
| &nbsp;&nbsp;&nbsp; SD-1576, 5.000%, 08/01/2052 | &nbsp;&nbsp;&nbsp; SD-1576, 5.000%, 08/01/2052 | 944177 | 938866 |
| &nbsp;&nbsp;&nbsp; QE-9381, 4.000%, 09/01/2052 | &nbsp;&nbsp;&nbsp; QE-9381, 4.000%, 09/01/2052 | 889960 | 840670 |
| &nbsp;&nbsp;&nbsp; SD-1709, 5.500%, 09/01/2052 | &nbsp;&nbsp;&nbsp; SD-1709, 5.500%, 09/01/2052 | 837925 | 849892 |
| &nbsp;&nbsp;&nbsp; SD-8258, 5.000%, 10/01/2052 | &nbsp;&nbsp;&nbsp; SD-8258, 5.000%, 10/01/2052 | 690144 | 686262 |
| &nbsp;&nbsp;&nbsp; SD-1719, 5.500%, 10/01/2052 | &nbsp;&nbsp;&nbsp; SD-1719, 5.500%, 10/01/2052 | 873929 | 885655 |
| &nbsp;&nbsp;&nbsp; SD-8268, 5.500%, 11/01/2052 | &nbsp;&nbsp;&nbsp; SD-8268, 5.500%, 11/01/2052 | 397977 | 402483 |
| Freddie Mac REMICS | Freddie Mac REMICS |  |  |
| &nbsp;&nbsp;&nbsp; 4121, 2.327% (1 Month LIBOR USD + 6.200%), 10/15/2042 (c)(e) | &nbsp;&nbsp;&nbsp; 4121, 2.327% (1 Month LIBOR USD + 6.200%), 10/15/2042 (c)(e) | 939831 | 105136 |
| &nbsp;&nbsp;&nbsp; 4122, 4.000%, 10/15/2042 (e) | &nbsp;&nbsp;&nbsp; 4122, 4.000%, 10/15/2042 (e) | 966777 | 182742 |
| &nbsp;&nbsp;&nbsp; 4159, 2.277% (1 Month LIBOR USD + 6.150%), 01/15/2043 (c)(e) | &nbsp;&nbsp;&nbsp; 4159, 2.277% (1 Month LIBOR USD + 6.150%), 01/15/2043 (c)(e) | 1316649 | 163572 |
| &nbsp;&nbsp;&nbsp; 4459, 4.000%, 08/15/2043 (e) | &nbsp;&nbsp;&nbsp; 4459, 4.000%, 08/15/2043 (e) | 1955792 | 361147 |
| &nbsp;&nbsp;&nbsp; 4385, 4.500%, 09/15/2044 (e) | &nbsp;&nbsp;&nbsp; 4385, 4.500%, 09/15/2044 (e) | 193240 | 34476 |
| &nbsp;&nbsp;&nbsp; 4572, 2.177% (1 Month LIBOR USD + 6.050%), 04/15/2046 (c)(e) | &nbsp;&nbsp;&nbsp; 4572, 2.177% (1 Month LIBOR USD + 6.050%), 04/15/2046 (c)(e) | 428728 | 46788 |
| &nbsp;&nbsp;&nbsp; 4583, 2.127% (1 Month LIBOR USD + 6.000%), 05/15/2046 (c)(e) | &nbsp;&nbsp;&nbsp; 4583, 2.127% (1 Month LIBOR USD + 6.000%), 05/15/2046 (c)(e) | 440382 | 50227 |
| &nbsp;&nbsp;&nbsp; 4616, 2.127% (1 Month LIBOR USD + 6.000%), 09/15/2046 (c)(e) | &nbsp;&nbsp;&nbsp; 4616, 2.127% (1 Month LIBOR USD + 6.000%), 09/15/2046 (c)(e) | 1027160 | 122896 |
| &nbsp;&nbsp;&nbsp; 4623, 2.127% (1 Month LIBOR USD + 6.000%), 10/15/2046 (c)(e) | &nbsp;&nbsp;&nbsp; 4623, 2.127% (1 Month LIBOR USD + 6.000%), 10/15/2046 (c)(e) | 952336 | 121812 |
| &nbsp;&nbsp;&nbsp; 4648, 2.127% (1 Month LIBOR USD + 6.000%), 01/15/2047 (c)(e) | &nbsp;&nbsp;&nbsp; 4648, 2.127% (1 Month LIBOR USD + 6.000%), 01/15/2047 (c)(e) | 407481 | 45889 |
| Freddie Mac STACR REMIC Trust | Freddie Mac STACR REMIC Trust |  |  |
| &nbsp;&nbsp;&nbsp; 2022-HQA1, 7.021% (SOFR30A + 3.500%), 03/25/2042 (b)(c) | &nbsp;&nbsp;&nbsp; 2022-HQA1, 7.021% (SOFR30A + 3.500%), 03/25/2042 (b)(c) | 309000 | 298746 |
| &nbsp;&nbsp;&nbsp; 2022-DNA3, 6.421% (SOFR30A + 2.900%), 04/25/2042 (b)(c) | &nbsp;&nbsp;&nbsp; 2022-DNA3, 6.421% (SOFR30A + 2.900%), 04/25/2042 (b)(c) | 506000 | 484841 |
| Freddie Mac Structured Agency Credit Risk Debt Notes | Freddie Mac Structured Agency Credit Risk Debt Notes |  |  |
| &nbsp;&nbsp;&nbsp; 2017-HQA3, 6.366% (1 Month LIBOR USD + 2.350%), 04/25/2030 (c) | &nbsp;&nbsp;&nbsp; 2017-HQA3, 6.366% (1 Month LIBOR USD + 2.350%), 04/25/2030 (c) | 694167 | 686151 |
| &nbsp;&nbsp;&nbsp; 2018-DNA1, 5.816% (1 Month LIBOR USD + 1.800%), 07/25/2030 (c) | &nbsp;&nbsp;&nbsp; 2018-DNA1, 5.816% (1 Month LIBOR USD + 1.800%), 07/25/2030 (c) | 312390 | 304108 |
| &nbsp;&nbsp;&nbsp; 2018-HQA1, 6.316% (1 Month LIBOR USD + 2.300%), 09/25/2030 (c) | &nbsp;&nbsp;&nbsp; 2018-HQA1, 6.316% (1 Month LIBOR USD + 2.300%), 09/25/2030 (c) | 650357 | 635633 |
| &nbsp;&nbsp;&nbsp; 2019-CS03, 4.016% (1 Month LIBOR USD + 0.000%), 10/25/2032 (b)(c) | &nbsp;&nbsp;&nbsp; 2019-CS03, 4.016% (1 Month LIBOR USD + 0.000%), 10/25/2032 (b)(c) | 177631 | 177140 |
| &nbsp;&nbsp;&nbsp; 2021-DNA7, 4.371% (SOFR30A + 0.850%), 11/25/2041 (b)(c) | &nbsp;&nbsp;&nbsp; 2021-DNA7, 4.371% (SOFR30A + 0.850%), 11/25/2041 (b)(c) | 1881687 | 1835575 |
| &nbsp;&nbsp;&nbsp; 2022-DNA2, 5.921% (SOFR30A + 2.400%), 02/25/2042 (b)(c) | &nbsp;&nbsp;&nbsp; 2022-DNA2, 5.921% (SOFR30A + 2.400%), 02/25/2042 (b)(c) | 1650000 | 1553438 |
| Ginnie Mae | Ginnie Mae |  |  |
| &nbsp;&nbsp;&nbsp; #TBA, 4.500%, 12/15/2041 | &nbsp;&nbsp;&nbsp; #TBA, 4.500%, 12/15/2041 | 4225000 | 4127462 |
| &nbsp;&nbsp;&nbsp; #TBA, 5.000%, 12/15/2048 | &nbsp;&nbsp;&nbsp; #TBA, 5.000%, 12/15/2048 | 1420000 | 1415563 |
| &nbsp;&nbsp;&nbsp; #TBA, 5.500%, 12/15/2052 | &nbsp;&nbsp;&nbsp; #TBA, 5.500%, 12/15/2052 | 1160000 | 1171691 |
| Ginnie Mae II Pool | Ginnie Mae II Pool |  |  |
| &nbsp;&nbsp;&nbsp; MA0699M, 3.500%, 01/20/2043 | &nbsp;&nbsp;&nbsp; MA0699M, 3.500%, 01/20/2043 | 24172 | 22978 |
| &nbsp;&nbsp;&nbsp; MA0783M, 3.500%, 02/20/2043 | &nbsp;&nbsp;&nbsp; MA0783M, 3.500%, 02/20/2043 | 32981 | 31350 |
| &nbsp;&nbsp;&nbsp; MA0934M, 3.500%, 04/20/2043 | &nbsp;&nbsp;&nbsp; MA0934M, 3.500%, 04/20/2043 | 23533 | 22369 |
| &nbsp;&nbsp;&nbsp; MA3663M, 3.500%, 05/20/2046 | &nbsp;&nbsp;&nbsp; MA3663M, 3.500%, 05/20/2046 | 40584 | 38336 |
| &nbsp;&nbsp;&nbsp; MA3803M, 3.500%, 07/20/2046 | &nbsp;&nbsp;&nbsp; MA3803M, 3.500%, 07/20/2046 | 15742 | 14839 |
| &nbsp;&nbsp;&nbsp; MA4510M, 3.500%, 06/20/2047 | &nbsp;&nbsp;&nbsp; MA4510M, 3.500%, 06/20/2047 | 64054 | 60218 |
| &nbsp;&nbsp;&nbsp; MA4586M, 3.500%, 07/20/2047 | &nbsp;&nbsp;&nbsp; MA4586M, 3.500%, 07/20/2047 | 88435 | 82900 |
| &nbsp;&nbsp;&nbsp; MA4652M, 3.500%, 08/20/2047 | &nbsp;&nbsp;&nbsp; MA4652M, 3.500%, 08/20/2047 | 59420 | 55857 |
| &nbsp;&nbsp;&nbsp; MA4900M, 3.500%, 12/20/2047 | &nbsp;&nbsp;&nbsp; MA4900M, 3.500%, 12/20/2047 | 44964 | 42298 |
| &nbsp;&nbsp;&nbsp; MA6542M, 3.500%, 03/20/2050 | &nbsp;&nbsp;&nbsp; MA6542M, 3.500%, 03/20/2050 | 243120 | 228918 |
| &nbsp;&nbsp;&nbsp; MA6600M, 3.500%, 04/20/2050 | &nbsp;&nbsp;&nbsp; MA6600M, 3.500%, 04/20/2050 | 18088 | 16931 |
| &nbsp;&nbsp;&nbsp; MA6601M, 4.000%, 04/20/2050 | &nbsp;&nbsp;&nbsp; MA6601M, 4.000%, 04/20/2050 | 81502 | 78325 |
| &nbsp;&nbsp;&nbsp; MA7138M, 3.500%, 01/20/2051 | &nbsp;&nbsp;&nbsp; MA7138M, 3.500%, 01/20/2051 | 234740 | 219628 |
| &nbsp;&nbsp;&nbsp; MA7192M, 2.000%, 02/20/2051 | &nbsp;&nbsp;&nbsp; MA7192M, 2.000%, 02/20/2051 | 293396 | 250442 |
| &nbsp;&nbsp;&nbsp; MA7193M, 2.500%, 02/20/2051 | &nbsp;&nbsp;&nbsp; MA7193M, 2.500%, 02/20/2051 | 296162 | 260922 |
| &nbsp;&nbsp;&nbsp; MA7254M, 2.000%, 03/20/2051 | &nbsp;&nbsp;&nbsp; MA7254M, 2.000%, 03/20/2051 | 299009 | 255171 |
| &nbsp;&nbsp;&nbsp; MA7255M, 2.500%, 03/20/2051 | &nbsp;&nbsp;&nbsp; MA7255M, 2.500%, 03/20/2051 | 733761 | 646301 |
| &nbsp;&nbsp;&nbsp; MA7311M, 2.000%, 04/20/2051 | &nbsp;&nbsp;&nbsp; MA7311M, 2.000%, 04/20/2051 | 852021 | 726927 |
| &nbsp;&nbsp;&nbsp; MA7312M, 2.500%, 04/20/2051 | &nbsp;&nbsp;&nbsp; MA7312M, 2.500%, 04/20/2051 | 811108 | 714910 |
| &nbsp;&nbsp;&nbsp; MA7367M, 2.500%, 05/20/2051 | &nbsp;&nbsp;&nbsp; MA7367M, 2.500%, 05/20/2051 | 298189 | 262391 |
| &nbsp;&nbsp;&nbsp; MA7418M, 2.500%, 06/20/2051 | &nbsp;&nbsp;&nbsp; MA7418M, 2.500%, 06/20/2051 | 623090 | 548011 |
| &nbsp;&nbsp;&nbsp; MA7472M, 2.500%, 07/20/2051 | &nbsp;&nbsp;&nbsp; MA7472M, 2.500%, 07/20/2051 | 408639 | 359227 |
| &nbsp;&nbsp;&nbsp; MA7589M, 2.500%, 09/20/2051 | &nbsp;&nbsp;&nbsp; MA7589M, 2.500%, 09/20/2051 | 914517 | 803551 |
| &nbsp;&nbsp;&nbsp; MA7648M, 2.000%, 10/20/2051 | &nbsp;&nbsp;&nbsp; MA7648M, 2.000%, 10/20/2051 | 297641 | 253433 |
| &nbsp;&nbsp;&nbsp; MA7766M, 2.000%, 12/20/2051 | &nbsp;&nbsp;&nbsp; MA7766M, 2.000%, 12/20/2051 | 375435 | 319453 |
| &nbsp;&nbsp;&nbsp; MA7828M, 3.000%, 01/20/2052 | &nbsp;&nbsp;&nbsp; MA7828M, 3.000%, 01/20/2052 | 605759 | 546651 |
| &nbsp;&nbsp;&nbsp; MA8045M, 4.000%, 05/20/2052 | &nbsp;&nbsp;&nbsp; MA8045M, 4.000%, 05/20/2052 | 662952 | 632017 |
| &nbsp;&nbsp;&nbsp; MA8099M, 3.500%, 06/20/2052 | &nbsp;&nbsp;&nbsp; MA8099M, 3.500%, 06/20/2052 | 614309 | 569598 |
| &nbsp;&nbsp;&nbsp; MA8151M, 4.500%, 07/20/2052 | &nbsp;&nbsp;&nbsp; MA8151M, 4.500%, 07/20/2052 | 915286 | 895305 |
| &nbsp;&nbsp;&nbsp; MA8200M, 4.000%, 08/20/2052 | &nbsp;&nbsp;&nbsp; MA8200M, 4.000%, 08/20/2052 | 595426 | 567640 |
| &nbsp;&nbsp;&nbsp; MA8201M, 4.500%, 08/20/2052 | &nbsp;&nbsp;&nbsp; MA8201M, 4.500%, 08/20/2052 | 595643 | 582620 |
| &nbsp;&nbsp;&nbsp; MA8267M, 4.000%, 09/20/2052 | &nbsp;&nbsp;&nbsp; MA8267M, 4.000%, 09/20/2052 | 572463 | 545748 |
| &nbsp;&nbsp;&nbsp; MA8268M, 4.500%, 09/20/2052 | &nbsp;&nbsp;&nbsp; MA8268M, 4.500%, 09/20/2052 | 896110 | 876518 |
| Government National Mortgage Association | Government National Mortgage Association |  |  |
| &nbsp;&nbsp;&nbsp; 2013-23, 3.500%, 02/20/2043 (e) | &nbsp;&nbsp;&nbsp; 2013-23, 3.500%, 02/20/2043 (e) | 587919 | 106855 |
| &nbsp;&nbsp;&nbsp; 2015-162, 2.811% (1 Month LIBOR USD + 6.750%), 11/20/2045 (c)(e) | &nbsp;&nbsp;&nbsp; 2015-162, 2.811% (1 Month LIBOR USD + 6.750%), 11/20/2045 (c)(e) | 882433 | 122756 |
| &nbsp;&nbsp;&nbsp; 2018-007, 2.261% (1 Month LIBOR USD + 6.200%), 01/20/2048 (c)(e) | &nbsp;&nbsp;&nbsp; 2018-007, 2.261% (1 Month LIBOR USD + 6.200%), 01/20/2048 (c)(e) | 987291 | 105114 |
| &nbsp;&nbsp;&nbsp; 2020-173, 2.500%, 11/20/2050 (e) | &nbsp;&nbsp;&nbsp; 2020-173, 2.500%, 11/20/2050 (e) | 2332125 | 307310 |
| &nbsp;&nbsp;&nbsp; 2021-116, 2.500%, 06/20/2051 (e) | &nbsp;&nbsp;&nbsp; 2021-116, 2.500%, 06/20/2051 (e) | 2592556 | 350036 |
| Uniform Mortgage Backed Securities | Uniform Mortgage Backed Securities |  |  |
| &nbsp;&nbsp;&nbsp; #TBA, 5.500%, 12/15/2040 | &nbsp;&nbsp;&nbsp; #TBA, 5.500%, 12/15/2040 | 2660000 | 2686392 |
| &nbsp;&nbsp;&nbsp; #TBA, 4.500%, 12/15/2040 | &nbsp;&nbsp;&nbsp; #TBA, 4.500%, 12/15/2040 | 1170000 | 1135814 |
| &nbsp;&nbsp;&nbsp; #TBA, 5.000%, 12/15/2040 | &nbsp;&nbsp;&nbsp; #TBA, 5.000%, 12/15/2040 | 2215000 | 2199426 |
| &nbsp;&nbsp;&nbsp; #TBA, 6.000%, 12/15/2040 | &nbsp;&nbsp;&nbsp; #TBA, 6.000%, 12/15/2040 | 830000 | 847832 |
| **TOTAL AGENCY MORTGAGE BACKED SECURITIES (Cost $139,000,503)** | **TOTAL AGENCY MORTGAGE BACKED SECURITIES (Cost $139,000,503)** |  | **127891566** |
| **U.S. GOVERNMENT AGENCY ISSUES - 0.45%** | **U.S. GOVERNMENT AGENCY ISSUES - 0.45%** |  |  |
| Federal Home Loan Mortgage Corp. | Federal Home Loan Mortgage Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 0.375%, 09/23/2025 | &nbsp;&nbsp;&nbsp; 0.375%, 09/23/2025 | 225000 | 202326 |
| Federal National Mortgage Association | Federal National Mortgage Association |  |  |
| &nbsp;&nbsp;&nbsp; 0.500%, 11/07/2025 | &nbsp;&nbsp;&nbsp; 0.500%, 11/07/2025 | 255000 | 228980 |
| &nbsp;&nbsp;&nbsp; 0.750%, 10/08/2027 | &nbsp;&nbsp;&nbsp; 0.750%, 10/08/2027 | 745000 | 641702 |
| &nbsp;&nbsp;&nbsp; 0.875%, 08/05/2030 | &nbsp;&nbsp;&nbsp; 0.875%, 08/05/2030 | 575000 | 455376 |
| Tennessee Valley Authority | Tennessee Valley Authority |  |  |
| &nbsp;&nbsp;&nbsp; 5.250%, 09/15/2039 | &nbsp;&nbsp;&nbsp; 5.250%, 09/15/2039 | 320000 | 334055 |
| **TOTAL U.S. GOVERNMENT AGENCY ISSUES (Cost $2,180,540)** | **TOTAL U.S. GOVERNMENT AGENCY ISSUES (Cost $2,180,540)** |  | **1862439** |
| **U.S. GOVERNMENT NOTES/BONDS - 5.56%** | **U.S. GOVERNMENT NOTES/BONDS - 5.56%** |  |  |
| United States Treasury Note/Bond | United States Treasury Note/Bond |  |  |
| &nbsp;&nbsp;&nbsp; 4.125%, 10/31/2027 (f) | &nbsp;&nbsp;&nbsp; 4.125%, 10/31/2027 (f) | 1655000 | 1673683 |
| &nbsp;&nbsp;&nbsp; 2.875%, 05/15/2032 | &nbsp;&nbsp;&nbsp; 2.875%, 05/15/2032 | 230000 | 214798 |
| &nbsp;&nbsp;&nbsp; 4.125%, 11/15/2032 | &nbsp;&nbsp;&nbsp; 4.125%, 11/15/2032 | 880000 | 910937 |
| &nbsp;&nbsp;&nbsp; 4.250%, 11/15/2040 | &nbsp;&nbsp;&nbsp; 4.250%, 11/15/2040 | 775000 | 807271 |
| &nbsp;&nbsp;&nbsp; 1.750%, 08/15/2041 | &nbsp;&nbsp;&nbsp; 1.750%, 08/15/2041 | 500000 | 347051 |
| &nbsp;&nbsp;&nbsp; 3.125%, 11/15/2041 | &nbsp;&nbsp;&nbsp; 3.125%, 11/15/2041 | 2540000 | 2236291 |
| &nbsp;&nbsp;&nbsp; 3.250%, 05/15/2042 | &nbsp;&nbsp;&nbsp; 3.250%, 05/15/2042 | 4515000 | 4033518 |
| &nbsp;&nbsp;&nbsp; 3.375%, 08/15/2042 | &nbsp;&nbsp;&nbsp; 3.375%, 08/15/2042 | 95000 | 86465 |
| &nbsp;&nbsp;&nbsp; 3.375%, 05/15/2044 | &nbsp;&nbsp;&nbsp; 3.375%, 05/15/2044 | 1380000 | 1239520 |
| &nbsp;&nbsp;&nbsp; 3.125%, 08/15/2044 | &nbsp;&nbsp;&nbsp; 3.125%, 08/15/2044 | 2040000 | 1755277 |
| &nbsp;&nbsp;&nbsp; 3.000%, 11/15/2044 | &nbsp;&nbsp;&nbsp; 3.000%, 11/15/2044 | 1003300 | 844183 |
| &nbsp;&nbsp;&nbsp; 3.000%, 05/15/2047 | &nbsp;&nbsp;&nbsp; 3.000%, 05/15/2047 | 2420000 | 2024103 |
| &nbsp;&nbsp;&nbsp; 3.125%, 05/15/2048 | &nbsp;&nbsp;&nbsp; 3.125%, 05/15/2048 | 470000 | 403741 |
| &nbsp;&nbsp;&nbsp; 3.375%, 11/15/2048 | &nbsp;&nbsp;&nbsp; 3.375%, 11/15/2048 | 1985000 | 1791540 |
| &nbsp;&nbsp;&nbsp; 2.250%, 02/15/2052 | &nbsp;&nbsp;&nbsp; 2.250%, 02/15/2052 | 795000 | 569574 |
| &nbsp;&nbsp;&nbsp; 2.875%, 05/15/2052 | &nbsp;&nbsp;&nbsp; 2.875%, 05/15/2052 | 1870000 | 1542750 |
| &nbsp;&nbsp;&nbsp; 3.000%, 08/15/2052 | &nbsp;&nbsp;&nbsp; 3.000%, 08/15/2052 | 2000000 | 1699688 |
| &nbsp;&nbsp;&nbsp; 4.000%, 11/15/2052 | &nbsp;&nbsp;&nbsp; 4.000%, 11/15/2052 | 790000 | 815305 |
| **TOTAL U.S. GOVERNMENT NOTES/BONDS (Cost $24,624,803)** | **TOTAL U.S. GOVERNMENT NOTES/BONDS (Cost $24,624,803)** |  | **22995695** |
| **U.S. TREASURY BILLS - 4.00%** | **U.S. TREASURY BILLS - 4.00%** |  |  |
| United States Treasury Bill | United States Treasury Bill |  |  |
| &nbsp;&nbsp;&nbsp; 3.698%, 12/22/2022 (i) | &nbsp;&nbsp;&nbsp; 3.698%, 12/22/2022 (i) | 16560000 | 16525766 |
| **TOTAL U.S. TREASURY BILLS (Cost $16,525,702)** | **TOTAL U.S. TREASURY BILLS (Cost $16,525,702)** |  | **16525766** |
|  |  | **Shares** |  |
| **EXCHANGE TRADED FUNDS - 0.02%** | **EXCHANGE TRADED FUNDS - 0.02%** |  |  |
| iShares Core U.S. Aggregate Bond ETF | iShares Core U.S. Aggregate Bond ETF | 817 | 80303 |
| **TOTAL EXCHANGE TRADED FUNDS (Cost $85,062)** | **TOTAL EXCHANGE TRADED FUNDS (Cost $85,062)** |  | **80303** |
| **INVESTMENTS PURCHASED WITH COLLATERAL FROM SECURITIES LENDING - 4.57%** | **INVESTMENTS PURCHASED WITH COLLATERAL FROM SECURITIES LENDING - 4.57%** |  |  |
| **Money Market Fund - 4.57%** | **Money Market Fund - 4.57%** |  |  |
| Mount Vernon Liquid Assets Portfolio, LLC, 4.010% (g) | Mount Vernon Liquid Assets Portfolio, LLC, 4.010% (g) | 18915311 | 18915311 |
| **TOTAL INVESTMENTS PURCHASED WITH COLLATERAL FROM SECURITIES LENDING (Cost $18,915,311)** | **TOTAL INVESTMENTS PURCHASED WITH COLLATERAL FROM SECURITIES LENDING (Cost $18,915,311)** |  | **18915311** |
| **SHORT-TERM INVESTMENTS - 0.52%** | **SHORT-TERM INVESTMENTS - 0.52%** |  |  |
| First American Government Obligations Fund, Class X, 3.664% (g) | First American Government Obligations Fund, Class X, 3.664% (g) | 2131998 | 2131998 |
| **TOTAL SHORT-TERM INVESTMENTS (Cost $2,131,998)** | **TOTAL SHORT-TERM INVESTMENTS (Cost $2,131,998)** |  | **2131998** |
| **Total Investments (Cost $493,104,574) - 107.92%** | **Total Investments (Cost $493,104,574) - 107.92%** |  | **446220048** |
| **Liabilities in Excess of Other Assets - (7.92)%** | **Liabilities in Excess of Other Assets - (7.92)%** |  | **(32765240)** |
| **TOTAL NET ASSETS - 100.00%** | **TOTAL NET ASSETS - 100.00%** |  | $**&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;413454808** |
| Percentages are stated as a percent of net assets. | Percentages are stated as a percent of net assets. |  |  |
| (a) | Variable rate security; the rate shown represents the rate at November 30, 2022. |  |  |
| (b) | Securities issued under Rule 144A under the Securities Act of 1933. Such securities are deemed to be liquid. |  |  |
| (c) | Floating rate security; the rate shown represents the rate at November 30, 2022. The coupon is based on an underlying pool of loans and other conditions at the time the loans are securitized. | Floating rate security; the rate shown represents the rate at November 30, 2022. The coupon is based on an underlying pool of loans and other conditions at the time the loans are securitized. |  |
| (d) | Variable rate security; the rate shown represents the rate at November 30, 2022. The coupon is based on an underlying pool of loans and other conditions at the time the loans are securitized. | Variable rate security; the rate shown represents the rate at November 30, 2022. The coupon is based on an underlying pool of loans and other conditions at the time the loans are securitized. |  |
| (e) | Represents an interest-only security that entitles holders to receive only interest payments on underlying mortgages. |  |  |
| (f) | All or portion of this security is out on loan as of November 30, 2022. Total value of securities out on loan is $18,617,768. |  |  |
| (g) | The rate shown represents the seven day yield at November 30, 2022. |  |  |
| (h) | Perpetual maturity. The date referenced is the next call date. |  |  |
| (i) | Rate shown is the effective yield based on purchase price. The calculation assumes the security is held to maturity. |  |  |
| Abbreviations | Abbreviations |  |  |
| #TBA | Pool number to be announced |  |  |
| The accompanying notes are an integral part of these schedule of investments. | The accompanying notes are an integral part of these schedule of investments. |  |  |

