# EDGAR Filing Document

**Accession Number:** 0000029440
**File Stem:** 0001145549-23-011240
**Filing Date:** 2023-2
**Character Count:** 524291
**Document Hash:** 8d4d90bc0f2f9ac2b6db03f3e8e46b88
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-23-011240.hdr.sgml**: 20230227

**ACCESSION NUMBER**: 0001145549-23-011240

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230227

**DATE AS OF CHANGE**: 20230227

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** DODGE & COX FUNDS
- **CENTRAL INDEX KEY:** 0000029440
- **IRS NUMBER:** 946067274
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-00173
- **FILM NUMBER:** 23673867

**BUSINESS ADDRESS:**
- **STREET 1:** 555 CALIFORNIA ST
- **STREET 2:** 40 TH FLOOR
- **CITY:** SAN FRANCISCO
- **STATE:** CA
- **ZIP:** 94104
- **BUSINESS PHONE:** 4159811710

**MAIL ADDRESS:**
- **STREET 1:** 555 CALIFORNIA ST
- **STREET 2:** 40 TH FLOOR
- **CITY:** SAN FRANCISCO
- **STATE:** CA
- **ZIP:** 94104

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** DODGE & COX BALANCED FUND/CA
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### Dodge & Cox Income Fund (Series ID: S000011205)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000030878 | Class I      | DODIX           |
| C000235737 | Class X      | DOXIX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Dodge & Cox Funds

- **b. Investment Company Act file number:** 811-00173

- **c. CIK number of Registrant:** 0000029440

- **d. LEI of Registrant:** 549300R3H2V5UI5MR803

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

  - **Street Address 1:** 555 California Street

  - **City:** San Francisco

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 94104

  - **Telephone number:** 415-981-1710

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

- **a. Name of Series:** Dodge & Cox Income Fund

- **b. EDGAR series identifier (if any):** S000011205

- **c. LEI of Series:** 5493009DXXXVQJ40VE42

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

- **a. Date of fiscal year-end:** 2022-12-31

- **b. Date as of which information is reported:** 2022-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $62252155486.78

**Total Liabilities:** $4164588662.28

**Net Assets:** $58087566824.50

**Delayed Delivery Securities:** $4142101971.25

**Cash Not Reported:** $671267.06

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 21972.840000000000 | **1-Year:** 2385251.360000000000 | **5-Year:** 9367475.620000000000 | **10-Year:** 14081996.430000000000 | **30-Year:** 7028654.450000000000

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

- **3-Month:** 11232.610000000000 | **1-Year:** 253237.150000000000 | **5-Year:** 768015.810000000000 | **10-Year:** 1163896.710000000000 | **30-Year:** 909620.230000000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000030878 | -1.00%               | 4.14%                | -0.33%               |
| Class ID C000235737 | -1.00%               | 4.05%                | -0.23%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-223719292.37           | $-536447813.13                             |
| Month 2  | $-245664439.66           | $2385530773.91                             |
| Month 3  | $152019298.03            | $-472784343.89                             |