| |
|:---|
| **Summary of Fair Value Exposure at November 30, 2022** |
| The Fund has adopted Statement of Financial Accounting Standard, "Fair Value Measurements and Disclosures" ("Fair Value Measurements") and FASB Staff Position "Determining Fair Value when the Volume and Level of Activity for the Asset or Liability Have Significantly Decreased and Identified Transactions that are not Orderly" ("Determining Fair Value"). Determining Fair Value clarifies Fair Value Measurements and requires an entity to evaluate certain factors to determine whether there has been a significant decrease in volume and level of activity for the security such that recent transactions and quoted prices may not be determinative of fair value and further analysis and adjustment may be necessary to estimate fair value. Determining Fair Value also requires enhanced disclosure regarding the inputs and valuation techniques used to measure fair value in those instances as well as expanded disclosure of valuation levels for major security types. Fair Value Measurements requires the Fund to classify securities based on valuation method. These inputs are summarized in the three broad levels listed below: |
| Level 1 - Quoted prices in active markets for identical securities. |
| Level 2 - Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) |
| Level 3 - Significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments.) |
| The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following is a summary of the inputs used to value the Funds' investments carried at fair value as of November 30, 2022. |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | Level 1 | Level 2 | Level 3 | Total |
| **Assets:** |  |  |  |  |
| **Fixed Income Securities:** |  |  |  |  |
| Asset Backed Securities | $- | $38420459 | $- | $38420459 |
| Corporate Bonds\* | - | 153746774 | - | 153746774 |
| Foreign Corporate Bonds\* | - | 34026890 | - | 34026890 |
| Foreign Government Agency Issues | - | 5404756 | - | 5404756 |
| Foreign Government Notes/Bonds | - | 4266520 | - | 4266520 |
| Non-Agency Mortgage Backed Securities | - | 19951571 | - | 19951571 |
| Agency Mortgage Backed Securities | - | 127891566 | - | 127891566 |
| U.S. Government Agency Issues | - | 1862439 | - | 1862439 |
| U.S. Government Notes/Bonds | - | 22995695 | - | 22995695 |
| U.S. Treasury Bills | - | 16525766 | - | 16525766 |
| **Total Fixed Income Securities** | - | 425092436 | - | 425092436 |
| **Exchange-Traded Funds** | 80303 | - | - | 80303 |
| **Money Market Funds** | 21047309 | - | - | 21047309 |
| **Total Investments in Securities** | $21127612 | $425092436 | $- | $446220048 |

---

---

| |
|:---|
| \* For further breakdown by industry, please refer to the Schedule of Investments. |
| The Fund did not hold any Level 3 securities during the period ended November 30, 2022. |

---

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Trust for Professional Managers

- **b. Investment Company Act file number:** 811-10401

- **c. CIK number of Registrant:** 0001141819

- **d. LEI of Registrant:** 549300O1N816L3GGRD45

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

  - **Street Address 1:** 615 East Michigan Street

  - **City:** Milwaukee

  - **State:** WI

  - **Foreign country:** US

  - **Zip / Postal Code:** 53202

  - **Telephone number:** 513-629-8104

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

- **a. Name of Series:** PMC Core Fixed Income Fund

- **b. EDGAR series identifier (if any):** S000018035

- **c. LEI of Series:** 549300QI0UBDMVP85O06

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

- **a. Date of fiscal year-end:** 2023-08-31

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $453128806.09

**Total Liabilities:** $39369687.92

**Net Assets:** $413759118.17

**Delayed Delivery Securities:** $19831137.92

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 2739.060000000000 | **1-Year:** 13771.300000000000 | **5-Year:** 41612.600000000000 | **10-Year:** 65518.510000000000 | **30-Year:** 101521.260000000000

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

- **3-Month:** 1203.970000000000 | **1-Year:** 2043.230000000000 | **5-Year:** 1556.700000000000 | **10-Year:** 2092.940000000000 | **30-Year:** 1550.230000000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000049957 | -4.81%               | -1.18%               | 3.64%                |
| Class ID C000213407 | -4.77%               | -1.25%               | 3.66%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-3904037.25             | $-17563565.29                              |
| Month 2  | $-4298481.25             | $-1542606.39                               |
| Month 3  | $-1266890.66             | $14799270.98                               |