**Designated Index Information**

- **Index Name:** Securities Portfolio

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                                             | Title                                                                  | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |    Balance | Units   | Value (USD)    | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| AT&T, Inc.                                       | AT&T, Inc. 4.50 03/09/2048                                             | CUSIP: 00206RDJ8<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   46095000 | PA      | $37530565.13   | 0.06%             | 2048-03-09      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                       | AT&T, Inc. 2.75 06/01/2031                                             | CUSIP: 00206RJY9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |  113862000 | PA      | $94359043.72   | 0.16%             | 2031-06-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                       | AT&T, Inc. 3.50 09/15/2053                                             | CUSIP: 00206RKJ0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |  100556000 | PA      | $67868882.52   | 0.12%             | 2053-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                       | AT&T, Inc. 3.55 09/15/2055                                             | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |  148163000 | PA      | $98860825.36   | 0.17%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                       | AT&T, Inc. 3.65 09/15/2059                                             | CUSIP: 00206RLV2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |  399391000 | PA      | $267324749.46  | 0.46%             | 2059-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                       | AT&T, Inc. 2.55 12/01/2033                                             | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   63242000 | PA      | $48602093.61   | 0.08%             | 2033-12-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                       | AT&T, Inc. 3.80 12/01/2057                                             | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |  166466000 | PA      | $114850436.72  | 0.20%             | 2057-12-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                     | AbbVie, Inc. 4.05 11/21/2039                                           | CUSIP: 00287YCA5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |  152435000 | PA      | $130476625.45  | 0.22%             | 2039-11-21      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                     | AbbVie, Inc. 4.25 11/21/2049                                           | CUSIP: 00287YCB3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   39038000 | PA      | $32397056.10   | 0.06%             | 2049-11-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UMBS TBA                                         | UMBS TBA 2.50 01/01/2051                                               | CUSIP: 01F022618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 2063000000 | PA      | $1746359021.53 | 3.01%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS TBA                                         | UMBS TBA 3.50 01/01/2052                                               | CUSIP: 01F032617<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 2590326000 | PA      | $2352800151.49 | 4.05%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch InBev SA/NV                       | Anheuser-Busch InBev SA/NV 5.55 01/23/2049                             | CUSIP: 03523TBV9<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |  153079000 | PA      | $151333570.28  | 0.26%             | 2049-01-23      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch InBev SA/NV                       | Anheuser-Busch InBev SA/NV 4.60 04/15/2048                             | CUSIP: 035240AN0<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |   21667000 | PA      | $18827575.83   | 0.03%             | 2048-04-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| British American Tobacco PLC                     | British American Tobacco PLC 4.39 08/15/2037                           | CUSIP: 05526DBD6<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   15414000 | PA      | $11984408.28   | 0.02%             | 2037-08-15      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| British American Tobacco PLC                     | British American Tobacco PLC 4.54 08/15/2047                           | CUSIP: 05526DBF1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   29496000 | PA      | $20841117.03   | 0.04%             | 2047-08-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| British American Tobacco PLC                     | British American Tobacco PLC 2.259 03/25/2028                          | CUSIP: 05526DBR5<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   63064000 | PA      | $52338241.37   | 0.09%             | 2028-03-25      | Fixed         | 2.26%                 | No            |                  2 | On Loan: No      |
| British American Tobacco PLC                     | British American Tobacco PLC 2.726 03/25/2031                          | CUSIP: 05526DBS3<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   71685000 | PA      | $55929872.13   | 0.10%             | 2031-03-25      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| British American Tobacco PLC                     | British American Tobacco PLC 3.734 09/25/2040                          | CUSIP: 05526DBT1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   22025000 | PA      | $14955465.50   | 0.03%             | 2040-09-25      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| British American Tobacco PLC                     | British American Tobacco PLC 3.984 09/25/2050                          | CUSIP: 05526DBU8<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   99513000 | PA      | $65116979.38   | 0.11%             | 2050-09-25      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| British American Tobacco PLC                     | British American Tobacco PLC 5.65 03/16/2052                           | CUSIP: 05526DBV6<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   53525000 | PA      | $44121151.00   | 0.08%             | 2052-03-16      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| British American Tobacco PLC                     | British American Tobacco PLC 4.742 03/16/2032                          | CUSIP: 05526DBW4<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |  279570000 | PA      | $248069282.51  | 0.43%             | 2032-03-16      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| British American Tobacco PLC                     | British American Tobacco PLC 7.75 10/19/2032                           | CUSIP: 05526DBX2<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   39700000 | PA      | $42700326.71   | 0.07%             | 2032-10-19      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | BNP Paribas SA 4.375 05/12/2026                                        | CUSIP: 05565AAR4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |  133514000 | PA      | $127205585.00  | 0.22%             | 2026-05-12      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                 | Burlington Northern Santa Fe LLC 5.629 04/01/2024                      | CUSIP: 05565SAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3241090 | PA      | $3216094.34    | 0.01%             | 2024-04-01      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                 | Burlington Northern Santa Fe LLC 5.72 01/15/2024                       | CUSIP: 05568BAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2821805 | PA      | $2819240.22    | 0.00%             | 2024-01-15      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                 | Burlington Northern Santa Fe LLC 5.342 04/01/2024                      | CUSIP: 05568DAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     614752 | PA      | $609665.97     | 0.00%             | 2024-04-01      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                 | Burlington Northern Santa Fe LLC 5.996 04/01/2024                      | CUSIP: 05568YAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   11218598 | PA      | $11187406.43   | 0.02%             | 2024-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | BNP Paribas SA 4.25 10/15/2024                                         | CUSIP: 05579T5G7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |  377926000 | PA      | $369512479.11  | 0.64%             | 2024-10-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                 | Burlington Northern Santa Fe LLC 3.442 06/16/2028                      | CUSIP: 05581JAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   64553658 | PA      | $60521004.33   | 0.10%             | 2028-06-16      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | BNP Paribas SA 4.375 09/28/2025                                        | CUSIP: 05581KAA9<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   94549000 | PA      | $91806576.94   | 0.16%             | 2025-09-28      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | BNP Paribas SA 4.625 03/13/2027                                        | CUSIP: 05581KAC5<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |  277440000 | PA      | $263089371.61  | 0.45%             | 2027-03-13      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                            | Bank of America Corp. 4.20 08/26/2024                                  | CUSIP: 06051GFH7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  161580000 | PA      | $159080213.59  | 0.27%             | 2024-08-26      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                            | Bank of America Corp. 4.25 10/22/2026                                  | CUSIP: 06051GFL8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  161184000 | PA      | $155695584.87  | 0.27%             | 2026-10-22      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                            | Bank of America Corp. 3.419 12/20/2028                                 | CUSIP: 06051GHD4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    6195000 | PA      | $5609754.45    | 0.01%             | 2028-12-20      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                            | Bank of America Corp. 2.496 02/13/2031                                 | CUSIP: 06051GHZ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   76690000 | PA      | $62332987.04   | 0.11%             | 2031-02-13      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                            | Bank of America Corp. 3.846 03/08/2037                                 | CUSIP: 06051GKL2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  326384000 | PA      | $270265714.55  | 0.47%             | 2037-03-08      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                            | Bank of America Corp. 5.015 07/22/2033                                 | CUSIP: 06051GKY4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   16710000 | PA      | $15864339.15   | 0.03%             | 2033-07-22      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                            | Bank of America Corp. 6.204 11/10/2028                                 | CUSIP: 06051GLC1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   43250000 | PA      | $44654401.03   | 0.08%             | 2028-11-10      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                             | JPMorgan Chase & Co. 8.75 09/01/2030                                   | CUSIP: 06423AAJ2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   81627000 | PA      | $95113260.30   | 0.16%             | 2030-09-01      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                     | Barclays PLC 4.375 09/11/2024                                          | CUSIP: 06738EAC9<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |  236829000 | PA      | $231335514.52  | 0.40%             | 2024-09-11      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                     | Barclays PLC 5.20 05/12/2026                                           | CUSIP: 06738EAP0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   55538000 | PA      | $54010456.19   | 0.09%             | 2026-05-12      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                     | Barclays PLC 4.836 05/09/2028                                          | CUSIP: 06738EAW5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   99524000 | PA      | $91760765.73   | 0.16%             | 2028-05-09      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                     | Barclays PLC 5.088 06/20/2030                                          | CUSIP: 06738EBK0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    5939000 | PA      | $5470178.19    | 0.01%             | 2030-06-20      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                     | Barclays PLC 5.501 08/09/2028                                          | CUSIP: 06738EBY0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   64325000 | PA      | $62301133.52   | 0.11%             | 2028-08-09      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                     | Barclays PLC 5.304 08/09/2026                                          | CUSIP: 06738EBZ7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   12500000 | PA      | $12406552.75   | 0.02%             | 2026-08-09      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| Bayer AG                                         | Bayer AG 3.875 12/15/2023                                              | CUSIP: 07274NAE3<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |  298635000 | PA      | $294312482.35  | 0.51%             | 2023-12-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Bayer AG                                         | Bayer AG 4.25 12/15/2025                                               | CUSIP: 07274NAJ2<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |   44030000 | PA      | $42661796.37   | 0.07%             | 2025-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Bayer AG                                         | Bayer AG 4.375 12/15/2028                                              | CUSIP: 07274NAL7<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |    4485000 | PA      | $4210139.24    | 0.01%             | 2028-12-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Boston Properties, Inc.                          | Boston Properties, Inc. 3.80 02/01/2024                                | CUSIP: 10112RAW4<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |   63389000 | PA      | $62255190.75   | 0.11%             | 2024-02-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Boston Properties, Inc.                          | Boston Properties, Inc. 3.65 02/01/2026                                | CUSIP: 10112RAX2<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |   28645000 | PA      | $27152343.14   | 0.05%             | 2026-02-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Boston Properties, Inc.                          | Boston Properties, Inc. 3.20 01/15/2025                                | CUSIP: 10112RAZ7<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |   46635000 | PA      | $44604728.95   | 0.08%             | 2025-01-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Boston Properties, Inc.                          | Boston Properties, Inc. 4.50 12/01/2028                                | CUSIP: 10112RBA1<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |   64323000 | PA      | $59629847.91   | 0.10%             | 2028-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Boston Properties, Inc.                          | Boston Properties, Inc. 2.90 03/15/2030                                | CUSIP: 10112RBC7<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |   30643000 | PA      | $25047744.17   | 0.04%             | 2030-03-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Boston Properties, Inc.                          | Boston Properties, Inc. 3.25 01/30/2031                                | CUSIP: 10112RBD5<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |  132273000 | PA      | $109347269.04  | 0.19%             | 2031-01-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Boston Properties, Inc.                          | Boston Properties, Inc. 6.75 12/01/2027                                | CUSIP: 10112RBG8<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |   19825000 | PA      | $20441683.19   | 0.04%             | 2027-12-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Charter Communications, Inc.                     | Charter Communications, Inc. 4.50 06/01/2033                           | CUSIP: 1248EPCL5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  227585000 | PA      | $174610039.55  | 0.30%             | 2033-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Charter Communications, Inc.                     | Charter Communications, Inc. 4.50 05/01/2032                           | CUSIP: 1248EPCN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  107225000 | PA      | $85351100.00   | 0.15%             | 2032-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Charter Communications, Inc.                     | Charter Communications, Inc. 4.25 01/15/2034                           | CUSIP: 1248EPCP6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   90430000 | PA      | $66741409.35   | 0.11%             | 2034-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Cigna Corp.                                      | Cigna Corp. 4.125 11/15/2025                                           | CUSIP: 125523AG5<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   47075000 | PA      | $45993837.42   | 0.08%             | 2025-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Cigna Corp.                                      | Cigna Corp. 4.375 10/15/2028                                           | CUSIP: 125523AH3<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   64256000 | PA      | $61970667.89   | 0.11%             | 2028-10-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Cigna Corp.                                      | Cigna Corp. 7.875 05/15/2027                                           | CUSIP: 125523AX8<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   26593000 | PA      | $29314320.73   | 0.05%             | 2027-05-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| CRH PLC                                          | CRH PLC 3.875 05/18/2025                                               | CUSIP: 12626PAM5<br>LEI: 549300RN11MJ182CNF63 | Long             | DBT              | CORP              | US        |   61144000 | PA      | $58981850.94   | 0.10%             | 2025-05-18      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CSX Corp.                                        | CSX Corp. 6.251 01/15/2023                                             | CUSIP: 126410LM9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    8461906 | PA      | $8464720.27    | 0.01%             | 2023-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                 | CVS Health Corp. 4.30 03/25/2028                                       | CUSIP: 126650CX6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   32995000 | PA      | $31914172.56   | 0.05%             | 2028-03-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                 | CVS Health Corp. 4.78 03/25/2038                                       | CUSIP: 126650CY4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |  142201000 | PA      | $129535737.11  | 0.22%             | 2038-03-25      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                 | CVS Health Corp. 5.05 03/25/2048                                       | CUSIP: 126650CZ1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |  171761000 | PA      | $154163207.85  | 0.27%             | 2048-03-25      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                 | CVS Health Corp. 3.75 04/01/2030                                       | CUSIP: 126650DJ6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   82424000 | PA      | $74730777.92   | 0.13%             | 2030-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                 | CVS Health Corp. 4.125 04/01/2040                                      | CUSIP: 126650DK3<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   57090000 | PA      | $47501210.98   | 0.08%             | 2040-04-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                 | CVS Health Corp. 4.25 04/01/2050                                       | CUSIP: 126650DL1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   15845000 | PA      | $12611267.00   | 0.02%             | 2050-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| State of California GO                           | State of California GO 7.50 04/01/2034                                 | CUSIP: 13063A5E0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   80226000 | PA      | $96918126.42   | 0.17%             | 2034-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| State of California GO                           | State of California GO 7.30 10/01/2039                                 | CUSIP: 13063A7D0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |  183965000 | PA      | $223494405.79  | 0.38%             | 2039-10-01      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                      | Capital One Financial Corp. 3.50 06/15/2023                            | CUSIP: 14040HBD6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |  101627000 | PA      | $101011264.36  | 0.17%             | 2023-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                      | Capital One Financial Corp. 3.75 04/24/2024                            | CUSIP: 14040HBF1<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   14520000 | PA      | $14245190.12   | 0.02%             | 2024-04-24      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                      | Capital One Financial Corp. 3.20 02/05/2025                            | CUSIP: 14040HBG9<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   45441000 | PA      | $43688845.48   | 0.08%             | 2025-02-05      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                      | Capital One Financial Corp. 4.20 10/29/2025                            | CUSIP: 14040HBJ3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |  126044000 | PA      | $121800806.89  | 0.21%             | 2025-10-29      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                      | Capital One Financial Corp. 3.75 07/28/2026                            | CUSIP: 14040HBK0<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   11885000 | PA      | $11189864.06   | 0.02%             | 2026-07-28      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                      | Capital One Financial Corp. 2.636 03/03/2026                           | CUSIP: 14040HCM5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   36790000 | PA      | $34459223.26   | 0.06%             | 2026-03-03      | Variable      | 2.64%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                      | Capital One Financial Corp. 4.927 05/10/2028                           | CUSIP: 14040HCS2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   92310000 | PA      | $89365973.79   | 0.15%             | 2028-05-10      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                      | Capital One Financial Corp. 5.268 05/10/2033                           | CUSIP: 14040HCT0<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   94840000 | PA      | $88098871.43   | 0.15%             | 2033-05-10      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| Cemex SAB de CV                                  | Cemex SAB de CV 5.45 11/19/2029                                        | CUSIP: 151290BV4<br>LEI: 549300RIG2CXWN6IV731 | Long             | DBT              | CORP              | MX        |   87667000 | PA      | $84159879.91   | 0.14%             | 2029-11-19      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Cemex SAB de CV                                  | Cemex SAB de CV 7.375 06/05/2027                                       | CUSIP: 151290BW2<br>LEI: 549300RIG2CXWN6IV731 | Long             | DBT              | CORP              | MX        |   88919000 | PA      | $91253123.75   | 0.16%             | 2027-06-05      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Cemex SAB de CV                                  | Cemex SAB de CV 5.20 09/17/2030                                        | CUSIP: 151290BX0<br>LEI: 549300RIG2CXWN6IV731 | Long             | DBT              | CORP              | MX        |  215702000 | PA      | $201225583.05  | 0.35%             | 2030-09-17      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Cemex SAB de CV                                  | Cemex SAB de CV 3.875 07/11/2031                                       | CUSIP: 151290BZ5<br>LEI: 549300RIG2CXWN6IV731 | Long             | DBT              | CORP              | MX        |  126775000 | PA      | $107002524.45  | 0.18%             | 2031-07-11      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Charter Communications, Inc.                     | Charter Communications, Inc. 4.908 07/23/2025                          | CUSIP: 161175AY0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  108025000 | PA      | $105875408.36  | 0.18%             | 2025-07-23      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Charter Communications, Inc.                     | Charter Communications, Inc. 6.484 10/23/2045                          | CUSIP: 161175BA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  469182000 | PA      | $423096161.71  | 0.73%             | 2045-10-23      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| Charter Communications, Inc.                     | Charter Communications, Inc. 5.375 05/01/2047                          | CUSIP: 161175BL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   59335000 | PA      | $46544898.70   | 0.08%             | 2047-05-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Charter Communications, Inc.                     | Charter Communications, Inc. 5.75 04/01/2048                           | CUSIP: 161175BN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  235090000 | PA      | $192465865.01  | 0.33%             | 2048-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Charter Communications, Inc.                     | Charter Communications, Inc. 4.80 03/01/2050                           | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   14905000 | PA      | $10820270.74   | 0.02%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Charter Communications, Inc.                     | Charter Communications, Inc. 4.40 04/01/2033                           | CUSIP: 161175CJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   40625000 | PA      | $34761153.38   | 0.06%             | 2033-04-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Charter Communications, Inc.                     | Charter Communications, Inc. 5.25 04/01/2053                           | CUSIP: 161175CK8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  156290000 | PA      | $120631329.97  | 0.21%             | 2053-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                  | Citigroup, Inc. 6.625 06/15/2032                                       | CUSIP: 172967BL4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    1650000 | PA      | $1737543.82    | 0.00%             | 2032-06-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                  | Citigroup, Inc. 3.50 05/15/2023                                        | CUSIP: 172967GT2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   72075000 | PA      | $71726988.02   | 0.12%             | 2023-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                  | Citigroup, Inc. 4.00 08/05/2024                                        | CUSIP: 172967HV6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   30990000 | PA      | $30434834.29   | 0.05%             | 2024-08-05      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                  | Citigroup, Inc. 4.45 09/29/2027                                        | CUSIP: 172967KA8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   46199000 | PA      | $44046512.82   | 0.08%             | 2027-09-29      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                  | Citigroup, Inc. 4.412 03/31/2031                                       | CUSIP: 172967MP3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   88860000 | PA      | $81599836.76   | 0.14%             | 2031-03-31      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                  | Citigroup, Inc. 3.785 03/17/2033                                       | CUSIP: 172967NN7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  136715000 | PA      | $116931184.26  | 0.20%             | 2033-03-17      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                  | Citigroup, Inc. 7.875% 10/30/40                                        | CUSIP: 173080201<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   16938848 | NS      | $485128606.72  | 0.84%             | 2040-10-30      | Variable      | 10.78%                | No            |                  2 | On Loan: No      |