**Designated Index Information**

- **Index Name:** N/A

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                                      | Title                                                                            | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3132DMBC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    463794 | PA      | $420030.54    | 0.10%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3132DMKK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    326757 | PA      | $294384.41    | 0.07%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3132DN3S0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    837925 | PA      | $849892.33    | 0.21%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3132DN4C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    873929 | PA      | $885654.56    | 0.21%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3132DNE90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    340441 | PA      | $321654.13    | 0.08%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3132DNRB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    836676 | PA      | $790278.28    | 0.19%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3132DNXD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    944177 | PA      | $938866.17    | 0.23%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3132DPCU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    650000 | PA      | $614399.68    | 0.15%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3132DV3N3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    598497 | PA      | $554121.73    | 0.13%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3132DV3W3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     90697 | PA      | $89372.08     | 0.02%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3132DV6D2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    541629 | PA      | $481404.35    | 0.12%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3132DV6K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     79732 | PA      | $70929.88     | 0.02%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3132DV6L4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    463817 | PA      | $428011.42    | 0.10%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3132DV6V2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    232711 | PA      | $206649.38    | 0.05%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3132DV6X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    171052 | PA      | $162882.55    | 0.04%             | 2050-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3132DV7K5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2349230 | PA      | $1939442.13   | 0.47%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3132DWA60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    550806 | PA      | $473366.60    | 0.11%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3132DWAX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    408245 | PA      | $350481.72    | 0.08%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3132DWB51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    820570 | PA      | $675800.10    | 0.16%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3132DWBC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    197505 | PA      | $169778.07    | 0.04%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3132DWBQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    461615 | PA      | $395625.51    | 0.10%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3132DWBZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    429409 | PA      | $367933.38    | 0.09%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3132DWC27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    445409 | PA      | $380207.19    | 0.09%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3132DWCC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1115951 | PA      | $955954.28    | 0.23%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3132DWCE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    108414 | PA      | $99488.58     | 0.02%             | 2051-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3132DWDT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    482788 | PA      | $442112.67    | 0.11%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3132DWE74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    690144 | PA      | $686261.84    | 0.17%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3132DWEC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    339358 | PA      | $329925.66    | 0.08%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3132DWEE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    673306 | PA      | $669623.25    | 0.16%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3132DWFH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    397977 | PA      | $402482.71    | 0.10%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3132GD6M9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23656 | PA      | $23698.52     | 0.01%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3132GDJ60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3704 | PA      | $3710.09      | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3132GFMW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16195 | PA      | $16223.41     | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3132GJYA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16920 | PA      | $16597.37     | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3132GUKR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10595 | PA      | $9995.14      | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3132GVKH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14674 | PA      | $13843.08     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3132HMP96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29729 | PA      | $28033.38     | 0.01%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3132J9U71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12418 | PA      | $11699.83     | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3132JA6M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21097 | PA      | $19877.26     | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3132JM2M0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26091 | PA      | $24574.60     | 0.01%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3132JM5S4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16882 | PA      | $15915.12     | 0.00%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3132L5R62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14060 | PA      | $13726.70     | 0.00%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3132L7CJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15396 | PA      | $15022.58     | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3132L7F95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    214396 | PA      | $207743.20    | 0.05%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 31335AA73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66653 | PA      | $62865.01     | 0.02%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 31335AQ92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10437 | PA      | $10457.38     | 0.00%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 31335BLH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    116138 | PA      | $112632.37    | 0.03%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 31335BM60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74058 | PA      | $69164.25     | 0.02%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 31335BTY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    113890 | PA      | $109694.42    | 0.03%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 31335BY42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    157159 | PA      | $146987.23    | 0.04%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3133A0EW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    212499 | PA      | $188989.09    | 0.05%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3133A1QB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    123291 | PA      | $110108.40    | 0.03%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3133A2D64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    168337 | PA      | $150186.55    | 0.04%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3133A3GU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    190862 | PA      | $171742.79    | 0.04%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3133A86T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    134317 | PA      | $115416.70    | 0.03%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3133ABJ68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    191191 | PA      | $164213.09    | 0.04%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3133ACV62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    139442 | PA      | $119711.44    | 0.03%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3133AKBN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    796795 | PA      | $682973.10    | 0.17%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3133ALZ68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    544306 | PA      | $448458.48    | 0.11%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3133ANKU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    457547 | PA      | $391945.20    | 0.09%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3133ANV43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    705381 | PA      | $604112.64    | 0.15%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3133AQ3S4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    385069 | PA      | $329909.98    | 0.08%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3133AQUB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    612561 | PA      | $524801.90    | 0.13%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3133B5NK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    680587 | PA      | $584911.43    | 0.14%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3133BDPY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1226795 | PA      | $1158843.07   | 0.28%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3133BEXY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    636639 | PA      | $601466.98    | 0.15%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3133BFCK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    344539 | PA      | $325529.45    | 0.08%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3133BFWT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    910108 | PA      | $884624.87    | 0.21%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3133BGVS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    265132 | PA      | $257707.73    | 0.06%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                          | ABN AMRO Bank NV                                                                 | CUSIP: 00084DAV2<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |    600000 | PA      | $433570.19    | 0.10%             | 2037-03-13      | Variable      | 3.32%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S            | BBCMS Mortgage Trust 2021-C11                                                    | CUSIP: 05493MAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7966713 | PA      | $620284.30    | 0.15%             | 2054-09-15      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3133BKM63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    889960 | PA      | $840669.56    | 0.20%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138EKGF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22548 | PA      | $21238.71     | 0.01%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138EL5L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11834 | PA      | $11842.45     | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138ELDU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14816 | PA      | $13954.00     | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138ELPP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29146 | PA      | $29166.39     | 0.01%             | 2042-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138EN4H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14485 | PA      | $14494.51     | 0.00%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138EPEE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23414 | PA      | $22834.89     | 0.01%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138EPG65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84017 | PA      | $81937.51     | 0.02%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138EQDL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16987 | PA      | $16830.38     | 0.00%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138ER6R6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1368458 | PA      | $1278504.61   | 0.31%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138ERJ43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75748 | PA      | $73615.89     | 0.02%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138ESAS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112145 | PA      | $109020.24    | 0.03%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138ETDZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    194518 | PA      | $190501.47    | 0.05%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138ETJ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    482703 | PA      | $470944.85    | 0.11%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138ETV52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    113200 | PA      | $110174.94    | 0.03%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138LRK43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57678 | PA      | $54352.80     | 0.01%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138MCWD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160358 | PA      | $151096.98    | 0.04%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138MRLL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20220 | PA      | $19044.39     | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138W9GW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34857 | PA      | $32801.67     | 0.01%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138W9SV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30765 | PA      | $30004.14     | 0.01%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138WAEQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25319 | PA      | $24692.38     | 0.01%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138WAPT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10688 | PA      | $10695.73     | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138WAWV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17275 | PA      | $16847.77     | 0.00%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138WBYN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12035 | PA      | $12043.30     | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138WCBV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14641 | PA      | $14651.45     | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138WCZ97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9436 | PA      | $9202.68      | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138WGAM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16433 | PA      | $15375.12     | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138WGDK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    189191 | PA      | $183919.64    | 0.04%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138WGFE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21977 | PA      | $20554.71     | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138WGRR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41816 | PA      | $40567.95     | 0.01%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138WGX74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    506012 | PA      | $463143.09    | 0.11%             | 2041-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138WH5S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57694 | PA      | $51930.31     | 0.01%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138WHAA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6445 | PA      | $6390.07      | 0.00%             | 2046-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138WHBS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55872 | PA      | $54264.72     | 0.01%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138WHF64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    458800 | PA      | $430649.44    | 0.10%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138WHGK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39809 | PA      | $38651.93     | 0.01%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138WHKE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20038 | PA      | $19468.12     | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138WHM66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103974 | PA      | $93736.64     | 0.02%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138WHU34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97478 | PA      | $91050.14     | 0.02%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138WJ6C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19358 | PA      | $18689.29     | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138WJ6U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8221 | PA      | $8151.38      | 0.00%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138WJFK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74079 | PA      | $66678.36     | 0.02%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138WJTR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24016 | PA      | $23251.02     | 0.01%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138WJTT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68060 | PA      | $65891.11     | 0.02%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138WJU22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23949 | PA      | $23766.00     | 0.01%             | 2047-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138WJUZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20674 | PA      | $20001.04     | 0.00%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138WK4P7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37045 | PA      | $34582.83     | 0.01%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138WK4R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53908 | PA      | $52154.13     | 0.01%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138WKS22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40662 | PA      | $37971.98     | 0.01%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140J6E37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57030 | PA      | $53734.31     | 0.01%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140J77C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91346 | PA      | $85179.81     | 0.02%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140J8KN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89011 | PA      | $85693.39     | 0.02%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140J8LN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82169 | PA      | $76787.30     | 0.02%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140J95H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90406 | PA      | $84482.26     | 0.02%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140J95J6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45305 | PA      | $42326.46     | 0.01%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140J9SN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55745 | PA      | $49893.00     | 0.01%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140J9XH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67175 | PA      | $60633.49     | 0.01%             | 2047-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140JANA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100921 | PA      | $94317.74     | 0.02%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140JWNT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158345 | PA      | $140744.83    | 0.03%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140K1Z66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68420 | PA      | $60899.28     | 0.01%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140K45H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83985 | PA      | $74900.65     | 0.02%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140K8SN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129507 | PA      | $114999.08    | 0.03%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140K9KM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    341150 | PA      | $303670.92    | 0.07%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140KEFG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    185946 | PA      | $165199.14    | 0.04%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140KEFX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34814 | PA      | $34146.51     | 0.01%             | 2050-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140KEPA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    346268 | PA      | $297438.49    | 0.07%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140KKF66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99985 | PA      | $88808.33     | 0.02%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140KKHR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    195782 | PA      | $169594.61    | 0.04%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140KYMT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    776984 | PA      | $671865.65    | 0.16%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 31418D6B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93689 | PA      | $77106.58     | 0.02%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 31418D7F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    441361 | PA      | $377465.21    | 0.09%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 31418DNJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146925 | PA      | $135577.96    | 0.03%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 31418DSK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    559468 | PA      | $499503.28    | 0.12%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 31418DT44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    294141 | PA      | $287788.98    | 0.07%             | 2050-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 31418DTS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    473658 | PA      | $420712.21    | 0.10%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 31418DV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    203183 | PA      | $167696.12    | 0.04%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 31418DVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2420859 | PA      | $1998612.16   | 0.48%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 31418DWS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    683167 | PA      | $586296.25    | 0.14%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 31418DXL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    435034 | PA      | $373852.90    | 0.09%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 31418DYC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    280272 | PA      | $240307.28    | 0.06%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 31418DYD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    821604 | PA      | $728656.15    | 0.18%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 31418DYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    702561 | PA      | $579099.63    | 0.14%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 31418DYY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    462922 | PA      | $396813.76    | 0.10%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 31418DZW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    921195 | PA      | $789546.37    | 0.19%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 31418ED80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    702994 | PA      | $664055.06    | 0.16%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 31418EDE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1548876 | PA      | $1418378.74   | 0.34%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 31418EE63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    338936 | PA      | $329515.91    | 0.08%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 31418EJ76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    741061 | PA      | $736892.23    | 0.18%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 31419BBY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21155 | PA      | $21169.70     | 0.01%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 31419KVG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9506 | PA      | $8952.91      | 0.00%             | 2040-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| First American Government Obli            | First American Government Obligations Fund                                       | CUSIP: 31846V336<br>LEI: 549300R5MYM6VZF1RM44 | Long             | STIV             | RF                | US        |   2131998 | NS      | $2131998.44   | 0.52%             |  |  |  | No            |                  1 | On Loan: No      |
| FORD MOTOR COMPANY                        | Ford Motor Co                                                                    | CUSIP: 345370CQ1<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |     90000 | PA      | $66697.67     | 0.02%             | 2043-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                  | Ford Motor Credit Co LLC                                                         | CUSIP: 345397ZR7<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    310000 | PA      | $285065.08    | 0.07%             | 2029-05-03      | Fixed         | 5.11%                 | No            |                  2 | On Loan: —       |
| Fort Washington CLO                       | Fort Washington CLO 2021-2 LTD                                                   | CUSIP: 34918RAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1939922.00   | 0.47%             | 2034-10-20      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| FOX CORP                                  | Fox Corp                                                                         | CUSIP: 35137LAK1<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |    770000 | PA      | $686401.69    | 0.17%             | 2049-01-25      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                       | Freddie Mac STACR REMIC Trust 2021-DNA7                                          | CUSIP: 35564KMA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1881687 | PA      | $1835574.85   | 0.44%             | 2041-11-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                       | Freddie Mac STACR REMIC Trust 2022-DNA2                                          | CUSIP: 35564KRF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1650000 | PA      | $1553438.70   | 0.38%             | 2042-02-25      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                       | Freddie Mac STACR REMIC Trust 2022-HQA1                                          | CUSIP: 35564KTB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    309000 | PA      | $298745.77    | 0.07%             | 2042-03-25      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                       | Freddie Mac STACR REMIC Trust 2022-DNA3                                          | CUSIP: 35564KUX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    506000 | PA      | $484841.10    | 0.12%             | 2042-04-25      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS                   | Frontier Communications Holdings LLC                                             | CUSIP: 35906ABE7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    235000 | PA      | $222075.00    | 0.05%             | 2027-10-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| GCAT                                      | GCAT 2019-NQM3 Trust                                                             | CUSIP: 36167VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    117125 | PA      | $108890.82    | 0.03%             | 2059-11-25      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| GCAT                                      | GCAT 2021-NQM5 Trust                                                             | CUSIP: 36168KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    897554 | PA      | $696346.92    | 0.17%             | 2066-07-25      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A            | Ginnie Mae II Pool                                                               | CUSIP: 36179WG36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    623090 | PA      | $548010.72    | 0.13%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A            | Ginnie Mae II Pool                                                               | CUSIP: 36179WJR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    408639 | PA      | $359226.99    | 0.09%             | 2051-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A            | Ginnie Mae II Pool                                                               | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    914516 | PA      | $803551.03    | 0.19%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A            | Ginnie Mae II Pool                                                               | CUSIP: 36179WP93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    297641 | PA      | $253433.00    | 0.06%             | 2051-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A            | Ginnie Mae II Pool                                                               | CUSIP: 36179WTX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    375435 | PA      | $319452.82    | 0.08%             | 2051-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A            | Ginnie Mae II Pool                                                               | CUSIP: 36179WVV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    605759 | PA      | $546651.23    | 0.13%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A            | Ginnie Mae II Pool                                                               | CUSIP: 36179XBU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    915286 | PA      | $895305.44    | 0.22%             | 2052-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A            | Ginnie Mae II Pool                                                               | CUSIP: 36179XDD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    595426 | PA      | $567639.97    | 0.14%             | 2052-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A            | Ginnie Mae II Pool                                                               | CUSIP: 36179XDE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    595643 | PA      | $582620.02    | 0.14%             | 2052-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A            | Ginnie Mae II Pool                                                               | CUSIP: 36179XFG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    572463 | PA      | $545748.09    | 0.13%             | 2052-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A            | Ginnie Mae II Pool                                                               | CUSIP: 36179XFH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    896110 | PA      | $876518.39    | 0.21%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust              | GS Mortgage Securities Trust 2014-GC26                                           | CUSIP: 36250HAG8<br>LEI: 549300V3F4KBEWHAZP46 | Long             | ABS-MBS          | CORP              | US        |   1805817 | PA      | $26132.87     | 0.01%             | 2047-11-10      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust              | GS Mortgage Securities Trust 2015-GC34                                           | CUSIP: 36250VAE2<br>LEI: 54930070360RBP384M53 | Long             | ABS-MBS          | CORP              | US        |     76158 | PA      | $73316.45     | 0.02%             | 2048-10-10      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust              | GS Mortgage Securities Trust 2014-GC18                                           | CUSIP: 36252RAT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3195758 | PA      | $25031.41     | 0.01%             | 2047-01-10      | Variable      | 1.19%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust              | GS Mortgage Securities Trust 2020-GC47                                           | CUSIP: 36258RBA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     73000 | PA      | $60248.23     | 0.01%             | 2053-05-12      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| GSK CONSUMER HEALTHCARE                   | GSK Consumer Healthcare Capital US LLC                                           | CUSIP: 36264FAL5<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |    920000 | PA      | $835213.24    | 0.20%             | 2029-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| GSK CONSUMER HEALTHCARE                   | GSK Consumer Healthcare Capital US LLC                                           | CUSIP: 36264FAM3<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |   1040000 | PA      | $911888.78    | 0.22%             | 2032-03-24      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                         | General Motors Co                                                                | CUSIP: 37045VAV2<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |   1448000 | PA      | $1466502.47   | 0.35%             | 2025-10-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                    | General Motors Financial Co Inc                                                  | CUSIP: 37045XCR5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    370000 | PA      | $368785.75    | 0.09%             | 2024-01-17      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                    | General Motors Financial Co Inc                                                  | CUSIP: 37045XCY0<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    700000 | PA      | $598776.76    | 0.14%             | 2030-06-21      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                   | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GWB6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1375000 | PA      | $1320179.52   | 0.32%             | 2027-01-26      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                   | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GXH2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1450000 | PA      | $1313852.18   | 0.32%             | 2030-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                   | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GYB4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1040000 | PA      | $839356.85    | 0.20%             | 2032-04-22      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                   | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1315000 | PA      | $1035999.29   | 0.25%             | 2032-07-21      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                   | Goldman Sachs Group Inc/The                                                      | CUSIP: 38148YAA6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    250000 | PA      | $209980.76    | 0.05%             | 2038-10-31      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| GOODYEAR TIRE & RUBBER                    | Goodyear Tire & Rubber Co/The                                                    | CUSIP: 382550BJ9<br>LEI: 5493002BI0S2ZQUY3437 | Long             | DBT              | CORP              | US        |    125000 | PA      | $107096.25    | 0.03%             | 2031-04-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A            | Government National Mortgage Association                                         | CUSIP: 38378MAD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    587919 | PA      | $106855.31    | 0.03%             | 2043-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A            | Government National Mortgage Association                                         | CUSIP: 38379FTL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    882433 | PA      | $122756.17    | 0.03%             | 2045-11-20      | Floating      | 2.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A            | Government National Mortgage Association                                         | CUSIP: 38380UN41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    987291 | PA      | $105114.48    | 0.03%             | 2048-01-20      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A            | Government National Mortgage Association                                         | CUSIP: 38382LNV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2332125 | PA      | $307309.48    | 0.07%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A            | Government National Mortgage Association                                         | CUSIP: 38382WPN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2592556 | PA      | $350036.32    | 0.08%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GRUPO BIMBO SAB DE CV                     | Grupo Bimbo SAB de CV                                                            | CUSIP: 40052VAE4<br>LEI: 5493000RIXURZEBFEV60 | Long             | DBT              | CORP              | MX        |    730000 | PA      | $631317.13    | 0.15%             | 2047-11-10      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| HCA INC                                   | HCA Inc                                                                          | CUSIP: 404119BZ1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    870000 | PA      | $758022.62    | 0.18%             | 2049-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                         | HSBC Holdings PLC                                                                | CUSIP: 404280BL2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    910000 | PA      | $807807.00    | 0.20%             | 2027-05-22      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                         | HSBC Holdings PLC                                                                | CUSIP: 404280CE7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1417000 | PA      | $1317285.61   | 0.32%             | 2025-11-07      | Variable      | 2.63%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                         | HSBC Holdings PLC                                                                | CUSIP: 404280CF4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    285000 | PA      | $272688.29    | 0.07%             | 2030-03-31      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140L6UV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    709305 | PA      | $607939.44    | 0.15%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140LNPB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    302848 | PA      | $259504.13    | 0.06%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140LPPZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    769912 | PA      | $659630.69    | 0.16%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140LQXS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    435731 | PA      | $373371.05    | 0.09%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140LRT73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    777361 | PA      | $665940.40    | 0.16%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140LWB97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    466391 | PA      | $399485.92    | 0.10%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140M2QC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84917 | PA      | $75027.23     | 0.02%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140X5PZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112359 | PA      | $101011.63    | 0.02%             | 2048-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140X5UK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127297 | PA      | $114108.55    | 0.03%             | 2048-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140X6GF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    208105 | PA      | $187520.93    | 0.05%             | 2048-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140X6GZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    455838 | PA      | $413445.73    | 0.10%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140X7AV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96671 | PA      | $94609.26     | 0.02%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140X7PD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    425927 | PA      | $395960.48    | 0.10%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140X7Y86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    178855 | PA      | $159597.97    | 0.04%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140X84A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    191582 | PA      | $158076.29    | 0.04%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140X8NL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    435994 | PA      | $424466.89    | 0.10%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140X8NM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    381589 | PA      | $367896.98    | 0.09%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140X8VA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    599593 | PA      | $560178.74    | 0.14%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140X9SM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    579154 | PA      | $540337.64    | 0.13%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140XA7B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    499023 | PA      | $427760.28    | 0.10%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140XBJV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22533 | PA      | $22258.44     | 0.01%             | 2050-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140XBNJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    585140 | PA      | $540722.18    | 0.13%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140XBS43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    500959 | PA      | $429633.05    | 0.10%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140XCCQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    800230 | PA      | $685417.36    | 0.17%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140XCJE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    362641 | PA      | $311340.86    | 0.08%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140XCLC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    770644 | PA      | $660343.00    | 0.16%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140XDER3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132682 | PA      | $130910.66    | 0.03%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140XFD32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    781671 | PA      | $645165.09    | 0.16%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140XGWL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    349559 | PA      | $300400.14    | 0.07%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140XH3M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    696236 | PA      | $676669.55    | 0.16%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 31410LDP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5978 | PA      | $5982.00      | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 31416WRK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25085 | PA      | $25102.07     | 0.01%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 31416YKN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8369 | PA      | $8464.41      | 0.00%             | 2031-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 31416YRQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6819 | PA      | $6823.77      | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 31417EZ79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12714 | PA      | $11972.86     | 0.00%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 31417GBQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39621 | PA      | $37314.42     | 0.01%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 31417GJE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35756 | PA      | $33633.21     | 0.01%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 31417YDA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2947 | PA      | $2980.86      | 0.00%             | 2029-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 31417YR82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       276 | PA      | $276.12       | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 31418AX60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14949 | PA      | $14061.56     | 0.00%             | 2043-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 31418BD86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12491 | PA      | $12499.35     | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 31418CBF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    581691 | PA      | $524206.17    | 0.13%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 31418CCH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88200 | PA      | $79452.10     | 0.02%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 31418CFN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60222 | PA      | $59735.65     | 0.01%             | 2047-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 31418CJD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79664 | PA      | $74008.52     | 0.02%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 31418CKW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16519 | PA      | $16253.73     | 0.00%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 31418CPF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    500754 | PA      | $482821.91    | 0.12%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 31418CR89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109681 | PA      | $102130.89    | 0.02%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 31418CUC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    214707 | PA      | $211841.43    | 0.05%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 31418D2L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    661745 | PA      | $545115.72    | 0.13%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 31418D2M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    363323 | PA      | $311362.27    | 0.08%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 31418D2N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    906887 | PA      | $803169.28    | 0.19%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 31418D3H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2405065 | PA      | $2060749.72   | 0.50%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 31418D3K6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    236962 | PA      | $217288.09    | 0.05%             | 2051-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 31418D4X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    347866 | PA      | $286429.28    | 0.07%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A            | Ginnie Mae II Pool                                                               | CUSIP: 36179M2Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32981 | PA      | $31350.35     | 0.01%             | 2043-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A            | Ginnie Mae II Pool                                                               | CUSIP: 36179MX47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24172 | PA      | $22977.92     | 0.01%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A            | Ginnie Mae II Pool                                                               | CUSIP: 36179NBB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23533 | PA      | $22369.18     | 0.01%             | 2043-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A            | Ginnie Mae II Pool                                                               | CUSIP: 36179SB89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     40584 | PA      | $38336.45     | 0.01%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A            | Ginnie Mae II Pool                                                               | CUSIP: 36179SGL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15742 | PA      | $14838.77     | 0.00%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A            | Ginnie Mae II Pool                                                               | CUSIP: 36179TAK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     64054 | PA      | $60217.76     | 0.01%             | 2047-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A            | Ginnie Mae II Pool                                                               | CUSIP: 36179TCX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     88435 | PA      | $82900.18     | 0.02%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A            | Ginnie Mae II Pool                                                               | CUSIP: 36179TEZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59420 | PA      | $55856.66     | 0.01%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A            | Ginnie Mae II Pool                                                               | CUSIP: 36179TNR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44964 | PA      | $42298.02     | 0.01%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A            | Ginnie Mae II Pool                                                               | CUSIP: 36179V4X5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    234740 | PA      | $219627.66    | 0.05%             | 2051-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A            | Ginnie Mae II Pool                                                               | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    293396 | PA      | $250441.93    | 0.06%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A            | Ginnie Mae II Pool                                                               | CUSIP: 36179V7E4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    296162 | PA      | $260922.31    | 0.06%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A            | Ginnie Mae II Pool                                                               | CUSIP: 36179VHT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    243119 | PA      | $228918.21    | 0.06%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A            | Ginnie Mae II Pool                                                               | CUSIP: 36179VKM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18088 | PA      | $16931.04     | 0.00%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A            | Ginnie Mae II Pool                                                               | CUSIP: 36179VKN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     81502 | PA      | $78325.49     | 0.02%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A            | Ginnie Mae II Pool                                                               | CUSIP: 36179W5E4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    662952 | PA      | $632016.75    | 0.15%             | 2052-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A            | Ginnie Mae II Pool                                                               | CUSIP: 36179W7L6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    614309 | PA      | $569598.44    | 0.14%             | 2052-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A            | Ginnie Mae II Pool                                                               | CUSIP: 36179WBX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    299009 | PA      | $255170.85    | 0.06%             | 2051-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A            | Ginnie Mae II Pool                                                               | CUSIP: 36179WBY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    733761 | PA      | $646301.16    | 0.16%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A            | Ginnie Mae II Pool                                                               | CUSIP: 36179WDQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    852021 | PA      | $726927.09    | 0.18%             | 2051-04-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A            | Ginnie Mae II Pool                                                               | CUSIP: 36179WDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    811108 | PA      | $714909.87    | 0.17%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A            | Ginnie Mae II Pool                                                               | CUSIP: 36179WFG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    298189 | PA      | $262390.88    | 0.06%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                         | HSBC Holdings PLC                                                                | CUSIP: 404280CG2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $181223.22    | 0.04%             | 2026-06-04      | Variable      | 2.10%                 | No            |                  2 | On Loan: No      |
| HARSCO CORP                               | Harsco Corp                                                                      | CUSIP: 415864AM9<br>LEI: KAO98FK89NPNNPQGUZ43 | Long             | DBT              | CORP              | US        |    110000 | PA      | $89009.25     | 0.02%             | 2027-07-31      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                 | Hess Corp                                                                        | CUSIP: 42809HAD9<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |    470000 | PA      | $451671.83    | 0.11%             | 2041-02-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| HILCORP ENERGY I/HILCORP                  | Hilcorp Energy I LP / Hilcorp Finance Co                                         | CUSIP: 431318AS3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    160000 | PA      | $152550.00    | 0.04%             | 2028-11-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Hilton USA Trust                          | Hilton USA Trust 2016-HHV                                                        | CUSIP: 43300LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    283000 | PA      | $257990.24    | 0.06%             | 2038-11-05      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                            | Home Depot Inc/The                                                               | CUSIP: 437076AZ5<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |   1202000 | PA      | $1194254.01   | 0.29%             | 2023-04-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: —       |
| HOME DEPOT INC                            | Home Depot Inc/The                                                               | CUSIP: 437076CS9<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    655000 | PA      | $648478.99    | 0.16%             | 2032-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| HOME DEPOT INC                            | Home Depot Inc/The                                                               | CUSIP: 437076CT7<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    715000 | PA      | $701625.62    | 0.17%             | 2052-09-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: —       |
| HUDBAY MINERALS INC                       | Hudbay Minerals Inc                                                              | CUSIP: 443628AH5<br>LEI: 549300WI524AL577IX21 | Long             | DBT              | CORP              | CA        |    125000 | PA      | $112060.38    | 0.03%             | 2029-04-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Hudson Yards                              | Hudson Yards 2019-55HY Mortgage Trust                                            | CUSIP: 44421MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    865000 | PA      | $735087.38    | 0.18%             | 2041-12-10      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| HUNGARY                                   | Hungary Government International Bond                                            | CUSIP: 445545AF3<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |    360000 | PA      | $393198.48    | 0.10%             | 2041-03-29      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| ILLUMINA INC                              | Illumina Inc                                                                     | CUSIP: 452327AP4<br>LEI: SQ95QG8SR5Q56LSNF682 | Long             | DBT              | CORP              | US        |    670000 | PA      | $674036.35    | 0.16%             | 2027-12-13      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                     | Indonesia Government International Bond                                          | CUSIP: 455780BX3<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |    550000 | PA      | $544480.28    | 0.13%             | 2027-01-08      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                | Intel Corp                                                                       | CUSIP: 458140BQ2<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |   1144000 | PA      | $1112546.57   | 0.27%             | 2027-03-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| INTL BK RECON & DEVELOP                   | International Bank for Reconstruction & Development                              | CUSIP: 459058KJ1<br>LEI: ZTMSNXROF84AHWJNKQ93 | Long             | DBT              | CORP              | US        |    640000 | PA      | $617276.05    | 0.15%             | 2027-06-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| INTL BK RECON & DEVELOP                   | International Bank for Reconstruction & Development                              | CUSIP: 459058KL6<br>LEI: ZTMSNXROF84AHWJNKQ93 | Long             | DBT              | CORP              | US        |    640000 | PA      | $627594.80    | 0.15%             | 2029-09-21      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| INTL FINANCE CORP                         | International Finance Corp                                                       | CUSIP: 45950KDA5<br>LEI: QKL54NQY28TCDAI75F60 | Long             | DBT              | CORP              | US        |    660000 | PA      | $649199.18    | 0.16%             | 2025-09-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                       | Intesa Sanpaolo SpA                                                              | CUSIP: 46115HBQ9<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |    770000 | PA      | $566713.36    | 0.14%             | 2032-06-01      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                       | Intesa Sanpaolo SpA                                                              | CUSIP: 46115HBV8<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |    710000 | PA      | $725023.29    | 0.18%             | 2033-11-21      | Variable      | 8.25%                 | No            |                  2 | On Loan: No      |
| IRON MOUNTAIN INC                         | Iron Mountain Inc                                                                | CUSIP: 46284VAE1<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              | CORP              | US        |     45000 | PA      | $42131.93     | 0.01%             | 2028-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| IRON MOUNTAIN INC                         | Iron Mountain Inc                                                                | CUSIP: 46284VAF8<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              | CORP              | US        |    240000 | PA      | $211492.71    | 0.05%             | 2029-09-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: —       |
| IRON MOUNTAIN INC                         | Iron Mountain Inc                                                                | CUSIP: 46284VAJ0<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              | CORP              | US        |    150000 | PA      | $135189.75    | 0.03%             | 2030-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| iShares Core U.S. Aggregate Bo            | iShares Core U.S. Aggregate Bond ETF                                             | CUSIP: 464287226<br>LEI: 549300F7VSXTKBGHJE47 | Long             | EC               | RF                | US        |       817 | NS      | $80302.93     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Chase Commercial Mor            | J.P. Morgan Chase Commercial Mortgage Securities Trust 2022-OPO                  | CUSIP: 46655AAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    501000 | PA      | $410841.99    | 0.10%             | 2039-01-05      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| JAPAN INT'L COOP AGENCY                   | Japan International Cooperation Agency                                           | CUSIP: 47109LAF1<br>LEI: 254900XEIG78M2AJB031 | Long             | DBT              | CORP              | JP        |    790000 | PA      | $749055.74    | 0.18%             | 2027-05-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| ZIFF DAVIS INC                            | Ziff Davis Inc                                                                   | CUSIP: 48123VAF9<br>LEI: 5493008OJYGLHD7MXA18 | Long             | DBT              | CORP              | US        |    255000 | PA      | $221759.09    | 0.05%             | 2030-10-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENER PART                   | Kinder Morgan Energy Partners LP                                                 | CUSIP: 494550BS4<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |    755000 | PA      | $745085.64    | 0.18%             | 2024-02-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                         | Kinder Morgan Inc                                                                | CUSIP: 49456BAH4<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |   1745000 | PA      | $1622502.43   | 0.39%             | 2045-06-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| KORN/FERRY INTERNATIONAL                  | Korn Ferry                                                                       | CUSIP: 50067PAA7<br>LEI: 549300FOD20OM0GT5G40 | Long             | DBT              | CORP              | US        |    100000 | PA      | $91584.00     | 0.02%             | 2027-12-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| KFW                                       | Kreditanstalt fuer Wiederaufbau                                                  | CUSIP: 500769JT2<br>LEI: 549300GDPG70E3MBBU98 | Long             | DBT              | CORP              | DE        |    740000 | PA      | $710844.27    | 0.17%             | 2027-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LIVE NATION ENTERTAINMEN                  | Live Nation Entertainment Inc                                                    | CUSIP: 538034AR0<br>LEI: 5493007B9BM9ZXJINO78 | Long             | DBT              | CORP              | US        |    145000 | PA      | $129189.93    | 0.03%             | 2027-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                  | Lloyds Banking Group PLC                                                         | CUSIP: 539439AW9<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    430000 | PA      | $451798.95    | 0.11%             | 2033-11-15      | Variable      | 7.95%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                  | Lloyds Banking Group PLC                                                         | CUSIP: 53944YAP8<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   1610000 | PA      | $1385846.16   | 0.33%             | 2027-05-11      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                  | Lloyds Banking Group PLC                                                         | CUSIP: 53944YAQ6<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    920000 | PA      | $596700.16    | 0.14%             | 2046-12-14      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                      | Lockheed Martin Corp                                                             | CUSIP: 539830BW8<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |    375000 | PA      | $388996.10    | 0.09%             | 2033-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                      | Lockheed Martin Corp                                                             | CUSIP: 539830BY4<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |    490000 | PA      | $535555.25    | 0.13%             | 2063-11-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| MPH ACQUISITION HOLDINGS                  | MPH Acquisition Holdings LLC                                                     | CUSIP: 553283AD4<br>LEI: 5493002WXOPRPTXWTU06 | Long             | DBT              | CORP              | US        |    205000 | PA      | $163976.43    | 0.04%             | 2028-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: —       |
| MPLX LP                                   | MPLX LP                                                                          | CUSIP: 55336VAN0<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    815000 | PA      | $656109.56    | 0.16%             | 2048-04-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                           | MVW 2021-1W LLC                                                                  | CUSIP: 55389TAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    347678 | PA      | $315321.94    | 0.08%             | 2041-01-22      | Fixed         | 1.44%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                           | MVW 2021-2 LLC                                                                   | CUSIP: 55400KAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    811351 | PA      | $716930.64    | 0.17%             | 2039-05-20      | Fixed         | 1.43%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                           | MVW 2021-2 LLC                                                                   | CUSIP: 55400KAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    661972 | PA      | $593972.23    | 0.14%             | 2039-05-20      | Fixed         | 1.83%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                           | MVW 2022-1 LLC                                                                   | CUSIP: 55400UAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    295876 | PA      | $288902.12    | 0.07%             | 2039-11-21      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                  | Madison Park Funding XXVI Ltd                                                    | CUSIP: 55819YAA8<br>LEI: 549300FNRP3W5DX0O430 | Long             | ABS-CBDO         | CORP              | KY        |   2295000 | PA      | $2259930.11   | 0.55%             | 2030-07-29      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                  | Warnermedia Holdings Inc                                                         | CUSIP: 55903VAN3<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   1545000 | PA      | $1223867.89   | 0.30%             | 2042-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                  | Warnermedia Holdings Inc                                                         | CUSIP: 55903VAQ6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    845000 | PA      | $646057.00    | 0.16%             | 2052-03-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                         | Magnetite XXIII Ltd                                                              | CUSIP: 55954NAJ8<br>LEI: 549300WG00K34O9YA435 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $969548.00    | 0.23%             | 2035-01-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| ONTARIO (PROVINCE OF)                     | Province of Ontario Canada                                                       | CUSIP: 683234AU2<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |    865000 | PA      | $726047.07    | 0.18%             | 2032-01-21      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                               | Oracle Corp                                                                      | CUSIP: 68389XBJ3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    615000 | PA      | $452440.78    | 0.11%             | 2046-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                               | Oracle Corp                                                                      | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1045000 | PA      | $872978.73    | 0.21%             | 2031-03-25      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                               | Oracle Corp                                                                      | CUSIP: 68389XCK9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1240000 | PA      | $1363471.20   | 0.33%             | 2052-11-09      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| PFS Financing Corp.                       | PFS Financing Corp                                                               | CUSIP: 69335PED3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1890000 | PA      | $1733031.53   | 0.42%             | 2026-08-15      | Fixed         | 0.77%                 | No            |                  2 | On Loan: No      |