| Coca-Cola Co.                                    | Coca-Cola Co. 1.65 06/01/2030                                          | CUSIP: 191216CV0<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |  188545000 | PA      | $154255306.94  | 0.27%             | 2030-06-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Colombia Government International                | Colombia Government International 5.625 02/26/2044                     | CUSIP: 195325BR5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  106025000 | PA      | $77755818.25   | 0.13%             | 2044-02-26      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Colombia Government International                | Colombia Government International 5.00 06/15/2045                      | CUSIP: 195325CU7<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |   77700000 | PA      | $52859767.65   | 0.09%             | 2045-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Colombia Government International                | Colombia Government International 5.20 05/15/2049                      | CUSIP: 195325DQ5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |   48525000 | PA      | $33049690.87   | 0.06%             | 2049-05-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                    | Comcast Corp. 5.50 11/15/2032                                          | CUSIP: 20030NEB3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   83555000 | PA      | $87122221.13   | 0.15%             | 2032-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Cox Enterprises, Inc.                            | Cox Enterprises, Inc. 3.85 02/01/2025                                  | CUSIP: 224044CE5<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |  218525000 | PA      | $211106998.43  | 0.36%             | 2025-02-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Cox Enterprises, Inc.                            | Cox Enterprises, Inc. 3.35 09/15/2026                                  | CUSIP: 224044CG0<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |  160651000 | PA      | $150202250.93  | 0.26%             | 2026-09-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Cox Enterprises, Inc.                            | Cox Enterprises, Inc. 3.50 08/15/2027                                  | CUSIP: 224044CJ4<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |   68827000 | PA      | $63889479.73   | 0.11%             | 2027-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Cox Enterprises, Inc.                            | Cox Enterprises, Inc. 1.80 10/01/2030                                  | CUSIP: 224044CL9<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |   12094000 | PA      | $9197327.24    | 0.02%             | 2030-10-01      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Dell Technologies, Inc.                          | Dell Technologies, Inc. 5.45 06/15/2023                                | CUSIP: 24703TAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3996000 | PA      | $3998528.11    | 0.01%             | 2023-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Dell Technologies, Inc.                          | Dell Technologies, Inc. 6.02 06/15/2026                                | CUSIP: 24703TAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   29345000 | PA      | $29936473.12   | 0.05%             | 2026-06-15      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| Dell Technologies, Inc.                          | Dell Technologies, Inc. 6.10 07/15/2027                                | CUSIP: 24703TAF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   37510000 | PA      | $38536050.79   | 0.07%             | 2027-07-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Dillard's, Inc.                                  | Dillard's, Inc. 7.875 01/01/2023                                       | CUSIP: 254063AR1<br>LEI: 529900FGYKMWL6019P91 | Long             | DBT              | CORP              | US        |     275000 | PA      | $275000.00     | 0.00%             | 2023-01-01      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Dillard's, Inc.                                  | Dillard's, Inc. 7.75 07/15/2026                                        | CUSIP: 254063AU4<br>LEI: 529900FGYKMWL6019P91 | Long             | DBT              | CORP              | US        |   20806000 | PA      | $21609380.00   | 0.04%             | 2026-07-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Dillard's, Inc.                                  | Dillard's, Inc. 7.75 05/15/2027                                        | CUSIP: 254063AW0<br>LEI: 529900FGYKMWL6019P91 | Long             | DBT              | CORP              | US        |   13063000 | PA      | $13674176.62   | 0.02%             | 2027-05-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Dillard's, Inc.                                  | Dillard's, Inc. 7.00 12/01/2028                                        | CUSIP: 254067AN1<br>LEI: 529900FGYKMWL6019P91 | Long             | DBT              | CORP              | US        |   27945000 | PA      | $28525739.86   | 0.05%             | 2028-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| The Walt Disney Co.                              | The Walt Disney Co. 6.65 11/15/2037                                    | CUSIP: 254687EH5<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |   75362000 | PA      | $85347213.29   | 0.15%             | 2037-11-15      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| Dominion Energy                                  | Dominion Energy 5.75 10/01/2054                                        | CUSIP: 25746UBY4<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |  238711000 | PA      | $223613166.61  | 0.38%             | 2054-10-01      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Dominion Energy                                  | Dominion Energy 3.375 04/01/2030                                       | CUSIP: 25746UDG1<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |   23545000 | PA      | $20748238.49   | 0.04%             | 2030-04-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Dominion Energy                                  | Dominion Energy 1.45 04/15/2026                                        | CUSIP: 25746UDJ5<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |   30710000 | PA      | $27339982.26   | 0.05%             | 2026-04-15      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Dow, Inc.                                        | Dow, Inc. 7.375 11/01/2029                                             | CUSIP: 260543BJ1<br>LEI: ZQUIP1CSZO8LXRBSOU78 | Long             | DBT              | CORP              | US        |   29612000 | PA      | $32897137.81   | 0.06%             | 2029-11-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Dow, Inc.                                        | Dow, Inc. 9.40 05/15/2039                                              | CUSIP: 260543BY8<br>LEI: ZQUIP1CSZO8LXRBSOU78 | Long             | DBT              | CORP              | US        |   76250000 | PA      | $100442423.86  | 0.17%             | 2039-05-15      | Fixed         | 9.40%                 | No            |                  2 | On Loan: No      |
| Dow, Inc.                                        | Dow, Inc. 5.25 11/15/2041                                              | CUSIP: 260543CE1<br>LEI: ZQUIP1CSZO8LXRBSOU78 | Long             | DBT              | CORP              | US        |   24024000 | PA      | $22391199.23   | 0.04%             | 2041-11-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Elanco Animal Health, Inc.                       | Elanco Animal Health, Inc. 5.772 08/28/2023                            | CUSIP: 28414HAE3<br>LEI: 549300SHPNDCE059M934 | Long             | DBT              | CORP              | US        |   43545000 | PA      | $43109550.00   | 0.07%             | 2023-08-28      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| Elanco Animal Health, Inc.                       | Elanco Animal Health, Inc. 6.40 08/28/2028                             | CUSIP: 28414HAG8<br>LEI: 549300SHPNDCE059M934 | Long             | DBT              | CORP              | US        |  113742000 | PA      | $108226650.42  | 0.19%             | 2028-08-28      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| Enel SPA                                         | Enel SPA 8.75 09/24/2073                                               | CUSIP: 29265WAA6<br>LEI: WOCMU6HCI0OJWNPRZS33 | Long             | DBT              | CORP              | IT        |   33849000 | PA      | $33877042.88   | 0.06%             | 2073-09-24      | Variable      | 8.75%                 | No            |                  2 | On Loan: No      |
| Enel SPA                                         | Enel SPA 6.80 09/15/2037                                               | CUSIP: 29268BAC5<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |  138532000 | PA      | $137193543.99  | 0.24%             | 2037-09-15      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| Enel SPA                                         | Enel SPA 6.00 10/07/2039                                               | CUSIP: 29268BAF8<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |  161310000 | PA      | $146771663.64  | 0.25%             | 2039-10-07      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Enel SPA                                         | Enel SPA 5.00 06/15/2032                                               | CUSIP: 29278GAX6<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    7150000 | PA      | $6439480.26    | 0.01%             | 2032-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Enel SPA                                         | Enel SPA 7.50 10/14/2032                                               | CUSIP: 29278GBA5<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |   84400000 | PA      | $89191193.04   | 0.15%             | 2032-10-14      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Enel SPA                                         | Enel SPA 7.75 10/14/2052                                               | CUSIP: 29278GBB3<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |   29025000 | PA      | $31007002.60   | 0.05%             | 2052-10-14      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Exxon Mobil Corp.                                | Exxon Mobil Corp. 4.227 03/19/2040                                     | CUSIP: 30231GBF8<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |  121585000 | PA      | $109400052.83  | 0.19%             | 2040-03-19      | Fixed         | 4.23%                 | No            |                  2 | On Loan: No      |
| Exxon Mobil Corp.                                | Exxon Mobil Corp. 2.61 10/15/2030                                      | CUSIP: 30231GBN1<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |  102205000 | PA      | $89275065.89   | 0.15%             | 2030-10-15      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 5.50 01/01/2035                                       | CUSIP: 31283H5J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1444798 | PA      | $1493141.56    | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 6.50 12/01/2032                                       | CUSIP: 31283H6C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1162460 | PA      | $1209186.10    | 0.00%             | 2032-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 6.00 02/01/2035                                       | CUSIP: 31283H6N0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2402154 | PA      | $2487475.70    | 0.00%             | 2035-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 7.00 04/01/2031                                       | CUSIP: 31283HY82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     559623 | PA      | $572665.38     | 0.00%             | 2031-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 5.50 03/01/2034                                       | CUSIP: 31283HZ65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3166261 | PA      | $3268776.22    | 0.01%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 3.587 02/01/2049                                           | CUSIP: 31288QBH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3525010 | PA      | $3438218.79    | 0.01%             | 2049-02-01      | Floating      | 3.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 1.86 08/01/2051                                            | CUSIP: 31288QPW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  232972836 | PA      | $210048730.95  | 0.36%             | 2051-08-01      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 2.176 11/01/2050                                           | CUSIP: 31288QQ52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   74542063 | PA      | $66657564.26   | 0.11%             | 2050-11-01      | Floating      | 2.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 2.317 05/01/2052                                           | CUSIP: 31288QR51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   37277846 | PA      | $33144416.71   | 0.06%             | 2052-05-01      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 2.027 05/01/2052                                           | CUSIP: 31288QRQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  108239900 | PA      | $95389994.31   | 0.16%             | 2052-05-01      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 1.977 04/01/2052                                           | CUSIP: 31288QRW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  106290923 | PA      | $93292343.46   | 0.16%             | 2052-04-01      | Floating      | 1.98%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 3.307 06/01/2052                                           | CUSIP: 31288QSK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15225562 | PA      | $14088413.63   | 0.02%             | 2052-06-01      | Floating      | 3.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 6.50 10/01/2026                                       | CUSIP: 3128CUKS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     510186 | PA      | $523193.44     | 0.00%             | 2026-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.00 01/01/2034                                       | CUSIP: 3128CUXL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7813005 | PA      | $7570368.47    | 0.01%             | 2034-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.00 11/01/2034                                       | CUSIP: 3128CUXX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5709079 | PA      | $5503603.74    | 0.01%             | 2034-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.50 07/01/2030                                       | CUSIP: 3128E5JT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3570192 | PA      | $3546588.30    | 0.01%             | 2030-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.50 04/01/2031                                       | CUSIP: 3128E5RY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1533945 | PA      | $1523790.07    | 0.00%             | 2031-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.50 07/01/2031                                       | CUSIP: 3128E5VF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2404836 | PA      | $2388913.55    | 0.00%             | 2031-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 4.029 09/01/2033                                           | CUSIP: 3128JLEY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1552112 | PA      | $1566906.36    | 0.00%             | 2033-09-01      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 4.021 08/01/2034                                           | CUSIP: 3128JMBB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     266526 | PA      | $269724.10     | 0.00%             | 2034-08-01      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 2.064 01/01/2037                                           | CUSIP: 3128JNN84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     415568 | PA      | $406484.72     | 0.00%             | 2037-01-01      | Floating      | 3.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 2.844 03/01/2035                                           | CUSIP: 3128JRL61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     311750 | PA      | $313259.38     | 0.00%             | 2035-03-01      | Floating      | 3.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 3.821 08/01/2035                                           | CUSIP: 3128JRLN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     322000 | PA      | $324930.12     | 0.00%             | 2035-08-01      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 3.198 04/01/2036                                           | CUSIP: 3128JRQY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     854828 | PA      | $864041.24     | 0.00%             | 2036-04-01      | Floating      | 3.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 6.00 12/01/2033                                       | CUSIP: 3128LXFR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35611 | PA      | $36867.94      | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 6.00 06/01/2035                                       | CUSIP: 3128M42Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      51179 | PA      | $52996.82      | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 6.50 10/01/2037                                       | CUSIP: 3128M5K90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10385 | PA      | $10905.43      | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 6.50 03/01/2038                                       | CUSIP: 3128M6FT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1801597 | PA      | $1894179.11    | 0.00%             | 2038-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.50 04/01/2040                                       | CUSIP: 3128M73B0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3113915 | PA      | $3090415.92    | 0.01%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.50 03/01/2039                                       | CUSIP: 3128M7HF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3385591 | PA      | $3355235.63    | 0.01%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 7.00 11/01/2038                                       | CUSIP: 3128M7RY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     514483 | PA      | $532617.40     | 0.00%             | 2038-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 5.50 07/01/2035                                       | CUSIP: 3128M7Z33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1963177 | PA      | $2023696.74    | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 5.50 12/01/2038                                       | CUSIP: 3128M86L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12489741 | PA      | $12939125.68   | 0.02%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 6.50 03/01/2038                                       | CUSIP: 3128M8FY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     503978 | PA      | $526243.30     | 0.00%             | 2038-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 6.00 01/01/2038                                       | CUSIP: 3128M8HP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1667640 | PA      | $1742889.77    | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.50 05/01/2041                                       | CUSIP: 3128M8P81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10566522 | PA      | $10487463.32   | 0.02%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 6.00 02/01/2039                                       | CUSIP: 3128M8T38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2126431 | PA      | $2218914.74    | 0.00%             | 2039-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.50 06/01/2041                                       | CUSIP: 3128M8VS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5537431 | PA      | $5495597.87    | 0.01%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.50 07/01/2044                                       | CUSIP: 3128M96L1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7935088 | PA      | $7804014.22    | 0.01%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.50 06/01/2042                                       | CUSIP: 3128M9D74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3371736 | PA      | $3346280.67    | 0.01%             | 2042-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.50 03/01/2042                                       | CUSIP: 3128M9GQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5459911 | PA      | $5418700.13    | 0.01%             | 2042-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.50 03/01/2041                                       | CUSIP: 3128M9UF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2085729 | PA      | $2069983.06    | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.50 12/01/2043                                       | CUSIP: 3128M9YH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2074299 | PA      | $2036561.11    | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.50 02/01/2044                                       | CUSIP: 3128M9YZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4429040 | PA      | $4377508.41    | 0.01%             | 2044-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.50 08/01/2044                                       | CUSIP: 3128MADW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3988054 | PA      | $3922159.67    | 0.01%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.50 08/01/2044                                       | CUSIP: 3128MAEL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3673050 | PA      | $3612384.59    | 0.01%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.50 07/01/2044                                       | CUSIP: 3128MAEP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   44826089 | PA      | $44085708.65   | 0.08%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 6.00 11/01/2023                                       | CUSIP: 3128MB4X2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      75019 | PA      | $74808.92      | 0.00%             | 2023-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 6.00 03/01/2023                                       | CUSIP: 3128MB5F0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         47 | PA      | $47.39         | 0.00%             | 2023-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.50 03/01/2025                                       | CUSIP: 3128MCND3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      80308 | PA      | $80254.69      | 0.00%             | 2025-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.50 06/01/2025                                       | CUSIP: 3128MCRD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     107270 | PA      | $107196.12     | 0.00%             | 2025-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 5.50 12/01/2024                                       | CUSIP: 3128MCRJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1718 | PA      | $1712.67       | 0.00%             | 2024-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.50 06/01/2026                                       | CUSIP: 3128MDQL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     814791 | PA      | $813853.59     | 0.00%             | 2026-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 5.50 09/01/2034                                       | CUSIP: 3128MJAL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     250179 | PA      | $258450.92     | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.50 07/01/2039                                       | CUSIP: 3128MJMB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2168937 | PA      | $2151442.20    | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.50 03/01/2041                                       | CUSIP: 3128MJPY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1696775 | PA      | $1683955.70    | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.50 09/01/2044                                       | CUSIP: 3128MJU99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9386363 | PA      | $9231312.28    | 0.02%             | 2044-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.50 10/01/2044                                       | CUSIP: 3128MJVD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1174681 | PA      | $1155274.90    | 0.00%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.50 12/01/2044                                       | CUSIP: 3128MJVP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2241639 | PA      | $2204607.10    | 0.00%             | 2044-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.50 02/01/2046                                       | CUSIP: 3128MJX21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11248111 | PA      | $11062266.37   | 0.02%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.00 03/01/2046                                       | CUSIP: 3128MJX54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16817498 | PA      | $16126530.57   | 0.03%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.00 05/01/2046                                       | CUSIP: 3128MJYD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7646543 | PA      | $7330796.84    | 0.01%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.00 09/01/2046                                       | CUSIP: 3128MJYV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3317099 | PA      | $3178069.72    | 0.01%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 6.00 12/01/2035                                       | CUSIP: 3128MSCS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8972 | PA      | $8955.36       | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 6.50 09/01/2037                                       | CUSIP: 3128MT6K9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2807 | PA      | $2906.72       | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 1.915 01/01/2035                                           | CUSIP: 3128NCDF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      99743 | PA      | $97322.28      | 0.00%             | 2035-01-01      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 3.875 10/01/2035                                           | CUSIP: 3128NCM43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     438822 | PA      | $443221.18     | 0.00%             | 2035-10-01      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.50 12/01/2033                                       | CUSIP: 3128P75F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1590491 | PA      | $1572109.47    | 0.00%             | 2033-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.50 01/01/2034                                       | CUSIP: 3128P75K5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4621702 | PA      | $4568281.49    | 0.01%             | 2034-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.00 06/01/2034                                       | CUSIP: 3128P76A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13534995 | PA      | $13047710.99   | 0.02%             | 2034-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.00 07/01/2034                                       | CUSIP: 3128P76E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11330388 | PA      | $10922467.64   | 0.02%             | 2034-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.00 07/01/2034                                       | CUSIP: 3128P76Q1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3433816 | PA      | $3310180.03    | 0.01%             | 2034-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.00 10/01/2034                                       | CUSIP: 3128P77G2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7202130 | PA      | $6942761.68    | 0.01%             | 2034-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.00 11/01/2034                                       | CUSIP: 3128P77M9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3217027 | PA      | $3101167.85    | 0.01%             | 2034-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.50 05/01/2030                                       | CUSIP: 3128P7NT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4293729 | PA      | $4265335.86    | 0.01%             | 2030-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.50 08/01/2030                                       | CUSIP: 3128P7PH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     687003 | PA      | $682458.41     | 0.00%             | 2030-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.50 09/01/2030                                       | CUSIP: 3128P7PV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2317368 | PA      | $2302037.61    | 0.00%             | 2030-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.50 05/01/2031                                       | CUSIP: 3128P7QX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     887685 | PA      | $881805.26     | 0.00%             | 2031-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.50 07/01/2031                                       | CUSIP: 3128P7RB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9758773 | PA      | $9694123.60    | 0.02%             | 2031-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.00 09/01/2031                                       | CUSIP: 3128P7RQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12940255 | PA      | $12539157.63   | 0.02%             | 2031-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.00 12/01/2034                                       | CUSIP: 3128P8AC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2559066 | PA      | $2466901.84    | 0.00%             | 2034-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 3.50 01/01/2036                                       | CUSIP: 3128P8B75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6699188 | PA      | $6411284.76    | 0.01%             | 2036-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 3.50 07/01/2035                                       | CUSIP: 3128P8BJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13031199 | PA      | $12471138.60   | 0.02%             | 2035-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 3.50 09/01/2035                                       | CUSIP: 3128P8BS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2471312 | PA      | $2365087.71    | 0.00%             | 2035-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 3.50 10/01/2035                                       | CUSIP: 3128P8BW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16622968 | PA      | $15908360.49   | 0.03%             | 2035-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 3.50 11/01/2035                                       | CUSIP: 3128P8BZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5019362 | PA      | $4803583.17    | 0.01%             | 2035-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 4.12 08/01/2035                                            | CUSIP: 3128QJGW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     753769 | PA      | $759813.08     | 0.00%             | 2035-08-01      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 3.284 01/01/2036                                           | CUSIP: 3128QLRA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     840856 | PA      | $853341.74     | 0.00%             | 2036-01-01      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 2.923 01/01/2036                                           | CUSIP: 3128QLRM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     695938 | PA      | $692642.20     | 0.00%             | 2036-01-01      | Floating      | 3.24%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 3.965 12/01/2036                                           | CUSIP: 3128QPM33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     302927 | PA      | $300586.29     | 0.00%             | 2036-12-01      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 1.979 03/01/2037                                           | CUSIP: 3128QS6C5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     744495 | PA      | $724665.93     | 0.00%             | 2037-03-01      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 2.975 04/01/2037                                           | CUSIP: 3128QSDN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     429728 | PA      | $420833.16     | 0.00%             | 2037-04-01      | Floating      | 2.98%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 2.817 04/01/2037                                           | CUSIP: 3128QSDP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     424903 | PA      | $425740.78     | 0.00%             | 2037-04-01      | Floating      | 2.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 3.00 05/01/2037                                            | CUSIP: 3128QSFF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     135020 | PA      | $132322.29     | 0.00%             | 2037-05-01      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 3.695 07/01/2037                                           | CUSIP: 3128QSJZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1265525 | PA      | $1281853.42    | 0.00%             | 2037-07-01      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 2.374 01/01/2038                                           | CUSIP: 3128QSUG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     134231 | PA      | $131363.22     | 0.00%             | 2038-01-01      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 3.309 05/01/2038                                           | CUSIP: 3128QTDJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     124108 | PA      | $123512.21     | 0.00%             | 2038-05-01      | Floating      | 3.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 3.408 01/01/2036                                           | CUSIP: 3128S4AX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     351100 | PA      | $351254.08     | 0.00%             | 2036-01-01      | Floating      | 3.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 4.084 09/01/2035                                           | CUSIP: 3128S4DL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     398392 | PA      | $392440.75     | 0.00%             | 2035-09-01      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 3.072 08/01/2036                                           | CUSIP: 3128S4EP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     634480 | PA      | $635175.67     | 0.00%             | 2036-08-01      | Floating      | 3.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 3.567 02/01/2038                                           | CUSIP: 3128S4Q83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     189676 | PA      | $186945.48     | 0.00%             | 2038-02-01      | Floating      | 3.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 3.438 06/01/2038                                           | CUSIP: 3128S4TM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     428661 | PA      | $422712.48     | 0.00%             | 2038-06-01      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 3.076 04/01/2038                                           | CUSIP: 3128S4TN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     619266 | PA      | $617583.90     | 0.00%             | 2038-04-01      | Floating      | 3.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 2.926 04/01/2038                                           | CUSIP: 3128S4TP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1196399 | PA      | $1208699.28    | 0.00%             | 2038-04-01      | Floating      | 3.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 3.798 10/01/2038                                           | CUSIP: 3128S4ZK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     113717 | PA      | $111518.43     | 0.00%             | 2038-10-01      | Floating      | 3.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 3.388 11/01/2039                                           | CUSIP: 3128S5V43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     383332 | PA      | $384604.11     | 0.00%             | 2039-11-01      | Floating      | 3.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 6.50 09/01/2037                                       | CUSIP: 3128UNCE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5755 | PA      | $5906.83       | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 6.50 09/01/2037                                       | CUSIP: 3128UNCF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     287631 | PA      | $292130.17     | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 6.50 11/01/2037                                       | CUSIP: 3128UNDW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4010 | PA      | $4098.35       | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 6.00 06/01/2038                                       | CUSIP: 3128UNGL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      91442 | PA      | $91325.11      | 0.00%             | 2038-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 6.50 10/01/2038                                       | CUSIP: 3128UNGP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     215805 | PA      | $218947.80     | 0.00%             | 2038-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.50 02/01/2041                                       | CUSIP: 312945ZL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3838674 | PA      | $3809675.78    | 0.01%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.50 03/01/2041                                       | CUSIP: 312946JY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1282313 | PA      | $1272624.29    | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 3.796 10/01/2038                                           | CUSIP: 31300LH24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     839246 | PA      | $840841.10     | 0.00%             | 2038-10-01      | Floating      | 3.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 4.165 08/01/2045                                           | CUSIP: 31300M2J1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6555574 | PA      | $6621347.93    | 0.01%             | 2045-08-01      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 4.454 09/01/2045                                           | CUSIP: 31300M2U6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1695099 | PA      | $1723943.72    | 0.00%             | 2045-09-01      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 3.033 01/01/2044                                           | CUSIP: 31300MGW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1271949 | PA      | $1269108.09    | 0.00%             | 2044-01-01      | Floating      | 3.43%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 3.999 07/01/2043                                           | CUSIP: 31300MH97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     436401 | PA      | $441784.74     | 0.00%             | 2043-07-01      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 2.225 04/01/2044                                           | CUSIP: 31300MKL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     845253 | PA      | $841048.59     | 0.00%             | 2044-04-01      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 2.588 05/01/2044                                           | CUSIP: 31300MLG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21233800 | PA      | $21164014.00   | 0.04%             | 2044-05-01      | Floating      | 2.92%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 2.40 04/01/2044                                            | CUSIP: 31300MMA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1201322 | PA      | $1193659.25    | 0.00%             | 2044-04-01      | Floating      | 2.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 3.306 06/01/2044                                           | CUSIP: 31300MMV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3124307 | PA      | $3130123.59    | 0.01%             | 2044-06-01      | Floating      | 3.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 3.619 08/01/2044                                           | CUSIP: 31300MN25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1302421 | PA      | $1309764.67    | 0.00%             | 2044-08-01      | Floating      | 3.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 3.777 07/01/2044                                           | CUSIP: 31300MNB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     879545 | PA      | $882774.00     | 0.00%             | 2044-07-01      | Floating      | 3.78%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 3.752 11/01/2044                                           | CUSIP: 31300MR39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1102358 | PA      | $1106394.37    | 0.00%             | 2044-11-01      | Floating      | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 3.867 11/01/2044                                           | CUSIP: 31300MR54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1813070 | PA      | $1814020.74    | 0.00%             | 2044-11-01      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 3.86 10/01/2044                                            | CUSIP: 31300MRD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3125078 | PA      | $3131235.83    | 0.01%             | 2044-10-01      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 3.873 09/01/2044                                           | CUSIP: 31300MRE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1234047 | PA      | $1243193.49    | 0.00%             | 2044-09-01      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 3.154 08/01/2043                                           | CUSIP: 31300MS38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4524007 | PA      | $4500873.18    | 0.01%             | 2043-08-01      | Floating      | 3.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 2.84 08/01/2044                                            | CUSIP: 31300MSP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1717031 | PA      | $1715906.93    | 0.00%             | 2044-08-01      | Floating      | 2.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 3.864 11/01/2044                                           | CUSIP: 31300MSZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4493623 | PA      | $4504763.16    | 0.01%             | 2044-11-01      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 2.162 01/01/2045                                           | CUSIP: 31300MTE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2776593 | PA      | $2751560.00    | 0.00%             | 2045-01-01      | Floating      | 3.49%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 1.995 02/01/2045                                           | CUSIP: 31300MUL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2459321 | PA      | $2433681.24    | 0.00%             | 2045-02-01      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 3.454 01/01/2045                                           | CUSIP: 31300MVS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3289841 | PA      | $3297260.66    | 0.01%             | 2045-01-01      | Floating      | 3.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 2.558 05/01/2045                                           | CUSIP: 31300MYJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5019566 | PA      | $4985815.12    | 0.01%             | 2045-05-01      | Floating      | 2.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 3.201 08/01/2045                                           | CUSIP: 31300MZW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     601118 | PA      | $600485.02     | 0.00%             | 2045-08-01      | Floating      | 3.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 3.89 10/01/2043                                            | CUSIP: 31326F4U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     443374 | PA      | $445043.18     | 0.00%             | 2043-10-01      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 2.194 01/01/2044                                           | CUSIP: 31326GMC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1241289 | PA      | $1233644.42    | 0.00%             | 2044-01-01      | Floating      | 2.64%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 1.961 02/01/2044                                           | CUSIP: 31326GQE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2305244 | PA      | $2290856.22    | 0.00%             | 2044-02-01      | Floating      | 3.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 3.225 12/01/2044                                           | CUSIP: 31326H3S1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3559262 | PA      | $3535241.63    | 0.01%             | 2044-12-01      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 3.87 11/01/2044                                            | CUSIP: 31326H4M3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3063933 | PA      | $3049981.40    | 0.01%             | 2044-11-01      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 3.075 12/01/2044                                           | CUSIP: 31326H5K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3610145 | PA      | $3582974.46    | 0.01%             | 2044-12-01      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 3.88 12/01/2044                                            | CUSIP: 31326H6N9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     187337 | PA      | $182763.60     | 0.00%             | 2044-12-01      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 3.495 12/01/2044                                           | CUSIP: 31326H7K4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2499937 | PA      | $2495731.24    | 0.00%             | 2044-12-01      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 2.871 01/01/2045                                           | CUSIP: 31326H7M0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1035581 | PA      | $1027501.10    | 0.00%             | 2045-01-01      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 3.684 07/01/2044                                           | CUSIP: 31326HC44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     484801 | PA      | $486976.07     | 0.00%             | 2044-07-01      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 3.383 06/01/2044                                           | CUSIP: 31326HEL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     936444 | PA      | $940370.12     | 0.00%             | 2044-06-01      | Floating      | 3.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 3.86 08/01/2044                                            | CUSIP: 31326HMR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1693381 | PA      | $1702446.42    | 0.00%             | 2044-08-01      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 3.87 09/01/2044                                            | CUSIP: 31326HQE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1570937 | PA      | $1576109.14    | 0.00%             | 2044-09-01      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 3.87 09/01/2044                                            | CUSIP: 31326HTD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1678400 | PA      | $1685077.43    | 0.00%             | 2044-09-01      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 3.87 10/01/2044                                            | CUSIP: 31326HUB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1193853 | PA      | $1196067.63    | 0.00%             | 2044-10-01      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 3.86 11/01/2044                                            | CUSIP: 31326HUK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2216725 | PA      | $2203760.18    | 0.00%             | 2044-11-01      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 3.88 10/01/2044                                            | CUSIP: 31326HUT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2672540 | PA      | $2683031.81    | 0.00%             | 2044-10-01      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 3.88 11/01/2044                                            | CUSIP: 31326HWG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2982214 | PA      | $2989809.54    | 0.01%             | 2044-11-01      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 3.88 10/01/2044                                            | CUSIP: 31326HWH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3904907 | PA      | $3909630.91    | 0.01%             | 2044-10-01      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 3.875 11/01/2044                                           | CUSIP: 31326HWU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2300050 | PA      | $2303959.84    | 0.00%             | 2044-11-01      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 3.88 11/01/2044                                            | CUSIP: 31326HX74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1692036 | PA      | $1683862.73    | 0.00%             | 2044-11-01      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 3.85 11/01/2044                                            | CUSIP: 31326HXC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4943829 | PA      | $4940446.74    | 0.01%             | 2044-11-01      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 3.88 11/01/2044                                            | CUSIP: 31326HXJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1643782 | PA      | $1645028.03    | 0.00%             | 2044-11-01      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 3.87 10/01/2044                                            | CUSIP: 31326HXT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3428532 | PA      | $3434108.76    | 0.01%             | 2044-10-01      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 3.85 11/01/2044                                            | CUSIP: 31326HYN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2214617 | PA      | $2199078.15    | 0.00%             | 2044-11-01      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 3.87 12/01/2044                                            | CUSIP: 31326HZQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     771514 | PA      | $760212.95     | 0.00%             | 2044-12-01      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 4.163 08/01/2045                                           | CUSIP: 31326J6W5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1426614 | PA      | $1441824.59    | 0.00%             | 2045-08-01      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 2.48 01/01/2045                                            | CUSIP: 31326JCF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1594805 | PA      | $1580891.94    | 0.00%             | 2045-01-01      | Floating      | 3.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 1.981 01/01/2045                                           | CUSIP: 31326JCV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1482313 | PA      | $1466735.91    | 0.00%             | 2045-01-01      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 3.812 06/01/2045                                           | CUSIP: 31326JYL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     985404 | PA      | $1002870.98    | 0.00%             | 2045-06-01      | Floating      | 3.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 2.699 05/01/2046                                           | CUSIP: 31326K4L8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3353045 | PA      | $3391631.07    | 0.01%             | 2046-05-01      | Floating      | 2.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 3.213 06/01/2047                                           | CUSIP: 31326L3Q6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1440392 | PA      | $1404789.73    | 0.00%             | 2047-06-01      | Floating      | 3.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 3.132 08/01/2047                                           | CUSIP: 31326MDE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     705234 | PA      | $689333.01     | 0.00%             | 2047-08-01      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 3.141 10/01/2047                                           | CUSIP: 31326MH97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1120464 | PA      | $1088878.72    | 0.00%             | 2047-10-01      | Floating      | 3.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 3.38 11/01/2047                                            | CUSIP: 31326MJ53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     143650 | PA      | $139580.55     | 0.00%             | 2047-11-01      | Floating      | 3.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                 | Freddie Mac Pool 7.00 11/01/2037                                       | CUSIP: 3132A16F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4559 | PA      | $4804.71       | 0.00%             | 2037-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                 | Freddie Mac Pool 4.50 07/01/2042                                       | CUSIP: 3132AAXY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3746963 | PA      | $3714476.36    | 0.01%             | 2042-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                 | Freddie Mac Pool 3.50 06/01/2052                                       | CUSIP: 3132DNMG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   36330885 | PA      | $33276857.06   | 0.06%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                 | Freddie Mac Pool 3.50 07/01/2052                                       | CUSIP: 3132DNN66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20581371 | PA      | $18851239.54   | 0.03%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                 | Freddie Mac Pool 3.50 07/01/2052                                       | CUSIP: 3132DNP98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   30228525 | PA      | $27628522.49   | 0.05%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                 | Freddie Mac Pool 3.50 07/01/2052                                       | CUSIP: 3132DNQG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  162182565 | PA      | $148605031.66  | 0.26%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                 | Freddie Mac Pool 3.50 05/01/2052                                       | CUSIP: 3132DNRK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   27948040 | PA      | $25613100.45   | 0.04%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                 | Freddie Mac Pool 3.50 07/01/2052                                       | CUSIP: 3132DNRL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   39334724 | PA      | $35915057.93   | 0.06%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                 | Freddie Mac Pool 2.50 11/01/2050                                       | CUSIP: 3132DVLK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  320836825 | PA      | $274482387.95  | 0.47%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                 | Freddie Mac Pool 2.50 02/01/2051                                       | CUSIP: 3132DVLR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  280413132 | PA      | $240818200.49  | 0.41%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.50 04/01/2041                                       | CUSIP: 3132GDEU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4372456 | PA      | $4326852.45    | 0.01%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.50 04/01/2041                                       | CUSIP: 3132GDF80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1582098 | PA      | $1570145.33    | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.50 04/01/2041                                       | CUSIP: 3132GDMJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3778299 | PA      | $3728037.46    | 0.01%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.50 07/01/2041                                       | CUSIP: 3132GFE78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2969668 | PA      | $2947234.46    | 0.01%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.50 08/01/2041                                       | CUSIP: 3132GGA47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     545033 | PA      | $540915.35     | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.00 01/01/2035                                       | CUSIP: 3132J4DJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   79227884 | PA      | $76376459.48   | 0.13%             | 2035-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 3.50 12/01/2035                                       | CUSIP: 3132J4JJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11699126 | PA      | $11196422.73   | 0.02%             | 2035-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.50 04/01/2047                                       | CUSIP: 3132L8QJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13710622 | PA      | $13388365.56   | 0.02%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.50 05/01/2047                                       | CUSIP: 3132L8RZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   28773558 | PA      | $28117282.45   | 0.05%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.00 