| PERFORMANCE FOOD GROUP I                  | Performance Food Group Inc                                                       | CUSIP: 69346VAA7<br>LEI: 549300OMUOGBYK0FFO76 | Long             | DBT              | CORP              | US        |     90000 | PA      | $87178.05     | 0.02%             | 2027-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                    | Pacific Gas and Electric Co                                                      | CUSIP: 694308JG3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1405000 | PA      | $1098979.04   | 0.27%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PARK INTERMED HOLDINGS                    | Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co-Issuer | CUSIP: 70052LAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    195000 | PA      | $180843.00    | 0.04%             | 2028-10-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| PAYPAL HOLDINGS INC                       | PayPal Holdings Inc                                                              | CUSIP: 70450YAC7<br>LEI: 5493005X2GO78EFZ3E94 | Long             | DBT              | CORP              | US        |   1110000 | PA      | $1063401.40   | 0.26%             | 2024-10-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                    | Philip Morris International Inc                                                  | CUSIP: 718172CB3<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   2654000 | PA      | $2452043.05   | 0.59%             | 2027-08-17      | Fixed         | 3.12%                 | No            |                  2 | On Loan: —       |
| PHILIP MORRIS INTL INC                    | Philip Morris International Inc                                                  | CUSIP: 718172CX5<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   1045000 | PA      | $1063919.93   | 0.26%             | 2032-11-17      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MARATHON PETROLEUM CORP                   | Marathon Petroleum Corp                                                          | CUSIP: 56585ABH4<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | DBT              | CORP              | US        |    775000 | PA      | $768281.62    | 0.19%             | 2025-05-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                    | Marvell Technology Inc                                                           | CUSIP: 573874AJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2035000 | PA      | $1658936.48   | 0.40%             | 2031-04-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                           | McDonald's Corp                                                                  | CUSIP: 58013MFP4<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |   1622000 | PA      | $1548416.36   | 0.37%             | 2027-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: —       |
| MERCK & CO INC                            | Merck & Co Inc                                                                   | CUSIP: 58933YBF1<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |    615000 | PA      | $424489.72    | 0.10%             | 2051-12-10      | Fixed         | 2.75%                 | No            |                  2 | On Loan: —       |
| METLIFE INC                               | MetLife Inc                                                                      | CUSIP: 59156RAE8<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |   2137000 | PA      | $2357654.35   | 0.57%             | 2032-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MetroNet Infrastructure Issuer            | MetroNet Infrastructure Issuer LLC                                               | CUSIP: 59170JAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    693000 | PA      | $661994.14    | 0.16%             | 2052-10-20      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                            | Microsoft Corp                                                                   | CUSIP: 594918BJ2<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |   2676000 | PA      | $2600786.93   | 0.63%             | 2025-11-03      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| MICROCHIP TECHNOLOGY INC                  | Microchip Technology Inc                                                         | CUSIP: 595017AP9<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |    690000 | PA      | $687144.67    | 0.17%             | 2023-06-01      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| MILEAGE PLUS HLDINGS LLC                  | Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd        | CUSIP: 599191AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    190000 | PA      | $189286.55    | 0.05%             | 2027-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust            | Morgan Stanley Capital I Trust 2018-L1                                           | CUSIP: 61691QAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    325000 | PA      | $294755.86    | 0.07%             | 2051-10-15      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust            | Morgan Stanley Capital I Trust 2020-HR8                                          | CUSIP: 61692BBP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    335000 | PA      | $269588.57    | 0.07%             | 2053-07-15      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                            | Morgan Stanley                                                                   | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1190000 | PA      | $995548.49    | 0.24%             | 2031-01-22      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                            | Morgan Stanley                                                                   | CUSIP: 61744YAK4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1625000 | PA      | $1497826.22   | 0.36%             | 2028-07-22      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                            | Morgan Stanley                                                                   | CUSIP: 61746BCY0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2436000 | PA      | $2552068.02   | 0.62%             | 2026-08-09      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                            | Morgan Stanley                                                                   | CUSIP: 61747YEB7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1222568.26   | 0.30%             | 2025-01-22      | Variable      | 0.79%                 | No            |                  2 | On Loan: —       |
| MORGAN STANLEY                            | Morgan Stanley                                                                   | CUSIP: 61747YED3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1670000 | PA      | $1298932.33   | 0.31%             | 2032-07-21      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                            | Morgan Stanley                                                                   | CUSIP: 61747YES0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    480000 | PA      | $445824.96    | 0.11%             | 2037-04-20      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                            | Morgan Stanley                                                                   | CUSIP: 61761JZN2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    935000 | PA      | $899309.51    | 0.22%             | 2027-04-23      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                 | Morgan Stanley Bank of America Merrill Lynch Trust 2013-C9                       | CUSIP: 61762DAU5<br>LEI: 549300PFVBG5704L7K74 | Long             | ABS-MBS          | CORP              | US        |     21297 | PA      | $21229.28     | 0.01%             | 2046-05-15      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust            | Morgan Stanley Capital I Trust 2015-MS1                                          | CUSIP: 61765DAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $190683.88    | 0.05%             | 2048-05-15      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                    | NXP BV / NXP Funding LLC / NXP USA Inc                                           | CUSIP: 62954HBB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    905000 | PA      | $856218.04    | 0.21%             | 2033-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                         | NatWest Group PLC                                                                | CUSIP: 639057AB4<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   2170000 | PA      | $1590759.80   | 0.38%             | 2035-11-28      | Variable      | 3.03%                 | No            |                  2 | On Loan: —       |
| Navient Student Loan Trust                | Navient Private Education Refi Loan Trust 2021-E                                 | CUSIP: 63942EAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1440737 | PA      | $1190241.56   | 0.29%             | 2069-12-16      | Fixed         | 0.97%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                | Navient Private Education Refi Loan Trust 2021-c                                 | CUSIP: 63942JAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    607371 | PA      | $524507.13    | 0.13%             | 2069-10-15      | Fixed         | 1.06%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                | Navient Private Education Refi Loan Trust 2021-B                                 | CUSIP: 63942LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    953477 | PA      | $804776.78    | 0.19%             | 2069-07-15      | Fixed         | 0.94%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                 | Nelnet Student Loan Trust 2019-7                                                 | CUSIP: 64034WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    168869 | PA      | $168588.72    | 0.04%             | 2068-01-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| NEW FORTRESS ENERGY INC                   | New Fortress Energy Inc                                                          | CUSIP: 644393AB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     95000 | PA      | $91941.00     | 0.02%             | 2026-09-30      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan             | New Residential Mortgage Loan Trust 2019-NQM5                                    | CUSIP: 64830PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    149372 | PA      | $133772.43    | 0.03%             | 2059-11-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| NOVA CHEMICALS CORP                       | NOVA Chemicals Corp                                                              | CUSIP: 66977WAQ2<br>LEI: 549300ZOD6N7RI2FJP09 | Long             | DBT              | CORP              | CA        |    120000 | PA      | $116923.80    | 0.03%             | 2024-06-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| NOVA CHEMICALS CORP                       | NOVA Chemicals Corp                                                              | CUSIP: 66977WAR0<br>LEI: 549300ZOD6N7RI2FJP09 | Long             | DBT              | CORP              | CA        |     75000 | PA      | $67411.95     | 0.02%             | 2027-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                  | OBX 2021-NQM3 Trust                                                              | CUSIP: 67114JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    783435 | PA      | $590481.61    | 0.14%             | 2061-07-25      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                  | Occidental Petroleum Corp                                                        | CUSIP: 674599CX1<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    260000 | PA      | $211042.00    | 0.05%             | 2039-08-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Chase Auto Credit Linked Notes            | JPMorgan Chase Bank NA - CACLN                                                   | CUSIP: 46591HCD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1078712 | PA      | $1013309.58   | 0.24%             | 2029-02-26      | Fixed         | 0.76%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                      | OneMain Finance Corp                                                             | CUSIP: 682691AB6<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    255000 | PA      | $209147.05    | 0.05%             | 2027-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: —       |
| PRESIDIO HOLDING INC                      | Presidio Holdings Inc                                                            | CUSIP: 74101XAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    120000 | PA      | $112176.00    | 0.03%             | 2027-02-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                       | JPMorgan Chase & Co                                                              | CUSIP: 46625HRL6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    480000 | PA      | $475780.52    | 0.11%             | 2023-05-18      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                       | JPMorgan Chase & Co                                                              | CUSIP: 46625HRV4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1658000 | PA      | $1562847.93   | 0.38%             | 2026-10-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Prestige Auto Receivables Trus            | Prestige Auto Receivables Trust 2021-1                                           | CUSIP: 74113XAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    599000 | PA      | $549325.17    | 0.13%             | 2028-02-15      | Fixed         | 1.53%                 | No            |                  2 | On Loan: No      |
| BOOKING HOLDINGS INC                      | Booking Holdings Inc                                                             | CUSIP: 741503BC9<br>LEI: FXM8FAOHMYDIPD38UZ17 | Long             | DBT              | CORP              | US        |   1097000 | PA      | $1028580.41   | 0.25%             | 2028-03-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                       | JPMorgan Chase & Co                                                              | CUSIP: 46647PCC8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1535000 | PA      | $1241411.03   | 0.30%             | 2032-04-22      | Variable      | 2.58%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                    | Verizon Communications Inc                                                       | CUSIP: 92343VEU4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    400000 | PA      | $376707.81    | 0.09%             | 2029-12-03      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                    | Verizon Communications Inc                                                       | CUSIP: 92343VFW9<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    660000 | PA      | $415619.58    | 0.10%             | 2056-10-30      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                    | Verizon Communications Inc                                                       | CUSIP: 92343VGN8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   2360000 | PA      | $1896079.51   | 0.46%             | 2032-03-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| PRIME SECSRVC BRW/FINANC                  | Prime Security Services Borrower LLC / Prime Finance Inc                         | CUSIP: 74166MAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    230000 | PA      | $225787.55    | 0.05%             | 2026-04-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| PUBLIC STORAGE                            | Public Storage                                                                   | CUSIP: 74460WAE7<br>LEI: 549300LMZF40TKJ6DM64 | Long             | DBT              | CORP              | US        |   2787000 | PA      | $2301026.49   | 0.56%             | 2031-05-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| QUALCOMM INC                              | QUALCOMM Inc                                                                     | CUSIP: 747525BT9<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |   1515000 | PA      | $1639537.73   | 0.40%             | 2053-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RHP HOTEL PPTY/RHP FINAN                  | RHP Hotel Properties LP / RHP Finance Corp                                       | CUSIP: 749571AF2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    140000 | PA      | $128057.65    | 0.03%             | 2027-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securities C            | RASC Series 2005-KS12 Trust                                                      | CUSIP: 753910AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     78994 | PA      | $78429.40     | 0.02%             | 2036-01-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| ROCHE HOLDINGS INC                        | Roche Holdings Inc                                                               | CUSIP: 771196BY7<br>LEI: PVJRP0EQNV6OGDPZGY95 | Long             | DBT              | CORP              | US        |    615000 | PA      | $409569.90    | 0.10%             | 2051-12-13      | Fixed         | 2.61%                 | No            |                  2 | On Loan: —       |
| Verus Securitization Trust                | Verus Securitization Trust 2019-4                                                | CUSIP: 92537KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43080 | PA      | $41012.77     | 0.01%             | 2059-11-25      | Variable      | 2.64%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                | Verus Securitization Trust 2021-6                                                | CUSIP: 92538MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1183200 | PA      | $935367.76    | 0.23%             | 2066-10-25      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                   | Romanian Government International Bond                                           | CUSIP: 77586RAC4<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    505000 | PA      | $462712.31    | 0.11%             | 2044-01-22      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES                   | Royal Caribbean Cruises Ltd                                                      | CUSIP: 780153BG6<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |    205000 | PA      | $167569.05    | 0.04%             | 2028-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TRUST                           | SBA Tower Trust                                                                  | CUSIP: 78403DAR1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    618000 | PA      | $517004.15    | 0.12%             | 2028-01-15      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TRUST                           | SBA Tower Trust                                                                  | CUSIP: 78403DAX8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1243000 | PA      | $965354.69    | 0.23%             | 2031-10-15      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                | Verus Securitization Trust 2021-3                                                | CUSIP: 92539LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750219 | PA      | $607165.61    | 0.15%             | 2066-06-25      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                          | Paramount Global                                                                 | CUSIP: 92556HAD9<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    970000 | PA      | $802891.52    | 0.19%             | 2032-05-19      | Fixed         | 4.20%                 | No            |                  2 | On Loan: —       |
| SAUDI INTERNATIONAL BOND                  | Saudi Government International Bond                                              | CUSIP: 80413TAC3<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    400000 | PA      | $352527.20    | 0.09%             | 2046-10-26      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                       | Charles Schwab Corp/The                                                          | CUSIP: 808513BS3<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |   1725000 | PA      | $1422214.56   | 0.34%             | 2031-05-13      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| SERVICENOW INC                            | ServiceNow Inc                                                                   | CUSIP: 81762PAE2<br>LEI: 549300HJTQM36M0E1G39 | Long             | DBT              | CORP              | US        |   1894000 | PA      | $1461673.51   | 0.35%             | 2030-09-01      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| SHEA HOMES LP/FNDG CP                     | Shea Homes LP / Shea Homes Funding Corp                                          | CUSIP: 82088KAK4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    150000 | PA      | $129258.75    | 0.03%             | 2028-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC                               | Viatris Inc                                                                      | CUSIP: 92556VAF3<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |   1140000 | PA      | $738570.08    | 0.18%             | 2050-06-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA VEND FIN IV                  | Virgin Media Vendor Financing Notes IV DAC                                       | CUSIP: 92770QAA5<br>LEI: 635400ZZNJSEA4CAJR23 | Long             | DBT              | CORP              | IE        |    350000 | PA      | $300494.25    | 0.07%             | 2028-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co             | Sierra Timeshare 2020-2 Receivables Funding LLC                                  | CUSIP: 826525AC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    405796 | PA      | $382354.58    | 0.09%             | 2037-07-20      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co             | Sierra Timeshare 2019-2 Receivables Funding LLC                                  | CUSIP: 82652MAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    349125 | PA      | $335858.44    | 0.08%             | 2036-05-20      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| VISA INC                                  | Visa Inc                                                                         | CUSIP: 92826CAC6<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | DBT              | CORP              | US        |   1639000 | PA      | $1638230.41   | 0.40%             | 2022-12-14      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                  | Vistra Operations Co LLC                                                         | CUSIP: 92840VAH5<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    265000 | PA      | $233333.32    | 0.06%             | 2029-05-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co             | Sierra Timeshare 2021-2 Receivables Funding LLC                                  | CUSIP: 82652RAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    309494 | PA      | $285472.22    | 0.07%             | 2038-09-20      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO INC                       | Sirius XM Radio Inc                                                              | CUSIP: 82967NBG2<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |    415000 | PA      | $348570.95    | 0.08%             | 2030-07-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| VODAFONE GROUP PLC                        | Vodafone Group PLC                                                               | CUSIP: 92857WBS8<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |    500000 | PA      | $424661.22    | 0.10%             | 2049-06-19      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRU            | WFRBS Commercial Mortgage Trust 2014-C22                                         | CUSIP: 92890KBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    290000 | PA      | $275990.13    | 0.07%             | 2057-09-15      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES/SKYMILES                  | Delta Air Lines Inc / SkyMiles IP Ltd                                            | CUSIP: 830867AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3500000 | PA      | $3409384.55   | 0.82%             | 2025-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                          | Societe Generale SA                                                              | CUSIP: 83368RBJ0<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    975000 | PA      | $761629.90    | 0.18%             | 2033-01-21      | Variable      | 3.34%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRU            | WFRBS Commercial Mortgage Trust 2014-C22                                         | CUSIP: 92890KBD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2813513 | PA      | $28094.62     | 0.01%             | 2057-09-15      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                              | Voya CLO 2014-2 Ltd                                                              | CUSIP: 92912VAY1<br>LEI: 549300L8S87K3SMP0R77 | Long             | ABS-CBDO         | CORP              | KY        |   1659378 | PA      | $1633425.82   | 0.39%             | 2030-04-17      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                  | Republic of South Africa Government International Bond                           | CUSIP: 836205AV6<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    150000 | PA      | $108556.20    | 0.03%             | 2046-10-12      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                               | Southern Co/The                                                                  | CUSIP: 842587CU9<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |    313000 | PA      | $309558.73    | 0.07%             | 2023-07-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: —       |
| WEC ENERGY GROUP INC                      | WEC Energy Group Inc                                                             | CUSIP: 92939UAJ5<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |   1795000 | PA      | $1818591.60   | 0.44%             | 2027-10-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| WALMART INC                               | Walmart Inc                                                                      | CUSIP: 931142DU4<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |   1142000 | PA      | $1141337.01   | 0.28%             | 2022-12-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag            | Wells Fargo Commercial Mortgage Trust 2015-C29                                   | CUSIP: 94989KAV5<br>LEI: 549300NYO16WLNMVJJ46 | Long             | ABS-MBS          | CORP              | US        |    130000 | PA      | $123499.39    | 0.03%             | 2048-06-15      | Fixed         | 3.64%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                     | Wells Fargo & Co                                                                 | CUSIP: 95000U2D4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1563000 | PA      | $1471667.45   | 0.36%             | 2029-01-24      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| SOUTHWEST AIRLINES CO                     | Southwest Airlines Co                                                            | CUSIP: 844741BJ6<br>LEI: UDTZ87G0STFETI6HGH41 | Long             | DBT              | CORP              | US        |    800000 | PA      | $804110.80    | 0.19%             | 2025-05-04      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| STANDARD INDUSTRIES INC                   | Standard Industries Inc/NJ                                                       | CUSIP: 853496AD9<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |     65000 | PA      | $59007.00     | 0.01%             | 2028-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| WELLS FARGO & COMPANY                     | Wells Fargo & Co                                                                 | CUSIP: 95000U2H5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    900000 | PA      | $848094.67    | 0.20%             | 2025-10-30      | Variable      | 2.41%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                     | Wells Fargo & Co                                                                 | CUSIP: 95000U2J1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1045000 | PA      | $872878.96    | 0.21%             | 2031-02-11      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| STARBUCKS CORP                            | Starbucks Corp                                                                   | CUSIP: 855244AZ2<br>LEI: OQSJ1DU9TAOC51A47K68 | Long             | DBT              | CORP              | US        |    530000 | PA      | $452030.70    | 0.11%             | 2030-11-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential             | Starwood Mortgage Residential Trust 2021-3                                       | CUSIP: 85573JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    573889 | PA      | $461001.27    | 0.11%             | 2056-06-25      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                     | Wells Fargo & Co                                                                 | CUSIP: 95000U2M4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    365000 | PA      | $341380.22    | 0.08%             | 2051-04-04      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                     | Wells Fargo & Co                                                                 | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1020000 | PA      | $901350.33    | 0.22%             | 2028-06-02      | Variable      | 2.39%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                     | Wells Fargo & Co                                                                 | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1025000 | PA      | $984362.22    | 0.24%             | 2033-07-25      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag            | Wells Fargo Commercial Mortgage Trust 2018-C48                                   | CUSIP: 95001RAX7<br>LEI: 549300REQJRID6TODX95 | Long             | ABS-MBS          | CORP              | US        |    333945 | PA      | $317170.48    | 0.08%             | 2052-01-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential             | Starwood Mortgage Residential Trust 2021-6                                       | CUSIP: 85573RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    909197 | PA      | $734058.87    | 0.18%             | 2066-11-25      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                       | Synchrony Financial                                                              | CUSIP: 87165BAR4<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |    920000 | PA      | $689377.91    | 0.17%             | 2031-10-28      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                      | Westpac Banking Corp                                                             | CUSIP: 961214EP4<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |   1370000 | PA      | $1006884.73   | 0.24%             | 2035-11-15      | Variable      | 2.67%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRU            | WFRBS Commercial Mortgage Trust 2014-LC14                                        | CUSIP: 96221TAH0<br>LEI: 549300QGM7D5K3CV2643 | Long             | ABS-MBS          | CORP              | US        |    644544 | PA      | $6073.21      | 0.00%             | 2047-03-15      | Variable      | 1.42%                 | No            |                  2 | On Loan: No      |