06/01/2035                                       | CUSIP: 3132LPAR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5798142 | PA      | $5589303.11    | 0.01%             | 2035-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.00 10/01/2035                                       | CUSIP: 3132LPT25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2331334 | PA      | $2247332.68    | 0.00%             | 2035-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.50 04/01/2044                                       | CUSIP: 3132M6D49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2322143 | PA      | $2275063.80    | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.50 06/01/2047                                       | CUSIP: 3132WNJS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   24428959 | PA      | $24025219.33   | 0.04%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.50 07/01/2047                                       | CUSIP: 3132WPRQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4414198 | PA      | $4330448.53    | 0.01%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.50 07/01/2045                                       | CUSIP: 31335A4C9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6001687 | PA      | $5956383.32    | 0.01%             | 2045-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.50 12/01/2045                                       | CUSIP: 31335A5Q7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1944181 | PA      | $1912067.38    | 0.00%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.50 07/01/2045                                       | CUSIP: 31335A6Y9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22867311 | PA      | $22694706.99   | 0.04%             | 2045-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.50 02/01/2045                                       | CUSIP: 31335ABB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3718953 | PA      | $3626482.23    | 0.01%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.50 11/01/2044                                       | CUSIP: 31335ACP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1731537 | PA      | $1702935.33    | 0.00%             | 2044-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.50 10/01/2044                                       | CUSIP: 31335AE20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13650451 | PA      | $13402572.48   | 0.02%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.50 09/01/2044                                       | CUSIP: 31335AGF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12441887 | PA      | $12236344.33   | 0.02%             | 2044-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.50 05/01/2042                                       | CUSIP: 31335ALX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7539790 | PA      | $7482880.47    | 0.01%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.50 12/01/2045                                       | CUSIP: 31335AM96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9366343 | PA      | $9211630.31    | 0.02%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.50 11/01/2045                                       | CUSIP: 31335AQ92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3841287 | PA      | $3778565.69    | 0.01%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.50 07/01/2042                                       | CUSIP: 31335BAP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17345249 | PA      | $17214327.00   | 0.03%             | 2042-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.50 04/01/2046                                       | CUSIP: 31335BAV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15440647 | PA      | $15185619.47   | 0.03%             | 2046-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.50 09/01/2047                                       | CUSIP: 31335BJ64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   27424515 | PA      | $26971361.28   | 0.05%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.50 10/01/2047                                       | CUSIP: 31335BJN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19813505 | PA      | $19486129.06   | 0.03%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.00 11/01/2047                                       | CUSIP: 31335BK96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10316728 | PA      | $9896813.07    | 0.02%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.00 11/01/2045                                       | CUSIP: 31335BLJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3925110 | PA      | $3722591.99    | 0.01%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.00 09/01/2047                                       | CUSIP: 31335BLK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6494597 | PA      | $6207630.70    | 0.01%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.00 12/01/2046                                       | CUSIP: 31335BNE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19959851 | PA      | $19137859.24   | 0.03%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold                                 | Freddie Mac Gold 4.00 01/01/2046                                       | CUSIP: 31335BNF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21447183 | PA      | $20566352.33   | 0.04%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                 | Freddie Mac Pool 2.50 06/01/2050                                       | CUSIP: 3133A6K91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18783653 | PA      | $16063896.52   | 0.03%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                 | Freddie Mac Pool 2.50 06/01/2050                                       | CUSIP: 3133A6MB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   29738925 | PA      | $25441085.83   | 0.04%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                 | Freddie Mac Pool 3.50 04/01/2052                                       | CUSIP: 3133B9Z49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  110508930 | PA      | $100730713.52  | 0.17%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                 | Freddie Mac Pool 3.50 08/01/2052                                       | CUSIP: 3133BJAS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19102287 | PA      | $17409530.20   | 0.03%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                 | Freddie Mac Pool 2.50 05/01/2050                                       | CUSIP: 3133KH4G8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   56501993 | PA      | $48369356.99   | 0.08%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                 | Freddie Mac Pool 2.00 06/01/2050                                       | CUSIP: 3133KH6P6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   37349991 | PA      | $30654534.47   | 0.05%             | 2050-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                 | Freddie Mac Pool 2.00 09/01/2050                                       | CUSIP: 3133KJ2N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  118947918 | PA      | $97734934.02   | 0.17%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                 | Freddie Mac Pool 2.00 09/01/2050                                       | CUSIP: 3133KJ3C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  233917773 | PA      | $191983691.95  | 0.33%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                 | Freddie Mac Pool 2.50 06/01/2050                                       | CUSIP: 3133KJE81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  196489441 | PA      | $168321239.09  | 0.29%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                 | Freddie Mac Pool 2.50 06/01/2050                                       | CUSIP: 3133KJF98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   68787400 | PA      | $58966088.76   | 0.10%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                 | Freddie Mac Pool 2.00 07/01/2050                                       | CUSIP: 3133KJJA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  140751054 | PA      | $115480898.46  | 0.20%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                 | Freddie Mac Pool 2.50 07/01/2050                                       | CUSIP: 3133KJJN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  131817985 | PA      | $112997329.24  | 0.19%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                 | Freddie Mac Pool 2.50 07/01/2050                                       | CUSIP: 3133KJJV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   51208775 | PA      | $43867626.40   | 0.08%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                 | Freddie Mac Pool 2.50 07/01/2050                                       | CUSIP: 3133KJK84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   76591107 | PA      | $65501231.14   | 0.11%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                 | Freddie Mac Pool 2.00 07/01/2050                                       | CUSIP: 3133KJL75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   25670337 | PA      | $21068646.67   | 0.04%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                 | Freddie Mac Pool 2.00 07/01/2050                                       | CUSIP: 3133KJL91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17444282 | PA      | $14317290.36   | 0.02%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                 | Freddie Mac Pool 2.50 07/01/2050                                       | CUSIP: 3133KJND0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   27252846 | PA      | $23306982.42   | 0.04%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                 | Freddie Mac Pool 2.50 07/01/2050                                       | CUSIP: 3133KJNF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   30310006 | PA      | $25982379.22   | 0.04%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                 | Freddie Mac Pool 2.50 08/01/2050                                       | CUSIP: 3133KJRW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  167761379 | PA      | $143470919.11  | 0.25%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                 | Freddie Mac Pool 2.50 07/01/2050                                       | CUSIP: 3133KJRX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   51782611 | PA      | $44389117.47   | 0.08%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                 | Freddie Mac Pool 2.00 08/01/2050                                       | CUSIP: 3133KJSM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   89745099 | PA      | $73656681.96   | 0.13%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                 | Freddie Mac Pool 2.00 08/01/2050                                       | CUSIP: 3133KJSN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   92801745 | PA      | $76223000.15   | 0.13%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                 | Freddie Mac Pool 2.00 09/01/2050                                       | CUSIP: 3133KJWP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  194363356 | PA      | $159520128.92  | 0.27%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                 | Freddie Mac Pool 2.00 09/01/2050                                       | CUSIP: 3133KJZT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  126555337 | PA      | $103867798.26  | 0.18%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                 | Freddie Mac Pool 2.00 10/01/2050                                       | CUSIP: 3133KKC31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  106474913 | PA      | $87486094.66   | 0.15%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                 | Freddie Mac Pool 2.00 10/01/2050                                       | CUSIP: 3133KKCJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  513656723 | PA      | $423961739.57  | 0.73%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                 | Freddie Mac Pool 2.00 10/01/2050                                       | CUSIP: 3133KKD97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   25810673 | PA      | $21183590.80   | 0.04%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                 | Freddie Mac Pool 2.00 10/01/2050                                       | CUSIP: 3133KKEA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  141765566 | PA      | $116483267.55  | 0.20%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                 | Freddie Mac Pool 2.00 12/01/2050                                       | CUSIP: 3133KKQQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  612629929 | PA      | $503370689.56  | 0.87%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                 | Freddie Mac Pool 2.00 12/01/2050                                       | CUSIP: 3133KKSG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  724604284 | PA      | $596722286.74  | 1.03%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                 | Freddie Mac Pool 2.00 12/01/2050                                       | CUSIP: 3133KKVZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  124857717 | PA      | $102590017.66  | 0.18%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                 | Freddie Mac Pool 2.50 02/01/2051                                       | CUSIP: 3133KLA64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10794907 | PA      | $9244423.02    | 0.02%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                 | Freddie Mac Pool 2.50 11/01/2051                                       | CUSIP: 3133KNBE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   52957224 | PA      | $45144391.66   | 0.08%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                 | Freddie Mac Pool 3.00 01/01/2052                                       | CUSIP: 3133KNK28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  233738888 | PA      | $206429110.15  | 0.36%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                 | Freddie Mac Pool 3.50 05/01/2052                                       | CUSIP: 3133KPCN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   50291528 | PA      | $45984926.49   | 0.08%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                 | Freddie Mac Pool 3.50 05/01/2052                                       | CUSIP: 3133KPFU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14741097 | PA      | $13454116.09   | 0.02%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                 | Freddie Mac Pool 3.50 06/01/2052                                       | CUSIP: 3133KPK23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   77493324 | PA      | $70847231.53   | 0.12%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                 | Freddie Mac Pool 3.50 06/01/2052                                       | CUSIP: 3133KPK31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  123077954 | PA      | $112331591.58  | 0.19%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                 | Freddie Mac Pool 3.50 06/01/2052                                       | CUSIP: 3133KPLN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   62246087 | PA      | $57034941.63   | 0.10%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                 | Freddie Mac Pool 3.50 08/01/2052                                       | CUSIP: 3133KPP69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14781782 | PA      | $13506640.98   | 0.02%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                 | Freddie Mac Pool 3.50 08/01/2052                                       | CUSIP: 3133KPP77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18451730 | PA      | $16837176.52   | 0.03%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                 | Freddie Mac Pool 3.50 08/01/2052                                       | CUSIP: 3133KPP85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   26323380 | PA      | $23987465.65   | 0.04%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 3.657 05/01/2046                                           | CUSIP: 31347AJ70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   29269703 | PA      | $29833085.74   | 0.05%             | 2046-05-01      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 2.844 04/01/2045                                           | CUSIP: 31347AKG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1570917 | PA      | $1566675.00    | 0.00%             | 2045-04-01      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 2.605 07/01/2046                                           | CUSIP: 31347AMA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4452023 | PA      | $4504317.77    | 0.01%             | 2046-07-01      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 2.583 09/01/2046                                           | CUSIP: 31347ANA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7780754 | PA      | $7785870.74    | 0.01%             | 2046-09-01      | Floating      | 2.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 2.392 02/01/2034                                           | CUSIP: 31349SMX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1073420 | PA      | $1081205.68    | 0.00%             | 2034-02-01      | Floating      | 2.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 3.125 04/01/2035                                           | CUSIP: 31349TY62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      80932 | PA      | $79789.39      | 0.00%             | 2035-04-01      | Floating      | 3.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 4.375 11/01/2034                                           | CUSIP: 31349UFB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     569465 | PA      | $568547.58     | 0.00%             | 2034-11-01      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 2.475 02/01/2035                                           | CUSIP: 31349ULK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     278600 | PA      | $280784.56     | 0.00%             | 2035-02-01      | Floating      | 2.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 7.50 11/01/2040                                             | CUSIP: 31358S7A3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      46589 | PA      | $47296.19      | 0.00%             | 2040-11-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 7.50 02/01/2041                                             | CUSIP: 31359S6X3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      57137 | PA      | $60889.34      | 0.00%             | 2041-02-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 7.50 07/01/2041                                             | CUSIP: 31359SR69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     854284 | PA      | $851374.23     | 0.00%             | 2041-07-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 6.972379 06/01/2041                                         | CUSIP: 31359SX96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21995 | PA      | $22566.56      | 0.00%             | 2041-06-19      | Variable      | 6.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 7.50 06/01/2041                                             | CUSIP: 31359SY20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     120453 | PA      | $123547.69     | 0.00%             | 2041-06-19      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 6.50 10/01/2028                                             | CUSIP: 31359UZG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     441689 | PA      | $450452.12     | 0.00%             | 2028-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 6.50 09/01/2028                                             | CUSIP: 31359UZK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      75511 | PA      | $76906.22      | 0.00%             | 2028-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 7.00 11/01/2042                                             | CUSIP: 3136A9XM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     388918 | PA      | $413471.02     | 0.00%             | 2042-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.00 02/01/2042                                             | CUSIP: 3136AGF56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9618371 | PA      | $9101833.09    | 0.02%             | 2042-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.93871 09/25/2043                                          | CUSIP: 3136AGFD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10868866 | PA      | $10621889.67   | 0.02%             | 2043-09-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.348 06/01/2035                                            | CUSIP: 31371MDD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     180068 | PA      | $176630.99     | 0.00%             | 2035-06-01      | Floating      | 3.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.852 07/01/2035                                            | CUSIP: 31371MET0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     505159 | PA      | $514932.49     | 0.00%             | 2035-07-01      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 7.00 11/01/2037                                             | CUSIP: 31371NNA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1136845 | PA      | $1214750.60    | 0.00%             | 2037-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 6.50 02/01/2038                                             | CUSIP: 31374CL53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     748709 | PA      | $789321.54     | 0.00%             | 2038-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 06/01/2036                                             | CUSIP: 31374CNP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4783304 | PA      | $4731556.42    | 0.01%             | 2036-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 6.00 11/01/2028                                             | CUSIP: 31374TE39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     469754 | PA      | $485670.23     | 0.00%             | 2028-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 6.00 12/01/2028                                             | CUSIP: 31374TGW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     438808 | PA      | $450097.97     | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 4.50 12/01/2043                                            | CUSIP: 3137B6GK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22055360 | PA      | $21554008.48   | 0.04%             | 2043-12-15      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 4.50 12/01/2043                                            | CUSIP: 3137B6GQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13957995 | PA      | $13717945.25   | 0.02%             | 2043-12-15      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 4.50 12/01/2043                                            | CUSIP: 3137B6MM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   37719357 | PA      | $36795100.86   | 0.06%             | 2043-12-15      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 4.50 03/01/2044                                            | CUSIP: 3137B8LR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7421186 | PA      | $7257040.62    | 0.01%             | 2044-03-15      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only            | Freddie Mac 0.955589 01/01/2031                                        | CUSIP: 3137BPVP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  121915677 | PA      | $6612730.72    | 0.01%             | 2031-01-25      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only            | Freddie Mac 1.345697 03/01/2026                                        | CUSIP: 3137BPW39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  109963999 | PA      | $3821292.95    | 0.01%             | 2026-03-25      | Variable      | 1.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only            | Freddie Mac 1.240518 05/01/2026                                        | CUSIP: 3137BQYV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   36411854 | PA      | $1216039.41    | 0.00%             | 2026-05-25      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only            | Freddie Mac 0.292646 12/01/2026                                        | CUSIP: 3137BUX86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  301655539 | PA      | $3136976.28    | 0.01%             | 2026-12-25      | Variable      | 0.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only            | Freddie Mac 0.602331 03/01/2027                                        | CUSIP: 3137BXR20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  380238127 | PA      | $8073976.39    | 0.01%             | 2027-03-25      | Variable      | 0.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only            | Freddie Mac 0.667505 04/01/2027                                        | CUSIP: 3137F1G69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  459094362 | PA      | $10850465.69   | 0.02%             | 2027-04-25      | Variable      | 0.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only            | Freddie Mac 0.749167 06/01/2027                                        | CUSIP: 3137F2LL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  369547910 | PA      | $9915598.67    | 0.02%             | 2027-06-25      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only            | Freddie Mac 0.574265 07/01/2027                                        | CUSIP: 3137FAWU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  464871142 | PA      | $10057812.57   | 0.02%             | 2027-07-25      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only            | Freddie Mac 0.349169 09/01/2027                                        | CUSIP: 3137FBU95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   92847117 | PA      | $1346255.34    | 0.00%             | 2027-09-25      | Variable      | 0.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only            | Freddie Mac 0.32721 11/01/2027                                         | CUSIP: 3137FCJM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  195317286 | PA      | $2673932.71    | 0.00%             | 2027-11-25      | Variable      | 0.33%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only            | Freddie Mac 0.287195 11/01/2027                                        | CUSIP: 3137FCLF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  252027535 | PA      | $2942975.93    | 0.01%             | 2027-11-25      | Variable      | 0.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only            | Freddie Mac 0.297671 11/01/2032                                        | CUSIP: 3137FDEU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  363412568 | PA      | $7507703.91    | 0.01%             | 2032-11-25      | Variable      | 0.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only            | Freddie Mac 0.540884 01/01/2029                                        | CUSIP: 3137FL6R0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  514531996 | PA      | $14322821.36   | 0.02%             | 2029-01-25      | Variable      | 0.