| SYSCO CORPORATION                         | Sysco Corp                                                                       | CUSIP: 871829BN6<br>LEI: 5RGWIFLMGH3YS7KWI652 | Long             | DBT              | CORP              | US        |    764000 | PA      | $847164.11    | 0.20%             | 2050-04-01      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                          | T-Mobile USA Inc                                                                 | CUSIP: 87264AAX3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    550000 | PA      | $475921.40    | 0.12%             | 2040-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| WISCONSIN ELECTRIC POWER                  | Wisconsin Electric Power Co                                                      | CUSIP: 976656CN6<br>LEI: AENKIFMULUAWOUU8Q584 | Long             | DBT              | CORP              | US        |    905000 | PA      | $893937.23    | 0.22%             | 2032-09-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| WYNDHAM HOTELS & RESORTS                  | Wyndham Hotels & Resorts Inc                                                     | CUSIP: 98311AAB1<br>LEI: 549300FE3MQ4RVXXC673 | Long             | DBT              | CORP              | US        |    165000 | PA      | $147706.11    | 0.04%             | 2028-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| WYNN LAS VEGAS LLC/CORP                   | Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp                                 | CUSIP: 983130AV7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    125000 | PA      | $120429.38    | 0.03%             | 2025-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Mount Vernon Liquid Assets Portfolio, LLC | Mount Vernon Liquid Assets Portfolio, LLC                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | PF                | US        |  18915311 | NS      | $18915311.25  | 4.57%             |  |  |  | No            |                  1 | On Loan: No      |
| T-MOBILE USA INC                          | T-Mobile USA Inc                                                                 | CUSIP: 87264AAZ8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    645000 | PA      | $542220.33    | 0.13%             | 2050-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                          | T-Mobile USA Inc                                                                 | CUSIP: 87264ABL8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   1186000 | PA      | $853151.12    | 0.21%             | 2041-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                          | T-Mobile USA Inc                                                                 | CUSIP: 87264ABN4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    350000 | PA      | $241729.69    | 0.06%             | 2051-02-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                          | T-Mobile USA Inc                                                                 | CUSIP: 87264ABT1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    125000 | PA      | $104608.31    | 0.03%             | 2031-02-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                          | T-Mobile USA Inc                                                                 | CUSIP: 87264ACV5<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    650000 | PA      | $650285.90    | 0.16%             | 2033-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: —       |
| Taco Bell Funding, LLC                    | Taco Bell Funding LLC                                                            | CUSIP: 87342RAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1384020 | PA      | $1171353.70   | 0.28%             | 2051-08-25      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| TALLGRASS NRG PRTNR/FIN                   | Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp                     | CUSIP: 87470LAK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    110000 | PA      | $98236.05     | 0.02%             | 2031-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3132QQJP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11779 | PA      | $11500.12     | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3132QRYX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10687 | PA      | $10015.05     | 0.00%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3132QVMU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13030 | PA      | $12688.16     | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3132QVMX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23361 | PA      | $22781.11     | 0.01%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3132QWPU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3920 | PA      | $3674.31      | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3132QWPY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72876 | PA      | $70922.83     | 0.02%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3132QWWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     85879 | PA      | $80427.66     | 0.02%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3132WDMZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28002 | PA      | $26209.55     | 0.01%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3132WDYQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    123769 | PA      | $115835.21    | 0.03%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3132WEKW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61982 | PA      | $58109.74     | 0.01%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3132WJYR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     79668 | PA      | $74825.32     | 0.02%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3132WK6R4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48505 | PA      | $45375.81     | 0.01%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3132WK6V5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37610 | PA      | $36463.17     | 0.01%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3132WKB49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60970 | PA      | $59335.83     | 0.01%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3132WLHR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3458 | PA      | $3394.67      | 0.00%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3132WP7A9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41248 | PA      | $38552.74     | 0.01%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3132WPDE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     79100 | PA      | $76503.96     | 0.02%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3132WPNL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67652 | PA      | $67025.41     | 0.02%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3132XCR72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    140737 | PA      | $131016.65    | 0.03%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3132XSBD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60177 | PA      | $56257.40     | 0.01%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3132XSDP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8669 | PA      | $8102.02      | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3132XUSH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    131581 | PA      | $122887.70    | 0.03%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3132XW5Z0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55852 | PA      | $54062.04     | 0.01%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3133KJ2R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    271593 | PA      | $241077.94    | 0.06%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3133KJJP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    180457 | PA      | $155539.58    | 0.04%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3133KLA49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    279381 | PA      | $240134.37    | 0.06%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3133KMQG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    735727 | PA      | $629657.11    | 0.15%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3133KNNB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    232619 | PA      | $219950.46    | 0.05%             | 2052-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3133USGS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    395081 | PA      | $351801.73    | 0.09%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PRIN STRIPS                          | Fannie Mae Principal Strip                                                       | CUSIP: 31358DJP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |   1370000 | PA      | $706362.15    | 0.17%             | 2037-07-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                | Federal National Mortgage Association                                            | CUSIP: 3135G05Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |    575000 | PA      | $455376.14    | 0.11%             | 2030-08-05      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                | Federal National Mortgage Association                                            | CUSIP: 3135G05Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |    745000 | PA      | $641701.99    | 0.16%             | 2027-10-08      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                | Federal National Mortgage Association                                            | CUSIP: 3135G06G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |    255000 | PA      | $228980.03    | 0.06%             | 2025-11-07      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae REMICS                                                                | CUSIP: 3136A7BP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1530112 | PA      | $170019.88    | 0.04%             | 2042-07-25      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae REMICS                                                                | CUSIP: 3136A7FD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    933482 | PA      | $110534.45    | 0.03%             | 2042-07-25      | Floating      | 1.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae REMICS                                                                | CUSIP: 3136ABT94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    984796 | PA      | $121439.18    | 0.03%             | 2043-02-25      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae REMICS                                                                | CUSIP: 3136ACYT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1065176 | PA      | $119341.12    | 0.03%             | 2043-03-25      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae REMICS                                                                | CUSIP: 3136AMCR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1498888 | PA      | $188421.76    | 0.05%             | 2045-01-25      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae REMICS                                                                | CUSIP: 3136ANPZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    957389 | PA      | $117322.42    | 0.03%             | 2045-05-25      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae REMICS                                                                | CUSIP: 3136ARFE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    448111 | PA      | $80297.75     | 0.02%             | 2046-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae REMICS                                                                | CUSIP: 3136ASF76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    616820 | PA      | $65040.80     | 0.02%             | 2046-07-25      | Floating      | 1.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae REMICS                                                                | CUSIP: 3136B0YS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1226235 | PA      | $235446.86    | 0.06%             | 2048-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae REMICS                                                                | CUSIP: 3136BBFJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1120172 | PA      | $238684.10    | 0.06%             | 2050-08-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac REMICS                                                               | CUSIP: 3137AUZ36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    966777 | PA      | $182742.38    | 0.04%             | 2042-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138WKW27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21420 | PA      | $20744.41     | 0.01%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac REMICS                                                               | CUSIP: 3137AV4Y0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    939831 | PA      | $105136.31    | 0.03%             | 2042-10-15      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac REMICS                                                               | CUSIP: 3137AXXR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1316649 | PA      | $163571.78    | 0.04%             | 2043-01-15      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac REMICS                                                               | CUSIP: 3137BDSS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    193240 | PA      | $34476.22     | 0.01%             | 2044-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac REMICS                                                               | CUSIP: 3137BHTM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1955792 | PA      | $361147.27    | 0.09%             | 2043-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138WNDF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14690 | PA      | $13825.07     | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138WPG73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13354 | PA      | $12583.03     | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138X0BT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31648 | PA      | $29822.13     | 0.01%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138X3EZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65182 | PA      | $63569.00     | 0.02%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138X4E89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5567 | PA      | $5517.27      | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138X6TP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27255 | PA      | $26538.39     | 0.01%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac REMICS                                                               | CUSIP: 3137BNZ56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    428728 | PA      | $46788.24     | 0.01%             | 2046-04-15      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac REMICS                                                               | CUSIP: 3137BPDJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    440382 | PA      | $50227.31     | 0.01%             | 2046-05-15      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138Y1DY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109292 | PA      | $106286.06    | 0.03%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138Y3XV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7385 | PA      | $7202.10      | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac REMICS                                                               | CUSIP: 3137BS4F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1027160 | PA      | $122895.53    | 0.03%             | 2046-09-15      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac REMICS                                                               | CUSIP: 3137BSLA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    952336 | PA      | $121812.12    | 0.03%             | 2046-10-15      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac REMICS                                                               | CUSIP: 3137BULW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    407481 | PA      | $45889.43     | 0.01%             | 2047-01-15      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                               | Federal Home Loan Mortgage Corp                                                  | CUSIP: 3137EAEX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |    225000 | PA      | $202325.51    | 0.05%             | 2025-09-23      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P            | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FPHP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1985000 | PA      | $152928.37    | 0.04%             | 2029-08-25      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                       | Freddie Mac Structured Agency Credit Risk Debt Notes                             | CUSIP: 3137G0RL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    694167 | PA      | $686150.47    | 0.17%             | 2030-04-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138YR3Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26459 | PA      | $24785.14     | 0.01%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138YR5Y0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45160 | PA      | $42294.44     | 0.01%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                       | Freddie Mac Structured Agency Credit Risk Debt Notes                             | CUSIP: 3137G0TH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    312390 | PA      | $304108.37    | 0.07%             | 2030-07-25      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                       | Freddie Mac Structured Agency Credit Risk Debt Notes                             | CUSIP: 3137G0UD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    650357 | PA      | $635633.05    | 0.15%             | 2030-09-25      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138YWJV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11266 | PA      | $10548.60     | 0.00%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138YWKA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    241003 | PA      | $234698.86    | 0.06%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                       | Freddie Mac Structured Agency Credit Risk Debt Notes                             | CUSIP: 3137G0WC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    177631 | PA      | $177139.81    | 0.04%             | 2032-10-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138A5MA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75607 | PA      | $73575.15     | 0.02%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                           | Fannie Mae Interest Strip                                                        | CUSIP: 31395Q3Q1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1304720 | PA      | $245710.08    | 0.06%             | 2043-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140EU3B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110038 | PA      | $103107.01    | 0.02%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138A9GD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2277 | PA      | $2253.69      | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138AYBQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16326 | PA      | $15384.75     | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138EBJN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20735 | PA      | $19539.49     | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138EBP66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31279 | PA      | $30460.25     | 0.01%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138EENK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10097 | PA      | $9515.21      | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138EG2Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26288 | PA      | $25580.58     | 0.01%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140EU4V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102765 | PA      | $99872.67     | 0.02%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140EUKT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48408 | PA      | $47045.51     | 0.01%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140EYSC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130669 | PA      | $122241.52    | 0.03%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140FNJV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98432 | PA      | $95267.61     | 0.02%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140FPAV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85983 | PA      | $83243.51     | 0.02%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140FPDG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48370 | PA      | $46744.04     | 0.01%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140FPFH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46826 | PA      | $43718.36     | 0.01%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140FRCM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37167 | PA      | $34676.90     | 0.01%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138EGCB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9972 | PA      | $9978.70      | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138EGHX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5492 | PA      | $5333.86      | 0.00%             | 2041-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140GVZY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    118282 | PA      | $110155.35    | 0.03%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140H1WJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46316 | PA      | $43199.55     | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138EHWH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3884 | PA      | $3886.21      | 0.00%             | 2041-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140H1WL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49294 | PA      | $45977.18     | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140HAXM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68445 | PA      | $63838.82     | 0.02%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140HGL21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    324769 | PA      | $279222.43    | 0.07%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140MATZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    569963 | PA      | $538746.09    | 0.13%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140MF4H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    269099 | PA      | $261536.17    | 0.06%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140MF4U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    536714 | PA      | $506983.86    | 0.12%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140MFZY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    703377 | PA      | $699414.36    | 0.17%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140MHS59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    212961 | PA      | $182660.58    | 0.04%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140MM5R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    709907 | PA      | $689956.07    | 0.17%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140MMZZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    736017 | PA      | $731956.26    | 0.18%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140MRBE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    414330 | PA      | $404378.91    | 0.10%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140MSKP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    790310 | PA      | $785840.03    | 0.19%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140MX4S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    896916 | PA      | $891871.31    | 0.22%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140Q7B89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42122 | PA      | $40610.61     | 0.01%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140Q7TR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50069 | PA      | $49612.40     | 0.01%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140Q83U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62921 | PA      | $62159.15     | 0.02%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140Q8K87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36269 | PA      | $35732.85     | 0.01%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140Q8V51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22518 | PA      | $21004.72     | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140QAG87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    182930 | PA      | $163592.59    | 0.04%             | 2048-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140QAHF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91926 | PA      | $86035.82     | 0.02%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140QBCV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56165 | PA      | $55445.81     | 0.01%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140QBS66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67757 | PA      | $60766.03     | 0.01%             | 2048-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140QCCH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    366646 | PA      | $348877.14    | 0.08%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140QD7D0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82817 | PA      | $73644.28     | 0.02%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140QDDZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75292 | PA      | $66953.82     | 0.02%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140QDE91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    594358 | PA      | $548283.34    | 0.13%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140QDJN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    291180 | PA      | $258873.00    | 0.06%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140QDJQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120684 | PA      | $107156.30    | 0.03%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140QDP57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114782 | PA      | $103874.84    | 0.03%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140QDXQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1162717 | PA      | $1037470.43   | 0.25%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140QLD94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    263432 | PA      | $225663.29    | 0.05%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140QLEL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    325328 | PA      | $279067.94    | 0.07%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140QMZN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141191 | PA      | $120802.70    | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140QNE24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1354277 | PA      | $1114982.79   | 0.27%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140QP3N5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    719837 | PA      | $716251.01    | 0.17%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140QPAY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    486429 | PA      | $459688.90    | 0.11%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140QPK48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    527793 | PA      | $498557.86    | 0.12%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140X3BJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94034 | PA      | $86067.11     | 0.02%             | 2041-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140X4DE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    209691 | PA      | $188230.33    | 0.05%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140X4EZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150952 | PA      | $149123.08    | 0.04%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140X4LV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73366 | PA      | $68413.29     | 0.02%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140X4QY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32944 | PA      | $30014.76     | 0.01%             | 2046-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140X4TZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65817 | PA      | $59764.45     | 0.01%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3140X4XA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    209841 | PA      | $189208.38    | 0.05%             | 2048-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                          | BAT Capital Corp                                                                 | CUSIP: 05526DAZ8<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    222000 | PA      | $213883.82    | 0.05%             | 2024-08-15      | Fixed         | 3.22%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                          | BAT Capital Corp                                                                 | CUSIP: 05526DBB0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    220000 | PA      | $200525.57    | 0.05%             | 2027-08-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                          | BAT Capital Corp                                                                 | CUSIP: 05526DBT1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    665000 | PA      | $462474.34    | 0.11%             | 2040-09-25      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| BAT INTL FINANCE PLC                      | BAT International Finance PLC                                                    | CUSIP: 05530QAN0<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |   1590000 | PA      | $1408466.30   | 0.34%             | 2026-03-25      | Fixed         | 1.67%                 | No            |                  2 | On Loan: No      |
| BB-UBS Trust                              | BB-UBS Trust 2012-SHOW                                                           | CUSIP: 05538UAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1646000 | PA      | $1529285.27   | 0.37%             | 2036-11-05      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| BX Trust 2019-OC11                        | BX Trust 2019-OC11                                                               | CUSIP: 05606FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    971000 | PA      | $818839.25    | 0.20%             | 2041-12-09      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| BX Trust                                  | BX Commercial Mortgage Trust 2021-VOLT                                           | CUSIP: 05609VAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1085000 | PA      | $1014575.15   | 0.25%             | 2036-09-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                        | Banco Santander SA                                                               | CUSIP: 05964HAL9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   1600000 | PA      | $1409205.74   | 0.34%             | 2026-03-25      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                        | Banco Santander SA                                                               | CUSIP: 05964HAS4<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   1400000 | PA      | $1359616.15   | 0.33%             | 2027-08-18      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                        | Banco Santander SA                                                               | CUSIP: 05971KAF6<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    400000 | PA      | $335734.61    | 0.08%             | 2030-05-28      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                      | Bank of America Corp                                                             | CUSIP: 06051GFS3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1591000 | PA      | $1568327.98   | 0.38%             | 2025-08-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: —       |
| BANK OF AMERICA CORP                      | Bank of America Corp                                                             | CUSIP: 06051GGL7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    660000 | PA      | $614093.83    | 0.15%             | 2028-04-24      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| CDW LLC/CDW FINANCE                       | CDW LLC / CDW Finance Corp                                                       | CUSIP: 12513GBJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    265000 | PA      | $216538.82    | 0.05%             | 2031-12-01      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                | Cigna Corp                                                                       | CUSIP: 125523CJ7<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    690000 | PA      | $529184.79    | 0.13%             | 2040-03-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| CME GROUP INC                             | CME Group Inc                                                                    | CUSIP: 12572QAG0<br>LEI: LCZ7XYGSLJUHFXXNXD88 | Long             | DBT              | CORP              | US        |   1085000 | PA      | $1049604.60   | 0.25%             | 2025-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                       | COMM 2014-LC15 Mortgage Trust                                                    | CUSIP: 12591TAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1189742 | PA      | $11052.70     | 0.00%             | 2047-04-10      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                       | Comm 2014-UBS2 Mortgage Trust                                                    | CUSIP: 12591UAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    186566 | PA      | $183660.34    | 0.04%             | 2047-03-10      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                       | COMM 2014-CCRE16 Mortgage Trust                                                  | CUSIP: 12591VAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1217592 | PA      | $11988.17     | 0.00%             | 2047-04-10      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                       | COMM 2014-UBS3 Mortgage Trust                                                    | CUSIP: 12591YBE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    862488 | PA      | $9287.18      | 0.00%             | 2047-06-10      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                       | COMM 2014-UBS6 Mortgage Trust                                                    | CUSIP: 12592PBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1399773 | PA      | $17860.83     | 0.00%             | 2047-12-10      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                       | COMM 2014-CCRE21 Mortgage Trust                                                  | CUSIP: 12592RBJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    281514 | PA      | $266540.44    | 0.06%             | 2047-12-10      | Fixed         | 3.99%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus            | CSAIL 2019-C17 Commercial Mortgage Trust                                         | CUSIP: 12597BAU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    850000 | PA      | $730146.35    | 0.18%             | 2052-09-15      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                       | COMM 2012-CCRE4 Mortgage Trust                                                   | CUSIP: 12624QAT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    476000 | PA      | $458302.94    | 0.11%             | 2045-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus            | CSAIL 2015-C1 Commercial Mortgage Trust                                          | CUSIP: 126281BE3<br>LEI: 549300UFJ8EKD81Y8R30 | Long             | ABS-MBS          | CORP              | US        |    450000 | PA      | $412463.07    | 0.10%             | 2050-04-15      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                          | CSC Holdings LLC                                                                 | CUSIP: 126307BD8<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |    435000 | PA      | $276552.34    | 0.07%             | 2030-12-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: —       |
| CSC HOLDINGS LLC                          | CSC Holdings LLC                                                                 | CUSIP: 126307BF3<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |    264000 | PA      | $191928.00    | 0.05%             | 2031-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                       | COMM 2014-CCRE17 Mortgage Trust                                                  | CUSIP: 12631DBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1030940 | PA      | $9941.15      | 0.00%             | 2047-05-10      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus            | Csail 2015-C2 Commercial Mortgage Trust                                          | CUSIP: 12634NAV0<br>LEI: 549300D5DIOOMKWXVZ20 | Long             | ABS-MBS          | CORP              | US        |   1410730 | PA      | $18452.91     | 0.00%             | 2057-06-15      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| CQP HOLDCO LP/BIP-V CHIN                  | CQP Holdco LP / BIP-V Chinook Holdco LLC                                         | CUSIP: 12657NAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    315000 | PA      | $284645.03    | 0.07%             | 2031-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                           | CVS Health Corp                                                                  | CUSIP: 126650DK3<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    560000 | PA      | $471984.67    | 0.11%             | 2040-04-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| CALPINE CORP                              | Calpine Corp                                                                     | CUSIP: 131347CM6<br>LEI: 43R4VPJBXTU2O15HEF41 | Long             | DBT              | CORP              | US        |    310000 | PA      | $283572.24    | 0.07%             | 2028-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATL RESOURCES                   | Canadian Natural Resources Ltd                                                   | CUSIP: 136385AL5<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |    850000 | PA      | $865386.58    | 0.21%             | 2038-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                             | Carnival Corp                                                                    | CUSIP: 143658BG6<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |     95000 | PA      | $96287.25     | 0.02%             | 2026-02-01      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                             | Carnival Corp                                                                    | CUSIP: 143658BL5<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |    340000 | PA      | $287114.70    | 0.07%             | 2026-03-01      | Fixed         | 7.62%                 | No            |                  2 | On Loan: —       |
| Cedar Funding Ltd                         | Cedar Funding VI CLO Ltd                                                         | CUSIP: 15032DAR2<br>LEI: 549300PQ60B57EBTK013 | Long             | ABS-CBDO         | CORP              | KY        |   1480000 | PA      | $1427547.32   | 0.35%             | 2034-04-20      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| LUMEN TECHNOLOGIES INC                    | Lumen Technologies Inc                                                           | CUSIP: 156700BD7<br>LEI: 8M3THTGWLTYZVE6BBY25 | Long             | DBT              | CORP              | US        |    210000 | PA      | $142070.25    | 0.03%             | 2029-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                  | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175CK8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    665000 | PA      | $532366.55    | 0.13%             | 2053-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                             | Citigroup Inc                                                                    | CUSIP: 172967JC6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    890000 | PA      | $867546.62    | 0.21%             | 2026-11-20      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                             | Citigroup Inc                                                                    | CUSIP: 172967KY6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1115000 | PA      | $1040919.33   | 0.25%             | 2026-10-21      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                             | Citigroup Inc                                                                    | CUSIP: 172967LD1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    835000 | PA      | $784336.88    | 0.19%             | 2028-01-10      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                             | Citigroup Inc                                                                    | CUSIP: 172967LS8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    455000 | PA      | $415960.25    | 0.10%             | 2028-10-27      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                             | Citigroup Inc                                                                    | CUSIP: 17308CC53<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    495000 | PA      | $421431.56    | 0.10%             | 2030-11-05      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage             | Citigroup Commercial Mortgage Trust 2013-GC11                                    | CUSIP: 17320DAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    455000 | PA      | $450595.05    | 0.11%             | 2046-04-10      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage             | Citigroup Commercial Mortgage Trust 2013-GC17                                    | CUSIP: 17321RAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    145000 | PA      | $140008.72    | 0.03%             | 2046-11-10      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage             | Citigroup Commercial Mortgage Trust 2014-GC25                                    | CUSIP: 17322YAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1286214 | PA      | $16856.61     | 0.00%             | 2047-10-10      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage             | Citigroup Commercial Mortgage Trust 2015-GC27                                    | CUSIP: 17323CAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    930098 | PA      | $19900.01     | 0.00%             | 2048-02-10      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                             | Citigroup Inc                                                                    | CUSIP: 17327CAM5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1610000 | PA      | $1403627.40   | 0.34%             | 2027-01-28      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                      | Colombia Government International Bond                                           | CUSIP: 195325BQ7<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    590000 | PA      | $573746.35    | 0.14%             | 2024-02-26      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                      | Colombia Government International Bond                                           | CUSIP: 195325DR3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    570000 | PA      | $426965.74    | 0.10%             | 2030-01-30      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                              | Comcast Corp                                                                     | CUSIP: 20030NCA7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    405000 | PA      | $376277.53    | 0.09%             | 2028-02-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                              | Comcast Corp                                                                     | CUSIP: 20030NCT6<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   1708000 | PA      | $1655646.67   | 0.40%             | 2028-10-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| COMMSCOPE INC                             | CommScope Inc                                                                    | CUSIP: 20338QAA1<br>LEI: 549300Z6K4JXMFE8QY54 | Long             | DBT              | CORP              | US        |    377000 | PA      | $324220.00    | 0.08%             | 2027-03-01      | Fixed         | 8.25%                 | No            |                  2 | On Loan: —       |
| Fannie Mae - CAS                          | Connecticut Avenue Securities Trust 2022-R03                                     | CUSIP: 20753XAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1065000 | PA      | $1049098.17   | 0.25%             | 2042-03-25      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                          | Connecticut Avenue Securities Trust 2022-R01                                     | CUSIP: 20754LAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1070000 | PA      | $997844.55    | 0.24%             | 2041-12-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                          | Connecticut Avenue Securities Trust 2022-R07                                     | CUSIP: 20754MBZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    596833 | PA      | $600566.19    | 0.15%             | 2042-06-25      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                          | Connecticut Avenue Securities Trust 2021-R01                                     | CUSIP: 20754RAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    480000 | PA      | $461305.49    | 0.11%             | 2041-10-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                        | Energy Transfer LP                                                               | CUSIP: 29273RAS8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    600000 | PA      | $598130.86    | 0.14%             | 2023-02-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| PHILLIPS 66                               | Phillips 66                                                                      | CUSIP: 718546AZ7<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |   1290000 | PA      | $1157523.76   | 0.28%             | 2026-02-15      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                        | Energy Transfer LP                                                               | CUSIP: 29273VAJ9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | EP               | CORP              | US        |    785000 | PA      | $574031.25    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                        | Energy Transfer LP                                                               | CUSIP: 29273VAM2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | EP               | CORP              | US        |   1055000 | PA      | $888837.50    | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage             | Citigroup Commercial Mortgage Trust 2022-GC48                                    | CUSIP: 29426VAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1238407 | PA      | $1176918.85   | 0.28%             | 2054-05-15      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| EUROPEAN INVESTMENT BANK                  | European Investment Bank                                                         | CUSIP: 298785JT4<br>LEI: 5493006YXS1U5GIHE750 | Long             | DBT              | CORP              | US        |    235000 | PA      | $227417.55    | 0.05%             | 2027-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCE                  | Pioneer Natural Resources Co                                                     | CUSIP: 723787AR8<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |    997000 | PA      | $803918.02    | 0.19%             | 2031-01-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMER PIPELINE                  | Plains All American Pipeline LP / PAA Finance Corp                               | CUSIP: 72650RBJ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    780000 | PA      | $767814.89    | 0.19%             | 2025-10-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                               | Exelon Corp                                                                      | CUSIP: 30161NAY7<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    475000 | PA      | $417612.93    | 0.10%             | 2050-04-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                        | Meta Platforms Inc                                                               | CUSIP: 30303M8E5<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    815000 | PA      | $664421.22    | 0.16%             | 2052-08-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| POST HOLDINGS INC                         | Post Holdings Inc                                                                | CUSIP: 737446AQ7<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |    150000 | PA      | $129892.50    | 0.03%             | 2030-04-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Taubman Centers Commercial Mor            | Taubman Centers Commercial Mortgage Trust 2022-DPM                               | CUSIP: 87666YAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1045000 | PA      | $1006024.84   | 0.24%             | 2037-05-15      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                          | Fannie Mae Connecticut Avenue Securities                                         | CUSIP: 30711XC36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   1111132 | PA      | $1094086.84   | 0.26%             | 2030-08-25      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                          | Fannie Mae Connecticut Avenue Securities                                         | CUSIP: 30711XJ70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    777913 | PA      | $769802.11    | 0.19%             | 2030-10-25      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                     | Tenet Healthcare Corp                                                            | CUSIP: 88033GDJ6<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |    265000 | PA      | $233942.00    | 0.06%             | 2028-10-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: —       |
| TENN VALLEY AUTHORITY                     | Tennessee Valley Authority                                                       | CUSIP: 880591EH1<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    320000 | PA      | $334055.27    | 0.08%             | 2039-09-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                          | Fannie Mae Connecticut Avenue Securities                                         | CUSIP: 30711XJX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   1026067 | PA      | $1033293.65   | 0.25%             | 2029-10-25      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                          | Fannie Mae Connecticut Avenue Securities                                         | CUSIP: 30711XLT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    238486 | PA      | $242313.79    | 0.06%             | 2029-11-25      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                          | Fannie Mae Connecticut Avenue Securities                                         | CUSIP: 30711XNX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    521239 | PA      | $523297.91    | 0.13%             | 2030-01-25      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                          | Fannie Mae Connecticut Avenue Securities                                         | CUSIP: 30711XR63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   1612491 | PA      | $1591975.06   | 0.38%             | 2030-12-25      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| Thayer Park CLO, Ltd.                     | Thayer Park CLO Ltd                                                              | CUSIP: 883310AL8<br>LEI: 5493000PRLDBEVKBE571 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $485085.50    | 0.12%             | 2034-04-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| 37 Capital CLO Ltd                        | 37 Capital CLO I                                                                 | CUSIP: 88430TAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $966890.00    | 0.23%             | 2034-10-15      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                          | Fannie Mae Connecticut Avenue Securities                                         | CUSIP: 30711XSX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   1124779 | PA      | $1120192.73   | 0.27%             | 2030-02-25      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                          | Fannie Mae Connecticut Avenue Securities                                         | CUSIP: 30711XUX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    522621 | PA      | $519152.09    | 0.13%             | 2030-05-25      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                          | Fannie Mae Connecticut Avenue Securities                                         | CUSIP: 30711XWX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    500656 | PA      | $505537.08    | 0.12%             | 2030-05-25      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                 | Towd Point Mortgage Trust 2017-3                                                 | CUSIP: 89169DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    119056 | PA      | $115987.78    | 0.03%             | 2057-07-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                 | Towd Point Mortgage Trust 2017-5                                                 | CUSIP: 89169EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    181118 | PA      | $178276.08    | 0.04%             | 2057-02-25      | Floating      | 3.51%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                 | Towd Point Mortgage Trust 2017-2                                                 | CUSIP: 89173HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11704 | PA      | $11543.01     | 0.00%             | 2057-04-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                 | Towd Point Mortgage Trust 2017-2                                                 | CUSIP: 89173HAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    351000 | PA      | $336962.74    | 0.08%             | 2057-04-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                 | Towd Point Mortgage Trust 2017-4                                                 | CUSIP: 89173UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    105715 | PA      | $100346.11    | 0.02%             | 2057-06-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                 | Towd Point Mortgage Trust 2022-4                                                 | CUSIP: 89180YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    899395 | PA      | $837289.65    | 0.20%             | 2062-09-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                             | TransDigm Inc                                                                    | CUSIP: 893647BE6<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    275000 | PA      | $271245.35    | 0.07%             | 2026-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: —       |
| Trestles CLO LTD                          | TRESTLES CLO 2017-1 Ltd                                                          | CUSIP: 89531FAL1<br>LEI: 254900QSBDX181YYBH38 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $488198.00    | 0.12%             | 2032-04-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Trestles CLO LTD                          | TRESTLES CLO V LTD                                                               | CUSIP: 89532UAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $970294.00    | 0.23%             | 2034-10-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                              | UBS Group AG                                                                     | CUSIP: 902613AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1170000 | PA      | $1123156.20   | 0.27%             | 2028-05-12      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust             | UBS Commercial Mortgage Trust 2017-C2                                            | CUSIP: 90276CAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1025000 | PA      | $939412.19    | 0.23%             | 2050-08-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust             | UBS Commercial Mortgage Trust 2017-C4                                            | CUSIP: 90276RBH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $180152.96    | 0.04%             | 2050-10-15      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2020-1 A PTT                   | United Airlines 2020-1 Class A Pass Through Trust                                | CUSIP: 90931GAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1070969 | PA      | $1058979.79   | 0.26%             | 2027-10-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                     | Mexico Government International Bond                                             | CUSIP: 91087BAB6<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    740000 | PA      | $582199.40    | 0.14%             | 2047-01-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                             | United States Treasury Bill                                                      | CUSIP: 912796X87<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16560000 | PA      | $16525766.17  | 3.99%             | 2022-12-22      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                 | CUSIP: 912810QL5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    775000 | PA      | $807271.48    | 0.20%             | 2040-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                 | CUSIP: 912810QT8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2540000 | PA      | $2236291.41   | 0.54%             | 2041-11-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                 | CUSIP: 912810RG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1380000 | PA      | $1239520.31   | 0.30%             | 2044-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                 | CUSIP: 912810RH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2040000 | PA      | $1755276.57   | 0.42%             | 2044-08-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                 | CUSIP: 912810RJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1003300 | PA      | $844182.89    | 0.20%             | 2044-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                 | CUSIP: 912810RX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2420000 | PA      | $2024103.13   | 0.49%             | 2047-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                 | CUSIP: 912810SC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    470000 | PA      | $403741.02    | 0.10%             | 2048-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                 | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1985000 | PA      | $1791540.03   | 0.43%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                 | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    500000 | PA      | $347050.78    | 0.08%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                 | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    795000 | PA      | $569574.02    | 0.14%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                 | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1870000 | PA      | $1542750.00   | 0.37%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                 | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4515000 | PA      | $4033517.60   | 0.97%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                 | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2000000 | PA      | $1699687.50   | 0.41%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                 | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     95000 | PA      | $86464.84     | 0.02%             | 2042-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                 | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    230000 | PA      | $214798.44    | 0.05%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                           | United States Treasury Note/Bond                                                 | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1655000 | PA      | $1673683.39   | 0.40%             | 2027-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: —       |
| RAYTHEON TECH CORP                        | Raytheon Technologies Corp                                                       | CUSIP: 913017BA6<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |   2213000 | PA      | $2516176.88   | 0.61%             | 2029-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| UNITI GRP/UNITI HLD/CSL                   | Uniti Group LP / Uniti Fiber Holdings Inc / CSL Capital LLC                      | CUSIP: 91327AAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    190000 | PA      | $191111.52    | 0.05%             | 2025-02-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| UNIVAR SOLUTIONS USA INC                  | Univar Solutions USA Inc/Washington                                              | CUSIP: 91337CAA4<br>LEI: 5493008FTB9VZW6CVA82 | Long             | DBT              | CORP              | US        |    250000 | PA      | $239551.25    | 0.06%             | 2027-12-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Vantage Data Centers LLC                  | Vantage Data Centers Issuer LLC                                                  | CUSIP: 92212KAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1273230 | PA      | $1199734.03   | 0.29%             | 2044-07-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| Vantage Data Centers LLC                  | Vantage Data Centers Issuer LLC                                                  | CUSIP: 92212KAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1078000 | PA      | $910800.80    | 0.22%             | 2046-10-15      | Fixed         | 2.17%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                    | Verizon Communications Inc                                                       | CUSIP: 92343VER1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   2494000 | PA      | $2422305.95   | 0.59%             | 2028-09-21      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| AMC NETWORKS INC                          | AMC Networks Inc                                                                 | CUSIP: 00164VAF0<br>LEI: 549300VGG9K75226LR46 | Long             | DBT              | CORP              | US        |    100000 | PA      | $73994.00     | 0.02%             | 2029-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: —       |
| AM Capital Funding, LLC                   | AM Capital Funding LLC                                                           | CUSIP: 00166AAA5<br>LEI: 549300VEZWL2JF9NXH87 | Long             | ABS-O            | CORP              | US        |    760000 | PA      | $748830.96    | 0.18%             | 2023-12-15      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| ASGN INCORPORATED                         | ASGN Inc                                                                         | CUSIP: 00191UAA0<br>LEI: LZBNYYCBUKY537072438 | Long             | DBT              | CORP              | US        |    350000 | PA      | $312954.25    | 0.08%             | 2028-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                  | AT&T Inc                                                                         | CUSIP: 00206RKA9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    845000 | PA      | $614921.86    | 0.15%             | 2051-06-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                  | AT&T Inc                                                                         | CUSIP: 00206RKJ0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    265000 | PA      | $185472.54    | 0.04%             | 2053-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                  | AT&T Inc                                                                         | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    184000 | PA      | $127273.25    | 0.03%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                  | AT&T Inc                                                                         | CUSIP: 00206RLV2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1018000 | PA      | $698766.28    | 0.17%             | 2059-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                  | AT&T Inc                                                                         | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $860095.69    | 0.21%             | 2033-12-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES/AADVAN                  | American Airlines Inc/AAdvantage Loyalty IP Ltd                                  | CUSIP: 00253XAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    235000 | PA      | $227803.25    | 0.06%             | 2026-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ABBOTT LABORATORIES                       | Abbott Laboratories                                                              | CUSIP: 002824BE9<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |   1128000 | PA      | $1111781.67   | 0.27%             | 2023-11-30      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                | AbbVie Inc                                                                       | CUSIP: 00287YAS8<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    710000 | PA      | $648704.61    | 0.16%             | 2045-05-14      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                | AbbVie Inc                                                                       | CUSIP: 00287YCA5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    270000 | PA      | $233748.16    | 0.06%             | 2039-11-21      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                | AbbVie Inc                                                                       | CUSIP: 00287YCB3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    485000 | PA      | $412595.41    | 0.10%             | 2049-11-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ACADIA HEALTHCARE CO INC                  | Acadia Healthcare Co Inc                                                         | CUSIP: 00404AAP4<br>LEI: 5493005CW985Y9D0NC11 | Long             | DBT              | CORP              | US        |    195000 | PA      | $180207.30    | 0.04%             | 2029-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                  | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                        | CUSIP: 00774MAG0<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    800000 | PA      | $767592.58    | 0.19%             | 2025-10-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                  | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                        | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    880000 | PA      | $698525.88    | 0.17%             | 2032-01-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                            | Air Lease Corp                                                                   | CUSIP: 00914AAF9<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    655000 | PA      | $609620.77    | 0.15%             | 2025-02-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                 | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F0426C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1170000 | PA      | $1135814.06   | 0.27%             | 2040-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                 | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F0506C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2215000 | PA      | $2199425.78   | 0.53%             | 2040-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                 | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F0526C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2660000 | PA      | $2686392.17   | 0.65%             | 2040-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                 | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F0606C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    830000 | PA      | $847832.04    | 0.20%             | 2040-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                          | Altice France SA/France                                                          | CUSIP: 02156LAC5<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |    405000 | PA      | $338106.15    | 0.08%             | 2028-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                            | Amazon.com Inc                                                                   | CUSIP: 023135AN6<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   1637000 | PA      | $1611690.16   | 0.39%             | 2024-12-05      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER                   | American Electric Power Co Inc                                                   | CUSIP: 025537AW1<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |    940000 | PA      | $983707.37    | 0.24%             | 2032-11-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: —       |