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only            | Freddie Mac 0.560025 03/01/2029                                        | CUSIP: 3137FLNB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  256395470 | PA      | $7449647.31    | 0.01%             | 2029-03-25      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only            | Freddie Mac 0.776246 03/01/2034                                        | CUSIP: 3137FLYL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  174363178 | PA      | $10007818.71   | 0.02%             | 2034-03-25      | Variable      | 0.78%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only            | Freddie Mac 0.712314 04/01/2029                                        | CUSIP: 3137FLYX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  483455095 | PA      | $17704754.06   | 0.03%             | 2029-04-25      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only            | Freddie Mac 0.95237 05/01/2029                                         | CUSIP: 3137FMCT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  230910810 | PA      | $11005209.22   | 0.02%             | 2029-05-25      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only            | Freddie Mac 0.879824 06/01/2029                                        | CUSIP: 3137FMU26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  320110215 | PA      | $14420677.10   | 0.02%             | 2029-06-25      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only            | Freddie Mac 0.949951 06/01/2029                                        | CUSIP: 3137FNAG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  223024763 | PA      | $10809051.24   | 0.02%             | 2029-06-25      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only            | Freddie Mac 1.126806 07/01/2029                                        | CUSIP: 3137FNBA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  542316783 | PA      | $31511316.66   | 0.05%             | 2029-07-25      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only            | Freddie Mac 1.091397 07/01/2029                                        | CUSIP: 3137FNX70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  243312277 | PA      | $13852716.82   | 0.02%             | 2029-07-25      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only            | Freddie Mac 1.143676 08/01/2029                                        | CUSIP: 3137FPHM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  469450593 | PA      | $27959162.85   | 0.05%             | 2029-08-25      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only            | Freddie Mac 0.883651 09/01/2029                                        | CUSIP: 3137FPJJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  511516611 | PA      | $23920204.74   | 0.04%             | 2029-09-25      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only            | Freddie Mac 0.835412 10/01/2029                                        | CUSIP: 3137FQ4B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  196584964 | PA      | $8823991.31    | 0.02%             | 2029-10-25      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Interest Only            | Freddie Mac 0.823939 10/01/2029                                        | CUSIP: 3137FQKE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  548438214 | PA      | $24388827.98   | 0.04%             | 2029-10-25      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 7.00 04/01/2032                                             | CUSIP: 31385JG85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     133356 | PA      | $137353.19     | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 7.00 07/01/2032                                             | CUSIP: 31385JK49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10323 | PA      | $10647.41      | 0.00%             | 2032-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 6.00 03/01/2033                                             | CUSIP: 31385W2S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2227771 | PA      | $2303886.40    | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 5.50 05/01/2033                                             | CUSIP: 31385XAZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11580498 | PA      | $11898439.96   | 0.02%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 5.50 11/01/2033                                             | CUSIP: 31385XQ91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     550184 | PA      | $561444.99     | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.00 01/01/2041                                             | CUSIP: 3138A3TZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4281254 | PA      | $4113432.16    | 0.01%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 03/01/2041                                             | CUSIP: 3138A8RL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34414979 | PA      | $34017762.65   | 0.06%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.361 01/01/2036                                            | CUSIP: 3138AFT67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2973988 | PA      | $3015175.11    | 0.01%             | 2036-01-01      | Floating      | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.00 08/01/2041                                             | CUSIP: 3138ANCY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4935744 | PA      | $4740071.32    | 0.01%             | 2041-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 11/01/2041                                             | CUSIP: 3138AXAT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1394733 | PA      | $1382631.62    | 0.00%             | 2041-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 12/01/2041                                             | CUSIP: 3138E0QY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     302336 | PA      | $298843.33     | 0.00%             | 2041-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.023 04/01/2042                                            | CUSIP: 3138EEZP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1402213 | PA      | $1414841.64    | 0.00%             | 2042-04-01      | Floating      | 3.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.59 11/01/2037                                             | CUSIP: 3138EGES9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     220243 | PA      | $215141.36     | 0.00%             | 2037-11-01      | Floating      | 3.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.202 10/01/2038                                            | CUSIP: 3138EHER9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1182091 | PA      | $1196901.89    | 0.00%             | 2038-10-01      | Floating      | 3.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.803 06/01/2039                                            | CUSIP: 3138EJBP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     105585 | PA      | $105589.14     | 0.00%             | 2039-06-01      | Floating      | 3.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 6.00 02/01/2039                                             | CUSIP: 3138EJBT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     960940 | PA      | $1000878.83    | 0.00%             | 2039-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 5.50 07/01/2025                                             | CUSIP: 3138EJNK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     200112 | PA      | $199416.72     | 0.00%             | 2025-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 5.00 09/01/2025                                             | CUSIP: 3138EJWC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     971657 | PA      | $977179.03     | 0.00%             | 2025-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 7.00 11/01/2038                                             | CUSIP: 3138EKA39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     365948 | PA      | $384386.95     | 0.00%             | 2038-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 6.00 09/01/2038                                             | CUSIP: 3138EKES0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2881679 | PA      | $3008396.03    | 0.01%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.994 08/01/2037                                            | CUSIP: 3138EKL86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65692 | PA      | $65262.28      | 0.00%             | 2037-08-01      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.795 02/01/2043                                            | CUSIP: 3138EKPR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2183398 | PA      | $2188896.09    | 0.00%             | 2043-02-01      | Floating      | 2.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 02/01/2043                                             | CUSIP: 3138ELFB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4207616 | PA      | $4171935.64    | 0.01%             | 2043-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.72 09/01/2043                                             | CUSIP: 3138ELRU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     185972 | PA      | $184065.44     | 0.00%             | 2043-09-01      | Floating      | 3.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.001 02/01/2043                                            | CUSIP: 3138ELRV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     654688 | PA      | $662221.40     | 0.00%             | 2043-02-01      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.937 11/01/2042                                            | CUSIP: 3138ELSA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1109544 | PA      | $1116880.11    | 0.00%             | 2042-11-01      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 01/01/2052                                             | CUSIP: 3138ELTG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2620524 | PA      | $2541818.98    | 0.00%             | 2052-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 08/01/2031                                             | CUSIP: 3138ELTS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36801329 | PA      | $36517532.36   | 0.06%             | 2031-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 03/01/2031                                             | CUSIP: 3138ELX32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     853351 | PA      | $846776.96     | 0.00%             | 2031-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.772 11/01/2043                                            | CUSIP: 3138ELZ22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2704670 | PA      | $2714755.28    | 0.00%             | 2043-11-01      | Floating      | 3.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.521 05/01/2044                                            | CUSIP: 3138EM2L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6048587 | PA      | $6036026.83    | 0.01%             | 2044-05-01      | Floating      | 2.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.606 05/01/2044                                            | CUSIP: 3138EM2P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1451643 | PA      | $1454634.76    | 0.00%             | 2044-05-01      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 5.00 07/01/2037                                             | CUSIP: 3138EM6D8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3270532 | PA      | $3339834.57    | 0.01%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 01/01/2032                                             | CUSIP: 3138EMBT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1851967 | PA      | $1833137.95    | 0.00%             | 2032-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 01/01/2034                                             | CUSIP: 3138EMCP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4109468 | PA      | $4077752.51    | 0.01%             | 2034-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.828 11/01/2043                                            | CUSIP: 3138EMD24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4273885 | PA      | $4308423.26    | 0.01%             | 2043-11-01      | Floating      | 2.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.083 04/01/2044                                            | CUSIP: 3138EMUN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3805713 | PA      | $3800254.45    | 0.01%             | 2044-04-01      | Floating      | 3.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.331 04/01/2044                                            | CUSIP: 3138EMWG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1486152 | PA      | $1482972.78    | 0.00%             | 2044-04-01      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.359 04/01/2044                                            | CUSIP: 3138EN3S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4561171 | PA      | $4592166.92    | 0.01%             | 2044-04-01      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 10/01/2044                                             | CUSIP: 3138EN7E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4051451 | PA      | $3979979.46    | 0.01%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 02/01/2041                                             | CUSIP: 3138ENBJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5373885 | PA      | $5320645.70    | 0.01%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 09/01/2041                                             | CUSIP: 3138ENBK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16472602 | PA      | $16166951.43   | 0.03%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.735 07/01/2044                                            | CUSIP: 3138ENCK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     434934 | PA      | $437064.59     | 0.00%             | 2044-07-01      | Floating      | 3.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.562 07/01/2044                                            | CUSIP: 3138END71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1996046 | PA      | $2017548.84    | 0.00%             | 2044-07-01      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.494 07/01/2044                                            | CUSIP: 3138ENDA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2568013 | PA      | $2591954.40    | 0.00%             | 2044-07-01      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.462 05/01/2038                                            | CUSIP: 3138ENEW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32770132 | PA      | $33205766.21   | 0.06%             | 2038-05-01      | Floating      | 3.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.764 08/01/2044                                            | CUSIP: 3138ENFU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1991266 | PA      | $2013932.20    | 0.00%             | 2044-08-01      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.785 08/01/2044                                            | CUSIP: 3138ENH36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4880508 | PA      | $4928307.70    | 0.01%             | 2044-08-01      | Floating      | 3.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.903 09/01/2044                                            | CUSIP: 3138ENJM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2092681 | PA      | $2119205.46    | 0.00%             | 2044-09-01      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 08/01/2044                                             | CUSIP: 3138ENM71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2656947 | PA      | $2610085.62    | 0.00%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.819 10/01/2044                                            | CUSIP: 3138ENNH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2484421 | PA      | $2500030.19    | 0.00%             | 2044-10-01      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.815 10/01/2044                                            | CUSIP: 3138ENNJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     868687 | PA      | $872890.47     | 0.00%             | 2044-10-01      | Floating      | 3.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.00 09/01/2034                                             | CUSIP: 3138ENQJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28823321 | PA      | $27754591.80   | 0.05%             | 2034-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.513 09/01/2044                                            | CUSIP: 3138ENQL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4641820 | PA      | $4678126.67    | 0.01%             | 2044-09-01      | Floating      | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 01/01/2031                                             | CUSIP: 3138ENQP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3060020 | PA      | $3036433.12    | 0.01%             | 2031-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 07/01/2030                                             | CUSIP: 3138ENQQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31277928 | PA      | $31037159.16   | 0.05%             | 2030-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 06/01/2041                                             | CUSIP: 3138ENQR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   59288863 | PA      | $58489528.37   | 0.10%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.827 10/01/2044                                            | CUSIP: 3138ENT90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1971306 | PA      | $1981283.32    | 0.00%             | 2044-10-01      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.00 03/01/2032                                             | CUSIP: 3138ENTQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17635720 | PA      | $17070702.50   | 0.03%             | 2032-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.825 10/01/2044                                            | CUSIP: 3138ENTW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4874121 | PA      | $4911053.62    | 0.01%             | 2044-10-01      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.805 10/01/2044                                            | CUSIP: 3138ENUW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1603958 | PA      | $1614944.23    | 0.00%             | 2044-10-01      | Floating      | 3.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.822 11/01/2044                                            | CUSIP: 3138ENVC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1921351 | PA      | $1931179.79    | 0.00%             | 2044-11-01      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.818 11/01/2044                                            | CUSIP: 3138ENVT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3288069 | PA      | $3300269.62    | 0.01%             | 2044-11-01      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.00 08/01/2033                                             | CUSIP: 3138ENWB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4630362 | PA      | $4481704.87    | 0.01%             | 2033-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.812 11/01/2044                                            | CUSIP: 3138ENX95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3403584 | PA      | $3415076.06    | 0.01%             | 2044-11-01      | Floating      | 3.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 03/01/2029                                             | CUSIP: 3138ENY60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2419399 | PA      | $2414777.09    | 0.00%             | 2029-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.648 12/01/2044                                            | CUSIP: 3138ENYH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4011431 | PA      | $4018081.99    | 0.01%             | 2044-12-01      | Floating      | 3.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.00 08/01/2032                                             | CUSIP: 3138ENZC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17846008 | PA      | $17273931.00   | 0.03%             | 2032-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.00 07/01/2034                                             | CUSIP: 3138ENZN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13763308 | PA      | $13320731.05   | 0.02%             | 2034-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.116 08/01/2045                                            | CUSIP: 3138EP4H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1847439 | PA      | $1875217.18    | 0.00%             | 2045-08-01      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.553 08/01/2045                                            | CUSIP: 3138EP4M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1504695 | PA      | $1518905.16    | 0.00%             | 2045-08-01      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 02/01/2045                                             | CUSIP: 3138EP5H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31369831 | PA      | $30799128.88   | 0.05%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.612 02/01/2045                                            | CUSIP: 3138EPBV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2314777 | PA      | $2306741.20    | 0.00%             | 2045-02-01      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.678 01/01/2045                                            | CUSIP: 3138EPCP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1525332 | PA      | $1528219.96    | 0.00%             | 2045-01-01      | Floating      | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.756 10/01/2043                                            | CUSIP: 3138EPMN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5901265 | PA      | $5953057.52    | 0.01%             | 2043-10-01      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.00 12/01/2034                                             | CUSIP: 3138EPQB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3106932 | PA      | $2991669.25    | 0.01%             | 2034-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 12/01/2044                                             | CUSIP: 3138EPUL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9845544 | PA      | $9671875.55    | 0.02%             | 2044-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.00 06/01/2035                                             | CUSIP: 3138EPV27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26121162 | PA      | $25152373.94   | 0.04%             | 2035-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 02/01/2045                                             | CUSIP: 3138EPZP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11321917 | PA      | $11122220.21   | 0.02%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.00 07/01/2035                                             | CUSIP: 3138EPZU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4262279 | PA      | $4104167.42    | 0.01%             | 2035-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.50 12/01/2029                                             | CUSIP: 3138EQAF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10371604 | PA      | $10165221.78   | 0.02%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 09/01/2045                                             | CUSIP: 3138EQF23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36042573 | PA      | $35412905.45   | 0.06%             | 2045-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 02/01/2046                                             | CUSIP: 3138ER2P4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2567761 | PA      | $2536645.37    | 0.00%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.00 03/01/2037                                             | CUSIP: 3138ER5A4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   41001363 | PA      | $39352299.93   | 0.07%             | 2037-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.01844 03/01/2045                                          | CUSIP: 3138ERDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24861406 | PA      | $24965885.49   | 0.04%             | 2045-03-01      | Floating      | 3.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 02/01/2046                                             | CUSIP: 3138EREA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24173931 | PA      | $23882031.44   | 0.04%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.641 07/01/2046                                            | CUSIP: 3138ERGG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     515463 | PA      | $524641.40     | 0.00%             | 2046-07-01      | Floating      | 2.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 09/01/2042                                             | CUSIP: 3138ERNZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16062096 | PA      | $15764085.08   | 0.03%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 07/01/2044                                             | CUSIP: 3138ERUD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20388341 | PA      | $20211576.40   | 0.03%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 06/01/2045                                             | CUSIP: 3138ET6A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        139 | PA      | $136.72        | 0.00%             | 2045-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 5.162 10/01/2045                                            | CUSIP: 3138ETBB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4028298 | PA      | $4127708.47    | 0.01%             | 2045-10-01      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.783 04/01/2046                                            | CUSIP: 3138ETF76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7513995 | PA      | $7511335.02    | 0.01%             | 2046-04-01      | Floating      | 2.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 5.269 11/01/2045                                            | CUSIP: 3138ETFJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3538606 | PA      | $3630611.19    | 0.01%             | 2045-11-01      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.801 04/01/2046                                            | CUSIP: 3138ETGK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4057527 | PA      | $4156476.82    | 0.01%             | 2046-04-01      | Floating      | 2.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.905 04/01/2046                                            | CUSIP: 3138ETHF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1239755 | PA      | $1273646.03    | 0.00%             | 2046-04-01      | Floating      | 2.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 02/01/2045                                             | CUSIP: 3138ETHQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10385577 | PA      | $10202388.72   | 0.02%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 11/01/2044                                             | CUSIP: 3138ETLV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4121971 | PA      | $3967718.73    | 0.01%             | 2044-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.714 05/01/2046                                            | CUSIP: 3138ETM86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1714902 | PA      | $1713438.26    | 0.00%             | 2046-05-01      | Floating      | 2.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.213 04/01/2045                                            | CUSIP: 3138ETNC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6739768 | PA      | $6733787.29    | 0.01%             | 2045-04-01      | Floating      | 2.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.00 06/01/2036                                             | CUSIP: 3138ETSG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3419400 | PA      | $3292506.01    | 0.01%             | 2036-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 10/01/2042                                             | CUSIP: 3138ETT97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8065192 | PA      | $7995261.01    | 0.01%             | 2042-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.806 06/01/2046                                            | CUSIP: 3138ETTH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     645541 | PA      | $660459.43     | 0.00%             | 2046-06-01      | Floating      | 2.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.45 06/01/2046                                             | CUSIP: 3138ETXP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     662771 | PA      | $661132.92     | 0.00%             | 2046-06-01      | Floating      | 2.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.00 10/01/2034                                             | CUSIP: 3138ETY42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28424988 | PA      | $27513901.61   | 0.05%             | 2034-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.05 02/01/2044                                             | CUSIP: 3138LSRS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91264 | PA      | $89331.42      | 0.00%             | 2044-02-01      | Floating      | 2.