| AXIS Equipment Finance Receiva            | Amur Equipment Finance Receivables XI LLC                                        | CUSIP: 03236XAB3<br>LEI: 549300IFG1NMINYRYF89 | Long             | ABS-O            | CORP              | US        |    255000 | PA      | $252478.25    | 0.06%             | 2028-06-21      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                  | Angel Oak Mortgage Trust 2019-6                                                  | CUSIP: 03464VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     83452 | PA      | $79158.83     | 0.02%             | 2059-11-25      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                  | Angel Oak Mortgage Trust 2021-3                                                  | CUSIP: 03465EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    680938 | PA      | $532362.47    | 0.13%             | 2066-05-25      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH CO/INBEV                   | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc                      | CUSIP: 03522AAH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1435000 | PA      | $1365600.10   | 0.33%             | 2036-02-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                  | Anheuser-Busch InBev Worldwide Inc                                               | CUSIP: 03523TBW7<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    400000 | PA      | $419551.30    | 0.10%             | 2059-01-23      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                  | Anheuser-Busch InBev Worldwide Inc                                               | CUSIP: 035240AN0<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    720000 | PA      | $651203.61    | 0.16%             | 2048-04-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                  | Anheuser-Busch InBev Worldwide Inc                                               | CUSIP: 035240AP5<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    510000 | PA      | $464597.14    | 0.11%             | 2058-04-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                  | Anheuser-Busch InBev Worldwide Inc                                               | CUSIP: 035240AS9<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |   1006000 | PA      | $906118.95    | 0.22%             | 2040-06-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| ANTERO MIDSTREAM PART/FI                  | Antero Midstream Partners LP / Antero Midstream Finance Corp                     | CUSIP: 03690AAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    225000 | PA      | $207823.50    | 0.05%             | 2029-06-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                 | Apple Inc                                                                        | CUSIP: 037833DM9<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |   2818000 | PA      | $2693530.38   | 0.65%             | 2024-09-11      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                        | Aqua Finance Trust 2021-A                                                        | CUSIP: 03842VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    532949 | PA      | $485640.75    | 0.12%             | 2046-07-17      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| ARAMARK SERVICES INC                      | Aramark Services Inc                                                             | CUSIP: 038522AQ1<br>LEI: 42YMHYH0XMHJEXDUB065 | Long             | DBT              | CORP              | US        |    235000 | PA      | $219857.78    | 0.05%             | 2028-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ASIAN DEVELOPMENT BANK                    | Asian Development Bank                                                           | CUSIP: 045167FN8<br>LEI: 549300X0MVH42CY8Q105 | Long             | DBT              | CORP              | US        |    960000 | PA      | $895708.92    | 0.22%             | 2032-04-27      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding            | Avis Budget Rental Car Funding AESOP LLC                                         | CUSIP: 05377REA8<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    567000 | PA      | $508389.49    | 0.12%             | 2027-02-20      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding            | Avis Budget Rental Car Funding AESOP LLC                                         | CUSIP: 05377RER1<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   1592000 | PA      | $1367988.72   | 0.33%             | 2028-02-20      | Fixed         | 1.66%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding            | Avis Budget Rental Car Funding AESOP LLC                                         | CUSIP: 05377RES9<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    495000 | PA      | $417954.34    | 0.10%             | 2028-02-20      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| EQUITABLE HOLDINGS INC                    | Equitable Holdings Inc                                                           | CUSIP: 054561AM7<br>LEI: 549300FIBAKMNHPZ4009 | Long             | DBT              | CORP              | US        |    545000 | PA      | $472205.73    | 0.11%             | 2048-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BXP Trust                                 | BXP Trust 2017-GM                                                                | CUSIP: 056083AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    331000 | PA      | $296633.33    | 0.07%             | 2039-06-13      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                      | Bank of America Corp                                                             | CUSIP: 06051GHG7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    630000 | PA      | $584711.10    | 0.14%             | 2029-03-05      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                      | Bank of America Corp                                                             | CUSIP: 06051GHT9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1610000 | PA      | $1517883.74   | 0.37%             | 2027-04-23      | Variable      | 3.56%                 | No            |                  2 | On Loan: —       |
| BANK OF AMERICA CORP                      | Bank of America Corp                                                             | CUSIP: 06051GHX0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    743000 | PA      | $631073.84    | 0.15%             | 2030-10-22      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                      | Bank of America Corp                                                             | CUSIP: 06051GHZ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    785000 | PA      | $643921.68    | 0.16%             | 2031-02-13      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                      | Bank of America Corp                                                             | CUSIP: 06051GKQ1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    725000 | PA      | $673827.30    | 0.16%             | 2033-04-27      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| Bank                                      | BANK 2022-BNK39                                                                  | CUSIP: 06539VAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    179000 | PA      | $151111.84    | 0.04%             | 2055-02-15      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| Bank                                      | BANK 2022-BNK44                                                                  | CUSIP: 06540KAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    849000 | PA      | $894120.78    | 0.22%             | 2032-10-15      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Bank                                      | BANK 2021-BNK31                                                                  | CUSIP: 06541ABA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    454000 | PA      | $383439.27    | 0.09%             | 2054-02-15      | Fixed         | 1.74%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                              | Barclays PLC                                                                     | CUSIP: 06738EBL8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   2145000 | PA      | $1977070.95   | 0.48%             | 2026-05-07      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                              | Barclays PLC                                                                     | CUSIP: 06738EBP9<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1000000 | PA      | $757956.00    | 0.18%             | 2035-09-23      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| Beacon Container Finance II LL            | Beacon Container Finance II LLC                                                  | CUSIP: 07359BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    946950 | PA      | $800805.79    | 0.19%             | 2046-10-22      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                  | Benchmark 2019-B13 Mortgage Trust                                                | CUSIP: 08162DAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    475000 | PA      | $415166.48    | 0.10%             | 2057-08-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                  | Benchmark 2021-B23 Mortgage Trust                                                | CUSIP: 08162RAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    612000 | PA      | $517075.01    | 0.12%             | 2054-02-15      | Fixed         | 1.77%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                  | Benchmark 2021-B26 Mortgage Trust                                                | CUSIP: 08163EBE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9536759 | PA      | $476322.96    | 0.12%             | 2054-06-15      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                  | Benchmark 2021-B29 Mortgage Trust                                                | CUSIP: 08163JAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    301000 | PA      | $244116.33    | 0.06%             | 2054-09-15      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                  | Benchmark 2020-B21 Mortgage Trust                                                | CUSIP: 08163LAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    251000 | PA      | $199890.05    | 0.05%             | 2053-12-17      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                  | Benchmark 2021-B31 Mortgage Trust                                                | CUSIP: 08163MAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    415000 | PA      | $298309.06    | 0.07%             | 2054-12-15      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                  | Benchmark 2021-B31 Mortgage Trust                                                | CUSIP: 08163MAW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    278000 | PA      | $157661.97    | 0.04%             | 2054-12-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY INC                    | Berkshire Hathaway Inc                                                           | CUSIP: 084670BR8<br>LEI: 5493000C01ZX7D35SD85 | Long             | DBT              | CORP              | US        |   2543000 | PA      | $2531423.65   | 0.61%             | 2023-03-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| BIOGEN INC                                | Biogen Inc                                                                       | CUSIP: 09062XAH6<br>LEI: W8J5WZB5IY3K0NDQT671 | Long             | DBT              | CORP              | US        |   2894000 | PA      | $2382999.94   | 0.58%             | 2030-05-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                      | BlueMountain CLO 2013-2 Ltd                                                      | CUSIP: 09626YAN0<br>LEI: 549300KGXMRFX2DKIX03 | Long             | ABS-CBDO         | CORP              | KY        |    362743 | PA      | $356844.13    | 0.09%             | 2030-10-22      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                               | BNP Paribas SA                                                                   | CUSIP: 09659W2K9<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    615000 | PA      | $509100.55    | 0.12%             | 2031-01-13      | Variable      | 3.05%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                               | BNP Paribas SA                                                                   | CUSIP: 09659W2L7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   1015000 | PA      | $931688.22    | 0.23%             | 2026-06-09      | Variable      | 2.22%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                 | Boeing Co/The                                                                    | CUSIP: 097023CK9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    185000 | PA      | $130650.72    | 0.03%             | 2049-05-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                 | Boeing Co/The                                                                    | CUSIP: 097023CT0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1371000 | PA      | $1357552.34   | 0.33%             | 2025-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: —       |
| BOEING CO                                 | Boeing Co/The                                                                    | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   2125000 | PA      | $1995187.68   | 0.48%             | 2050-05-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                   | Bristol-Myers Squibb Co                                                          | CUSIP: 110122DU9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    785000 | PA      | $691277.18    | 0.17%             | 2032-03-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                   | Bristol-Myers Squibb Co                                                          | CUSIP: 110122DV7<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    300000 | PA      | $249110.94    | 0.06%             | 2042-03-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                              | Broadcom Inc                                                                     | CUSIP: 11135FBV2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    705000 | PA      | $615453.58    | 0.15%             | 2037-05-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| BUCKEYE PARTNERS LP                       | Buckeye Partners LP                                                              | CUSIP: 118230AQ4<br>LEI: 549300C1PQJLVEIUBK50 | Long             | DBT              | CORP              | US        |     75000 | PA      | $66307.50     | 0.02%             | 2026-12-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| CAMB Commercial Mortgage Trust            | CAMB Commercial Mortgage Trust 2019-LIFE                                         | CUSIP: 12482HAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    978000 | PA      | $948059.90    | 0.23%             | 2037-12-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                    | CCO Holdings LLC / CCO Holdings Capital Corp                                     | CUSIP: 1248EPCK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    298000 | PA      | $242393.20    | 0.06%             | 2031-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CDW LLC/CDW FINANCE                       | CDW LLC / CDW Finance Corp                                                       | CUSIP: 12513GBG3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    328000 | PA      | $291324.55    | 0.07%             | 2026-12-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| CDW LLC/CDW FINANCE                       | CDW LLC / CDW Finance Corp                                                       | CUSIP: 12513GBH1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1915000 | PA      | $1613042.80   | 0.39%             | 2028-12-01      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                                  | CUSIP: 3138E2JY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5033 | PA      | $4743.13      | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                    | ConocoPhillips Co                                                                | CUSIP: 20826FAV8<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |    475000 | PA      | $382877.83    | 0.09%             | 2052-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A            | Ginnie Mae                                                                       | CUSIP: 21H0426C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGSE             | US        |   4225000 | PA      | $4127461.90   | 1.00%             | 2041-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A            | Ginnie Mae                                                                       | CUSIP: 21H0506C1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1420000 | PA      | $1415562.50   | 0.34%             | 2048-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A            | Ginnie Mae                                                                       | CUSIP: 21H0526C7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1160000 | PA      | $1171690.62   | 0.28%             | 2052-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                    | Credit Suisse Group AG                                                           | CUSIP: 225401AD0<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   1145000 | PA      | $1133562.72   | 0.27%             | 2023-12-14      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                    | Credit Suisse Group AG                                                           | CUSIP: 225401AF5<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    250000 | PA      | $199427.48    | 0.05%             | 2029-01-12      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                    | Credit Suisse Group AG                                                           | CUSIP: 225401AP3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    560000 | PA      | $423248.27    | 0.10%             | 2031-04-01      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                    | Credit Suisse Group AG                                                           | CUSIP: 225401AU2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    830000 | PA      | $564330.74    | 0.14%             | 2032-05-14      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                    | Credit Suisse Group AG                                                           | CUSIP: 225401AZ1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    950000 | PA      | $830619.20    | 0.20%             | 2033-08-12      | Variable      | 6.54%                 | No            |                  2 | On Loan: —       |
| CREDIT SUISSE GROUP AG                    | Credit Suisse Group AG                                                           | CUSIP: 225401BB3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    770000 | PA      | $777606.80    | 0.19%             | 2033-11-15      | Variable      | 9.02%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                    | Credit Suisse Group AG                                                           | CUSIP: 225433AT8<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    860000 | PA      | $821313.57    | 0.20%             | 2023-06-09      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE TOWERS LLC                   | Crown Castle Towers LLC                                                          | CUSIP: 22822RBH2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    439000 | PA      | $399234.46    | 0.10%             | 2028-07-15      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| DTE ENERGY CO                             | DTE Energy Co                                                                    | CUSIP: 233331BC0<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |    607000 | PA      | $541527.59    | 0.13%             | 2029-06-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| DT MIDSTREAM INC                          | DT Midstream Inc                                                                 | CUSIP: 23345MAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    125000 | PA      | $110282.50    | 0.03%             | 2029-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| DEERE & COMPANY                           | Deere & Co                                                                       | CUSIP: 244199BD6<br>LEI: PWFTNG3EI0Y73OXWDH08 | Long             | DBT              | CORP              | US        |    983000 | PA      | $1030159.10   | 0.25%             | 2029-10-16      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                   | Dell International LLC / EMC Corp                                                | CUSIP: 24703TAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    289000 | PA      | $289150.39    | 0.07%             | 2023-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                   | Dell International LLC / EMC Corp                                                | CUSIP: 24703TAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1140000 | PA      | $1171772.20   | 0.28%             | 2030-07-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| DEVELOPMENT BK OF JAPAN                   | Development Bank of Japan Inc                                                    | CUSIP: 25159MBA4<br>LEI: 5493001HGBABMWFZUI25 | Long             | DBT              | CORP              | JP        |    260000 | PA      | $201612.72    | 0.05%             | 2030-08-27      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                    | Diamondback Energy Inc                                                           | CUSIP: 25278XAR0<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |   1310000 | PA      | $1099541.32   | 0.27%             | 2031-03-24      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                    | Diamondback Energy Inc                                                           | CUSIP: 25278XAV1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |   1275000 | PA      | $1315305.99   | 0.32%             | 2033-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS                  | Discovery Communications LLC                                                     | CUSIP: 25470DAQ2<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |    566000 | PA      | $562269.14    | 0.14%             | 2023-03-20      | Fixed         | 2.95%                 | No            |                  2 | On Loan: —       |
| DISH DBS CORP                             | DISH DBS Corp                                                                    | CUSIP: 25470XAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    110000 | PA      | $103409.90    | 0.02%             | 2024-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                        | Dominican Republic International Bond                                            | CUSIP: 25714PCW6<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |    560000 | PA      | $487900.00    | 0.12%             | 2045-01-27      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                        | Dominican Republic International Bond                                            | CUSIP: 25714PDJ4<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |    330000 | PA      | $334233.59    | 0.08%             | 2026-01-29      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                       | Dominion Energy Inc                                                              | CUSIP: 25746UDP1<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |   1415000 | PA      | $1327237.57   | 0.32%             | 2032-08-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: —       |
| Dryden Senior Loan Fund                   | Dryden 75 CLO Ltd                                                                | CUSIP: 26252JAS7<br>LEI: 254900JFO9XUH2EREJ70 | Long             | ABS-CBDO         | CORP              | KY        |    850000 | PA      | $819608.76    | 0.20%             | 2034-04-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| EQM MIDSTREAM PARTNERS L                  | EQM Midstream Partners LP                                                        | CUSIP: 26885BAC4<br>LEI: 549300NELT611CL6XM83 | Long             | DBT              | CORP              | US        |    350000 | PA      | $324730.00    | 0.08%             | 2028-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EBAY INC                                  | eBay Inc                                                                         | CUSIP: 278642AY9<br>LEI: OML71K8X303XQONU6T67 | Long             | DBT              | CORP              | US        |   1680000 | PA      | $1371966.15   | 0.33%             | 2031-05-10      | Fixed         | 2.60%                 | No            |                  2 | On Loan: —       |
| ENERGIZER HOLDINGS INC                    | Energizer Holdings Inc                                                           | CUSIP: 29272WAD1<br>LEI: 5493000D6NN0V57UME20 | Long             | DBT              | CORP              | US        |    250000 | PA      | $213058.75    | 0.05%             | 2029-03-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                          | Fannie Mae Connecticut Avenue Securities                                         | CUSIP: 30711XYX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   1158849 | PA      | $1143846.64   | 0.28%             | 2030-07-25      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3128M9TQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13430 | PA      | $12658.47     | 0.00%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3128MAFA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18256 | PA      | $17153.95     | 0.00%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3128MBVP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        26 | PA      | $25.97        | 0.00%             | 2023-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3128MDWN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15154 | PA      | $14956.20     | 0.00%             | 2029-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJ2M1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    170807 | PA      | $157480.96    | 0.04%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJ2T6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     87962 | PA      | $84606.43     | 0.02%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJ3J7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    100818 | PA      | $94093.56     | 0.02%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJS76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23621 | PA      | $22255.77     | 0.01%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJTQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15533 | PA      | $15164.80     | 0.00%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJV31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35020 | PA      | $34190.49     | 0.01%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJV64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21263 | PA      | $19935.25     | 0.00%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJV72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17575 | PA      | $17158.42     | 0.00%             | 2045-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJWV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58225 | PA      | $54552.72     | 0.01%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJWW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69759 | PA      | $68086.14     | 0.02%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJX54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36444 | PA      | $35467.49     | 0.01%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJX88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43192 | PA      | $40432.47     | 0.01%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJXA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11674 | PA      | $11382.79     | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJXE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25380 | PA      | $23792.84     | 0.01%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJXK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18827 | PA      | $17631.57     | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJXL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23420 | PA      | $22811.96     | 0.01%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJXX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4203 | PA      | $3935.74      | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJXY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13482 | PA      | $13124.58     | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJY95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38510 | PA      | $38244.58     | 0.01%             | 2046-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJYC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19889 | PA      | $18771.94     | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJYE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28561 | PA      | $28482.56     | 0.01%             | 2046-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJYT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42283 | PA      | $38144.51     | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJZF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    773307 | PA      | $696214.01    | 0.17%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJZH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34575 | PA      | $33552.20     | 0.01%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJZS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16893 | PA      | $16509.00     | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJZX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7961 | PA      | $7443.33      | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJZZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12910 | PA      | $12816.97     | 0.00%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 31292LGC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    113784 | PA      | $107343.28    | 0.03%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 31292SAD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11283 | PA      | $10644.03     | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 312933AQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14186 | PA      | $14170.51     | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 312933G65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28405 | PA      | $28455.77     | 0.01%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 312942AS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2406 | PA      | $2410.43      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3131XTVX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    240656 | PA      | $234084.92    | 0.06%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3131XUXT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    519751 | PA      | $467099.32    | 0.11%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3131XYNZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    210530 | PA      | $196397.83    | 0.05%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3131Y03E0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    461060 | PA      | $443542.23    | 0.11%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3131Y8KQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30480 | PA      | $30076.18     | 0.01%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 31329NZP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    189674 | PA      | $182800.00    | 0.04%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 31329Q5A5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65250 | PA      | $58085.21     | 0.01%             | 2049-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3132A5JC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    128819 | PA      | $120144.14    | 0.03%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3132ABCH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    715573 | PA      | $654878.86    | 0.16%             | 2042-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3132ACNF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     91823 | PA      | $89551.81     | 0.02%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                                 | CUSIP: 3132DM2M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    502539 | PA      | $430437.64    | 0.10%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3132L8RZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31221 | PA      | $30799.97     | 0.01%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3132M63W8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11849 | PA      | $11750.42     | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3132M6W48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4312 | PA      | $4210.07      | 0.00%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Gold Pool                                                            | CUSIP: 3132MAVH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17388 | PA      | $16975.77     | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2022-12-20

**Name of Applicant:** Trust for Professional Managers

**Signature:** /s/ John Buckel

**Name of Signer:** John Buckel

**Title:** President