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.92 09/01/2042                                             | CUSIP: 3138M9Z53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     813336 | PA      | $812608.03     | 0.00%             | 2042-09-01      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.551 12/01/2042                                            | CUSIP: 3138MFRT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2920061 | PA      | $2986870.44    | 0.01%             | 2042-12-01      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.00 01/01/2034                                             | CUSIP: 3138WAYM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2472684 | PA      | $2393214.86    | 0.00%             | 2034-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.50 03/01/2029                                             | CUSIP: 3138WBB20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4490540 | PA      | $4330620.61    | 0.01%             | 2029-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 04/01/2044                                             | CUSIP: 3138WBQ57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7991753 | PA      | $7850772.52    | 0.01%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.00 12/01/2034                                             | CUSIP: 3138WDK26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1093785 | PA      | $1053221.46    | 0.00%             | 2034-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 12/01/2044                                             | CUSIP: 3138WDRV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8270895 | PA      | $8124993.78    | 0.01%             | 2044-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.00 09/01/2045                                             | CUSIP: 3138WFP34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19731314 | PA      | $18899497.54   | 0.03%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.00 09/01/2045                                             | CUSIP: 3138WFP42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19822760 | PA      | $18987074.00   | 0.03%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.00 12/01/2035                                             | CUSIP: 3138WGCU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3236972 | PA      | $3116833.73    | 0.01%             | 2035-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.50 01/01/2036                                             | CUSIP: 3138WGGU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2302141 | PA      | $2200746.67    | 0.00%             | 2036-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.50 04/01/2036                                             | CUSIP: 3138WGZF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3214970 | PA      | $3073415.83    | 0.01%             | 2036-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 03/01/2047                                             | CUSIP: 3138WJ6V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34539793 | PA      | $33930325.75   | 0.06%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 01/01/2047                                             | CUSIP: 3138WJU22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9858456 | PA      | $9684508.38    | 0.02%             | 2047-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 02/01/2047                                             | CUSIP: 3138WJY77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25412140 | PA      | $24963765.61   | 0.04%             | 2047-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 07/01/2047                                             | CUSIP: 3138WLC27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1024161 | PA      | $1004273.66    | 0.00%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.81 09/01/2043                                             | CUSIP: 3138WNH69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1245153 | PA      | $1252158.14    | 0.00%             | 2043-09-01      | Floating      | 3.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.296 09/01/2043                                            | CUSIP: 3138WNJA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     454536 | PA      | $459393.81     | 0.00%             | 2043-09-01      | Floating      | 3.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.327 05/01/2043                                            | CUSIP: 3138WTP67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1136270 | PA      | $1153265.98    | 0.00%             | 2043-05-01      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.83 09/01/2044                                             | CUSIP: 3138WUZE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     633217 | PA      | $637754.55     | 0.00%             | 2044-09-01      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.22 06/01/2043                                             | CUSIP: 3138WXXV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     191955 | PA      | $187926.14     | 0.00%             | 2043-06-01      | Floating      | 3.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.50 09/01/2028                                             | CUSIP: 3138X6ND3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7073734 | PA      | $6832735.81    | 0.01%             | 2028-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.753 12/01/2043                                            | CUSIP: 3138X8TB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1394532 | PA      | $1395874.99    | 0.00%             | 2043-12-01      | Floating      | 3.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.227 02/01/2044                                            | CUSIP: 3138XDS27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1534753 | PA      | $1531624.02    | 0.00%             | 2044-02-01      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 1.94 02/01/2044                                             | CUSIP: 3138XEZX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1223757 | PA      | $1222399.16    | 0.00%             | 2044-02-01      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.204 04/01/2044                                            | CUSIP: 3138XQEU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     919539 | PA      | $909819.93     | 0.00%             | 2044-04-01      | Floating      | 2.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.83 07/01/2044                                             | CUSIP: 3138XRP78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1384842 | PA      | $1401072.94    | 0.00%             | 2044-07-01      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.84 07/01/2044                                             | CUSIP: 3138XRQC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     435847 | PA      | $439322.14     | 0.00%             | 2044-07-01      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.84 09/01/2044                                             | CUSIP: 3138XRQV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     406839 | PA      | $404510.04     | 0.00%             | 2044-09-01      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.635 04/01/2044                                            | CUSIP: 3138XTSQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1215626 | PA      | $1218050.46    | 0.00%             | 2044-04-01      | Floating      | 2.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.83 08/01/2044                                             | CUSIP: 3138XVBQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1479900 | PA      | $1496467.30    | 0.00%             | 2044-08-01      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.83 09/01/2044                                             | CUSIP: 3138XXHN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1387068 | PA      | $1397574.24    | 0.00%             | 2044-09-01      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.83 09/01/2044                                             | CUSIP: 3138XXHP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1844473 | PA      | $1860070.45    | 0.00%             | 2044-09-01      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.83 10/01/2044                                             | CUSIP: 3138XYRM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4085634 | PA      | $4107303.24    | 0.01%             | 2044-10-01      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.84 07/01/2044                                             | CUSIP: 3138XYUN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2675462 | PA      | $2709196.83    | 0.00%             | 2044-07-01      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.83 11/01/2044                                             | CUSIP: 3138Y22P7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     219166 | PA      | $216325.14     | 0.00%             | 2044-11-01      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.83 08/01/2044                                             | CUSIP: 3138Y2M34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1165845 | PA      | $1175891.94    | 0.00%             | 2044-08-01      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.83 10/01/2044                                             | CUSIP: 3138Y3LY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     190056 | PA      | $188458.14     | 0.00%             | 2044-10-01      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.015 12/01/2044                                            | CUSIP: 3138Y3YX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     584503 | PA      | $582134.32     | 0.00%             | 2044-12-01      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.861 10/01/2044                                            | CUSIP: 3138Y4ST7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1369970 | PA      | $1378687.63    | 0.00%             | 2044-10-01      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.899 11/01/2044                                            | CUSIP: 3138Y4SY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1037684 | PA      | $1044614.42    | 0.00%             | 2044-11-01      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.876 12/01/2044                                            | CUSIP: 3138Y4TC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     685103 | PA      | $686326.35     | 0.00%             | 2044-12-01      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.00 05/01/2032                                             | CUSIP: 3138Y5D86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2192549 | PA      | $2122227.36    | 0.00%             | 2032-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.83 12/01/2044                                             | CUSIP: 3138Y5V86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     752052 | PA      | $750546.24     | 0.00%             | 2044-12-01      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 1.84 12/01/2044                                             | CUSIP: 3138Y7F56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     807794 | PA      | $792630.57     | 0.00%             | 2044-12-01      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.09 03/01/2045                                             | CUSIP: 3138Y7GG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1258277 | PA      | $1255250.36    | 0.00%             | 2045-03-01      | Floating      | 2.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.734 03/01/2046                                            | CUSIP: 3138Y7JG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     218797 | PA      | $217552.97     | 0.00%             | 2046-03-01      | Floating      | 2.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.946 04/01/2046                                            | CUSIP: 3138Y7JJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     470816 | PA      | $471067.34     | 0.00%             | 2046-04-01      | Floating      | 2.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.657 04/01/2046                                            | CUSIP: 3138Y7JN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1078918 | PA      | $1100635.11    | 0.00%             | 2046-04-01      | Floating      | 2.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.85 10/01/2044                                             | CUSIP: 3138Y7MW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1696234 | PA      | $1708270.94    | 0.00%             | 2044-10-01      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.85 10/01/2044                                             | CUSIP: 3138Y7MY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2220237 | PA      | $2235092.14    | 0.00%             | 2044-10-01      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.85 10/01/2044                                             | CUSIP: 3138Y7P30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2689974 | PA      | $2707620.12    | 0.00%             | 2044-10-01      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.85 11/01/2044                                             | CUSIP: 3138Y7P48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1218288 | PA      | $1223785.85    | 0.00%             | 2044-11-01      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.82 10/01/2044                                             | CUSIP: 3138Y7V82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     855484 | PA      | $856392.87     | 0.00%             | 2044-10-01      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.00 02/01/2045                                             | CUSIP: 3138Y9NZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11565981 | PA      | $11078407.66   | 0.02%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.095 12/01/2044                                            | CUSIP: 3138YDC98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1693888 | PA      | $1698342.80    | 0.00%             | 2044-12-01      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.74 04/01/2045                                             | CUSIP: 3138YDVH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     769241 | PA      | $769494.80     | 0.00%             | 2045-04-01      | Floating      | 2.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.00 10/01/2045                                             | CUSIP: 3138YWJK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4658300 | PA      | $4461904.38    | 0.01%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 5.50 02/01/2033                                             | CUSIP: 31391U3S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2190361 | PA      | $2248785.50    | 0.00%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 7.00 12/01/2041                                             | CUSIP: 3139216A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     859248 | PA      | $878262.88     | 0.00%             | 2041-12-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 6.00 12/01/2031                                             | CUSIP: 31392A4Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     590740 | PA      | $605256.86     | 0.00%             | 2031-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 7.00 03/01/2045                                             | CUSIP: 31392BMM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     221741 | PA      | $227919.35     | 0.00%             | 2045-03-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 7.00 06/01/2042                                             | CUSIP: 31392DF49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1137266 | PA      | $1106120.78    | 0.00%             | 2042-06-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 7.00 06/01/2032                                             | CUSIP: 31392DGS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     969130 | PA      | $997336.26     | 0.00%             | 2032-06-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 7.00 06/01/2042                                             | CUSIP: 31392DP97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     748671 | PA      | $787162.72     | 0.00%             | 2042-06-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 5.50 10/01/2032                                             | CUSIP: 31392EH60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      86381 | PA      | $87349.35      | 0.00%             | 2032-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 7.50 07/01/2042                                             | CUSIP: 31392FDD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1867328 | PA      | $2001136.51    | 0.00%             | 2042-07-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 6.50 06/01/2042                                             | CUSIP: 31392GEK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2187112 | PA      | $2268191.83    | 0.00%             | 2042-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 5.2854 12/01/2042                                           | CUSIP: 31392GWB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1321673 | PA      | $1279180.63    | 0.00%             | 2042-12-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 6.50 12/01/2042                                             | CUSIP: 31392HY64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1832258 | PA      | $1880425.57    | 0.00%             | 2042-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 7.00 07/01/2042                                             | CUSIP: 31392JAC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3739537 | PA      | $3915608.49    | 0.01%             | 2042-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 4.782737 07/01/2032                                        | CUSIP: 31392MEM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     114060 | PA      | $108530.15     | 0.00%             | 2032-07-25      | Variable      | 4.78%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 6.50 06/01/2032                                            | CUSIP: 31392PBJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      45832 | PA      | $47718.66      | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 4.40446 07/01/2033                                         | CUSIP: 31392UZ56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1447669 | PA      | $1379948.47    | 0.00%             | 2033-07-25      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 6.50 09/01/2043                                            | CUSIP: 31392W7B0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      37654 | PA      | $38533.05      | 0.00%             | 2043-09-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 5.05964 10/01/2042                                          | CUSIP: 31393AP92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1039741 | PA      | $1054187.08    | 0.00%             | 2042-10-25      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 5.50 03/01/2033                                            | CUSIP: 31393NDK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1286507 | PA      | $1291408.57    | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 4.00 05/01/2033                                            | CUSIP: 31393QXQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     687404 | PA      | $662985.43     | 0.00%             | 2033-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 6.50 01/01/2044                                             | CUSIP: 31393XFT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     704567 | PA      | $723839.08     | 0.00%             | 2044-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 7.00 02/01/2044                                             | CUSIP: 31393XGQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      81107 | PA      | $84630.50      | 0.00%             | 2044-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 7.50 03/01/2044                                             | CUSIP: 31393XGU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1313665 | PA      | $1372384.95    | 0.00%             | 2044-03-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 7.50 06/01/2044                                             | CUSIP: 31394ALN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     990919 | PA      | $1022073.90    | 0.00%             | 2044-06-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.78871 07/25/2044                                          | CUSIP: 31394BT46<br>LEI: 54930075XM5QLYOTLR22 | Long             | ABS-MBS          | USGSE             | US        |     802589 | PA      | $778572.50     | 0.00%             | 2044-07-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 6.50 08/01/2044                                             | CUSIP: 31394BZ72<br>LEI: 549300KIT83OL5QXFU28 | Long             | ABS-MBS          | USGSE             | US        |     311062 | PA      | $318430.18     | 0.00%             | 2044-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 7.00 10/01/2044                                             | CUSIP: 31394CB50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3098949 | PA      | $3128000.87    | 0.01%             | 2044-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 5.50 11/01/2033                                            | CUSIP: 31394MC57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4918714 | PA      | $4979295.27    | 0.01%             | 2033-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 6.50 12/01/2045                                             | CUSIP: 31395B5G4<br>LEI: 5493001NEANKKEPIN618 | Long             | ABS-MBS          | USGSE             | US        |     139682 | PA      | $143997.08     | 0.00%             | 2045-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 7.00 12/01/2045                                             | CUSIP: 31395B5H2<br>LEI: 5493001NEANKKEPIN618 | Long             | ABS-MBS          | USGSE             | US        |     948717 | PA      | $994001.55     | 0.00%             | 2045-12-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 7.50 12/01/2045                                             | CUSIP: 31395B5J8<br>LEI: 5493001NEANKKEPIN618 | Long             | ABS-MBS          | USGSE             | US        |      16007 | PA      | $16689.41      | 0.00%             | 2045-12-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 8.00 12/01/2045                                             | CUSIP: 31395B5K5<br>LEI: 5493001NEANKKEPIN618 | Long             | ABS-MBS          | USGSE             | US        |    1048403 | PA      | $1099583.18    | 0.00%             | 2045-12-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 5.50 05/01/2039                                             | CUSIP: 31396QEM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6798 | PA      | $6775.95       | 0.00%             | 2039-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 5.00 05/01/2037                                             | CUSIP: 31396VM70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     854355 | PA      | $839645.54     | 0.00%             | 2037-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 6.15889 08/01/2047                                          | CUSIP: 31396XD27<br>LEI: 5493006KCWOV61WOTM60 | Long             | ABS-MBS          | USGSE             | US        |    3265202 | PA      | $3259952.31    | 0.01%             | 2047-08-25      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 6.30767 08/01/2047                                          | CUSIP: 31396XD35<br>LEI: 5493006KCWOV61WOTM60 | Long             | ABS-MBS          | USGSE             | US        |     949580 | PA      | $946654.78     | 0.00%             | 2047-08-25      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 5.00 08/01/2034                                            | CUSIP: 31397AL50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2405709 | PA      | $2392400.02    | 0.00%             | 2034-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 6.50 06/01/2032                                            | CUSIP: 31397HAC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1017077 | PA      | $1054516.19    | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 5.50 06/01/2037                                            | CUSIP: 31397JFK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     299957 | PA      | $297125.11     | 0.00%             | 2037-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 6.50 03/01/2037                                             | CUSIP: 31397LCY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     279408 | PA      | $280552.06     | 0.00%             | 2037-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 6.50 05/01/2039                                             | CUSIP: 31397NWY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2737726 | PA      | $2813959.76    | 0.00%             | 2039-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 6.00 06/01/2039                                             | CUSIP: 31397NZ57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1195833 | PA      | $1225190.03    | 0.00%             | 2039-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 5.00 03/01/2038                                            | CUSIP: 31397RYP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1163737 | PA      | $1166652.84    | 0.00%             | 2038-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.00 07/01/2041                                             | CUSIP: 31397UZE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3405102 | PA      | $3288554.66    | 0.01%             | 2041-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 7.00 11/01/2040                                             | CUSIP: 31398N2E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11088677 | PA      | $11637675.62   | 0.02%             | 2040-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 6.50 01/01/2034                                             | CUSIP: 31402C3Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     243518 | PA      | $250891.36     | 0.00%             | 2034-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 5.50 02/01/2034                                             | CUSIP: 31402CU75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     749490 | PA      | $768037.75     | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 6.00 03/01/2034                                             | CUSIP: 31402CVV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8634005 | PA      | $8929904.54    | 0.02%             | 2034-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 6.00 03/01/2034                                             | CUSIP: 31402CY30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11892481 | PA      | $12298516.57   | 0.02%             | 2034-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.931 10/01/2033                                            | CUSIP: 31402DF96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     497641 | PA      | $505542.05     | 0.00%             | 2033-10-01      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.778 08/01/2034                                            | CUSIP: 31402DHN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     597152 | PA      | $596927.75     | 0.00%             | 2034-08-01      | Floating      | 3.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 6.50 12/01/2032                                             | CUSIP: 31402RAQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5030779 | PA      | $5206119.48    | 0.01%             | 2032-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.488 07/01/2035                                            | CUSIP: 31402RKK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     176600 | PA      | $175894.95     | 0.00%             | 2035-07-01      | Floating      | 3.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 6.50 06/01/2033                                             | CUSIP: 31402RQJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17264 | PA      | $17846.10      | 0.00%             | 2033-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.88 08/01/2035                                             | CUSIP: 31402RQW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     359538 | PA      | $361607.69     | 0.00%             | 2035-08-01      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.801 10/01/2035                                            | CUSIP: 31402RTN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     482465 | PA      | $481498.66     | 0.00%             | 2035-10-01      | Floating      | 3.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.429 01/01/2036                                            | CUSIP: 31403DAC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     818704 | PA      | $827364.51     | 0.00%             | 2036-01-01      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 6.00 06/01/2035                                             | CUSIP: 31403DDB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1285042 | PA      | $1328895.52    | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 6.00 04/01/2034                                             | CUSIP: 31403DWB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1578821 | PA      | $1632758.27    | 0.00%             | 2034-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.078 09/01/2034                                            | CUSIP: 31404NLA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     578601 | PA      | $585997.88     | 0.00%             | 2034-09-01      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.143 08/01/2034                                            | CUSIP: 31405FTW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23991 | PA      | $23801.04      | 0.00%             | 2034-08-01      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.62 10/01/2034                                             | CUSIP: 31405PLQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     319977 | PA      | $317682.99     | 0.00%             | 2034-10-01      | Floating      | 3.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.106 01/01/2035                                            | CUSIP: 31406DGE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     395078 | PA      | $387789.68     | 0.00%             | 2035-01-01      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.173 04/01/2035                                            | CUSIP: 31406M5J1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     460527 | PA      | $455118.48     | 0.00%             | 2035-04-01      | Floating      | 2.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.998 10/01/2035                                            | CUSIP: 31406WKV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     183863 | PA      | $181588.07     | 0.00%             | 2035-10-01      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.761 07/01/2035                                            | CUSIP: 31407BVE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57808 | PA      | $56826.43      | 0.00%             | 2035-07-01      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.475 07/01/2035                                            | CUSIP: 31407BWC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     181313 | PA      | $178540.04     | 0.00%             | 2035-07-01      | Floating      | 3.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 6.50 04/01/2036                                             | CUSIP: 31407HUD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     134168 | PA      | $139898.48     | 0.00%             | 2036-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.664 08/01/2035                                            | CUSIP: 31407JTN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     925025 | PA      | $936369.69     | 0.00%             | 2035-08-01      | Floating      | 3.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.557 08/01/2035                                            | CUSIP: 31407JZN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     253722 | PA      | $251329.57     | 0.00%             | 2035-08-01      | Floating      | 3.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 5.50 09/01/2035                                             | CUSIP: 31407K5T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     179001 | PA      | $180973.70     | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 5.50 09/01/2035                                             | CUSIP: 31407KQM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     210605 | PA      | $215353.74     | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 5.50 08/01/2035                                             | CUSIP: 31407NQY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     176633 | PA      | $177886.54     | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.017 09/01/2035                                            | CUSIP: 31407RR48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     351845 | PA      | $348556.47     | 0.00%             | 2035-09-01      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 1.874 12/01/2035                                            | CUSIP: 31407Y2A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47374 | PA      | $46468.72      | 0.00%             | 2035-12-01      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.702 01/01/2036                                            | CUSIP: 31408AMH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     601170 | PA      | $600868.66     | 0.00%             | 2036-01-01      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 6.00 04/01/2036                                             | CUSIP: 31409EFN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     178058 | PA      | $185598.53     | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.005 11/01/2035                                            | CUSIP: 31409UWM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     381917 | PA      | $381500.47     | 0.00%             | 2035-11-01      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.258 12/01/2046                                            | CUSIP: 3140FGNL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2608681 | PA      | $2593820.92    | 0.00%             | 2046-12-01      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 5.00 07/01/2040                                             | CUSIP: 3140FXAH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4884508 | PA      | $4856382.79    | 0.01%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 06/01/2056                                             | CUSIP: 3140FXDM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31382444 | PA      | $31022529.57   | 0.05%             | 2056-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 06/01/2056                                             | CUSIP: 3140FXDY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28035561 | PA      | $27714090.20   | 0.05%             | 2056-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 02/01/2041                                             | CUSIP: 3140FXGH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22289060 | PA      | $22061649.85   | 0.04%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.982 06/01/2047                                            | CUSIP: 3140GPKB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2988155 | PA      | $2974993.65    | 0.01%             | 2047-06-01      | Floating      | 2.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.146 07/01/2047                                            | CUSIP: 3140GQYU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5025083 | PA      | $4918009.80    | 0.01%             | 2047-07-01      | Floating      | 3.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.131 06/01/2047                                            | CUSIP: 3140GT3G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3583900 | PA      | $3511451.47    | 0.01%             | 2047-06-01      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.10 07/01/2047                                             | CUSIP: 3140GT3V0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1193678 | PA      | $1168199.67    | 0.00%             | 2047-07-01      | Floating      | 3.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.146 08/01/2047                                            | CUSIP: 3140GT5M8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     691201 | PA      | $683307.38     | 0.00%             | 2047-08-01      | Floating      | 3.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.964 08/01/2047                                            | CUSIP: 3140GT5Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1075763 | PA      | $1047509.88    | 0.00%             | 2047-08-01      | Floating      | 2.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.239 08/01/2047                                            | CUSIP: 3140GTZD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1460396 | PA      | $1426771.78    | 0.00%             | 2047-08-01      | Floating      | 3.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.987 10/01/2047                                            | CUSIP: 3140GYL49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     974279 | PA      | $943597.61     | 0.00%             | 2047-10-01      | Floating      | 2.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.951 11/01/2047                                            | CUSIP: 3140GYNV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1267082 | PA      | $1223469.72    | 0.00%             | 2047-11-01      | Floating      | 2.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.998 11/01/2047                                            | CUSIP: 3140H1LF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2215641 | PA      | $2140907.89    | 0.00%             | 2047-11-01      | Floating      | 2.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.265 01/01/2048                                            | CUSIP: 3140H6BY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     635557 | PA      | $619624.13     | 0.00%             | 2048-01-01      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.158 01/01/2048                                            | CUSIP: 3140H6CV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     842024 | PA      | $819554.34     | 0.00%             | 2048-01-01      | Floating      | 3.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 06/01/2048                                             | CUSIP: 3140HBJG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   37734736 | PA      | $36936443.78   | 0.06%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.413 08/01/2048                                            | CUSIP: 3140HNYZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1012086 | PA      | $986110.50     | 0.00%             | 2048-08-01      | Floating      | 3.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.498 08/01/2047                                            | CUSIP: 3140J53D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3988039 | PA      | $4040686.98    | 0.01%             | 2047-08-01      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 10/01/2045                                             | CUSIP: 3140J5FD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6828268 | PA      | $6769075.45    | 0.01%             | 2045-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 02/01/2046                                             | CUSIP: 3140J5GQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10112303 | PA      | $10024630.73   | 0.02%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 08/01/2044                                             | CUSIP: 3140J5JW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14212966 | PA      | $14089742.23   | 0.02%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 01/01/2043                                             | CUSIP: 3140J5QK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23088774 | PA      | $22670526.26   | 0.04%             | 2043-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 05/01/2047                                             | CUSIP: 3140J5ZM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14376936 | PA      | $14121750.71   | 0.02%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.86 10/01/2047                                             | CUSIP: 3140J6AQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1406604 | PA      | $1367834.61    | 0.00%             | 2047-10-01      | Floating      | 2.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.00 09/01/2046                                             | CUSIP: 3140J7WZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11125038 | PA      | $10560981.88   | 0.02%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.00 02/01/2047                                             | CUSIP: 3140J7XQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   54329742 | PA      | $52039340.24   | 0.09%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.125 03/01/2048                                            | CUSIP: 3140J82E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2250265 | PA      | $2190308.95    | 0.00%             | 2048-03-01      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.096 04/01/2048                                            | CUSIP: 3140J8H71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1062573 | PA      | $1033754.68    | 0.00%             | 2048-04-01      | Floating      | 3.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.148 05/01/2048                                            | CUSIP: 3140J8HN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14265360 | PA      | $13879810.12   | 0.02%             | 2048-05-01      | Floating      | 3.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.634 11/01/2048                                            | CUSIP: 3140J97J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1376152 | PA      | $1348099.80    | 0.00%             | 2048-11-01      | Floating      | 3.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.00 11/01/2033                                             | CUSIP: 3140J9KS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  148702901 | PA      | $145128865.40  | 0.25%             | 2033-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.315 10/01/2048                                            | CUSIP: 3140J9TB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2652877 | PA      | $2584515.80    | 0.00%             | 2048-10-01      | Floating      | 3.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 11/01/2048                                             | CUSIP: 3140J9VK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9755295 | PA      | $9563539.20    | 0.02%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.722 01/01/2050                                            | CUSIP: 3140JA4F2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3103934 | PA      | $2943167.64    | 0.01%             | 2050-01-01      | Floating      | 2.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 5.00 12/01/2048                                             | CUSIP: 3140JAKS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26438257 | PA      | $26554144.75   | 0.05%             | 2048-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.307 04/01/2049                                            | CUSIP: 3140JAWZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1598289 | PA      | $1553159.52    | 0.00%             | 2049-04-01      | Floating      | 3.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.712 08/01/2049                                            | CUSIP: 3140JAX86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7620707 | PA      | $7467175.38    | 0.01%             | 2049-08-01      | Floating      | 3.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.628 08/01/2049                                            | CUSIP: 3140JAYE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13192617 | PA      | $12608898.49   | 0.02%             | 2049-08-01      | Floating      | 3.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.603 08/01/2049                                            | CUSIP: 3140JAYJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3263094 | PA      | $3190256.68    | 0.01%             | 2049-08-01      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.382 09/01/2049                                            | CUSIP: 3140JAYM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12287844 | PA      | $11614740.89   | 0.02%             | 2049-09-01      | Floating      | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.392 09/01/2049                                            | CUSIP: 3140JAYP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16761699 | PA      | $16359328.57   | 0.03%             | 2049-09-01      | Floating      | 3.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.343 10/01/2049                                            | CUSIP: 3140JAZP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1978516 | PA      | $1914489.82    | 0.00%             | 2049-10-01      | Floating      | 3.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.167 12/01/2050                                            | CUSIP: 3140JBVJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28641071 | PA      | $25683280.20   | 0.04%             | 2050-12-01      | Floating      | 2.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.048 05/01/2052                                            | CUSIP: 3140JBWE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  163234993 | PA      | $144597105.52  | 0.25%             | 2052-05-01      | Floating      | 2.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.50 05/01/2052                                             | CUSIP: 3140MAZM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21289579 | PA      | $19507300.95   | 0.03%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.50 04/01/2052                                             | CUSIP: 3140MJ7K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   35948532 | PA      | $32944985.46   | 0.06%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.50 04/01/2052                                             | CUSIP: 3140MJ7L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   45101336 | PA      | $41238911.47   | 0.07%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 07/01/2048                                             | CUSIP: 3140Q9JB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49028 | PA      | $48074.30      | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.00 07/01/2050                                             | CUSIP: 3140QD4X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   75127784 | PA      | $61684126.34   | 0.11%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.50 07/01/2050                                             | CUSIP: 3140QD4Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  107559361 | PA      | $92145937.63   | 0.16%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.50 07/01/2050                                             | CUSIP: 3140QD5H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   77330406 | PA      | $66249131.55   | 0.11%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.00 07/01/2050                                             | CUSIP: 3140QD5N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   76005660 | PA      | $62381711.11   | 0.11%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.50 07/01/2050                                             | CUSIP: 3140QD5T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  175641082 | PA      | $150472152.66  | 0.26%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.50 07/01/2050                                             | CUSIP: 3140QD6C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   91259083 | PA      | $78008848.35   | 0.13%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.50 07/01/2050                                             | CUSIP: 3140QD6H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   29997636 | PA      | $25656108.72   | 0.04%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.50 03/01/2050                                             | CUSIP: 3140QDBM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12481402 | PA      | $11274319.86   | 0.02%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.50 06/01/2050                                             | CUSIP: 3140QDTY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   43530094 | PA      | $37305230.75   | 0.06%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.50 06/01/2050                                             | CUSIP: 3140QDV50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  130045052 | PA      | $111409652.18  | 0.19%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.00 06/01/2050                                             | CUSIP: 3140QDZE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  110546537 | PA      | $90764761.63   | 0.16%             | 2050-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.00 07/01/2050                                             | CUSIP: 3140QEC26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8122825 | PA      | $6666762.15    | 0.01%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.00 07/01/2050                                             | CUSIP: 3140QEC34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  117413840 | PA      | $96335243.88   | 0.17%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.50 07/01/2050                                             | CUSIP: 3140QEDF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   46646708 | PA      | $39895551.74   | 0.07%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.50 07/01/2050                                             | CUSIP: 3140QEGY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  169843854 | PA      | $145262132.17  | 0.25%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.50 07/01/2050                                             | CUSIP: 3140QEHD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  182037273 | PA      | $156056819.04  | 0.27%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.50 08/01/2050                                             | CUSIP: 3140QEJJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  173021360 | PA      | $148326786.42  | 0.26%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.50 08/01/2050                                             | CUSIP: 3140QEN73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   30751911 | PA      | $26362984.65   | 0.05%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.50 08/01/2050                                             | CUSIP: 3140QEN81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  146882945 | PA      | $125919715.65  | 0.22%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.00 08/01/2050                                             | CUSIP: 3140QENL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  130276046 | PA      | $106923112.74  | 0.18%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.00 09/01/2050                                             | CUSIP: 3140QEVS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  159680939 | PA      | $131205409.33  | 0.23%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.00 09/01/2050                                             | CUSIP: 3140QEVT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   29162486 | PA      | $23934962.14   | 0.04%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.50 09/01/2050                                             | CUSIP: 3140QEVY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   67866251 | PA      | $58043736.78   | 0.10%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.00 09/01/2050                                             | CUSIP: 3140QEWC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  118826106 | PA      | $97635925.16   | 0.17%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.50 09/01/2050                                             | CUSIP: 3140QEWK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  109143482 | PA      | $93566368.19   | 0.16%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.00 09/01/2050                                             | CUSIP: 3140QEWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  122222329 | PA      | $100313440.93  | 0.17%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.50 09/01/2050                                             | CUSIP: 3140QEXU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   56273012 | PA      | $48448178.24   | 0.08%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.00 12/01/2050                                             | CUSIP: 3140QF7L7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  165684037 | PA      | $136136542.02  | 0.23%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.50 11/01/2050                                             | CUSIP: 3140QFSS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   99839137 | PA      | $85509774.43   | 0.15%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.00 12/01/2050                                             | CUSIP: 3140QGAA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  126175660 | PA      | $103674190.15  | 0.18%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.00 12/01/2050                                             | CUSIP: 3140QGAD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  219784967 | PA      | $180385045.99  | 0.31%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.00 12/01/2050                                             | CUSIP: 3140QGLH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  208269387 | PA      | $171126308.20  | 0.29%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.00 01/01/2051                                             | CUSIP: 3140QGLW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  168693296 | PA      | $138608440.97  | 0.24%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.00 01/01/2051                                             | CUSIP: 3140QGQ26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  210927826 | PA      | $173310500.06  | 0.30%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.50 01/01/2051                                             | CUSIP: 3140QGRT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  105438399 | PA      | $90301344.98   | 0.16%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.00 02/01/2051                                             | CUSIP: 3140QGYK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  113432487 | PA      | $93203452.21   | 0.16%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.00 02/01/2051                                             | CUSIP: 3140QGZM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   45911854 | PA      | $37700775.70   | 0.06%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.00 05/01/2052                                             | CUSIP: 3140QN6P2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  120066475 | PA      | $105908281.82  | 0.18%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.50 05/01/2052                                             | CUSIP: 3140QN7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  128766545 | PA      | $117739843.01  | 0.20%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.50 04/01/2052                                             | CUSIP: 3140QNV33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  136115639 | PA      | $124282920.45  | 0.21%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.50 05/01/2052                                             | CUSIP: 3140QPAE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   74735246 | PA      | $68335426.96   | 0.12%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.50 05/01/2052                                             | CUSIP: 3140QPAF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   47543316 | PA      | $43401409.64   | 0.07%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.50 06/01/2052                                             | CUSIP: 3140QPHV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   98162814 | PA      | $89592267.37   | 0.15%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.50 07/01/2052                                             | CUSIP: 3140QPRA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13958578 | PA      | $12758070.10   | 0.02%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.50 07/01/2052                                             | CUSIP: 3140QPRC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   77316085 | PA      | $70455874.18   | 0.12%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.50 06/01/2050                                             | CUSIP: 3140X62F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   38171111 | PA      | $32646941.05   | 0.06%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.50 06/01/2050                                             | CUSIP: 3140X62L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   90224162 | PA      | $77347524.17   | 0.13%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.50 09/01/2050                                             | CUSIP: 3140X7S75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   48940493 | PA      | $41842689.44   | 0.07%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.50 08/01/2050                                             | CUSIP: 3140X7VW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   45158888 | PA      | $38767134.93   | 0.07%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.50 12/01/2050                                             | CUSIP: 3140X8VL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8249684 | PA      | $7091746.49    | 0.01%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.00 02/01/2051                                             | CUSIP: 3140X9TB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21608416 | PA      | $17755625.96   | 0.03%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.00 02/01/2051                                             | CUSIP: 3140X9UA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  233919707 | PA      | $192204745.02  | 0.33%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.50 01/01/2051                                             | CUSIP: 3140XBNR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  762992921 | PA      | $702088567.89  | 1.21%             | 2051-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.50 08/01/2051                                             | CUSIP: 3140XCDL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34702572 | PA      | $29668819.14   | 0.05%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.50 02/01/2051                                             | CUSIP: 3140XCW61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   69572314 | PA      | $59459496.83   | 0.10%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.00 04/01/2052                                             | CUSIP: 3140XGVY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  119609076 | PA      | $105687465.63  | 0.18%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.50 04/01/2052                                             | CUSIP: 3140XGWQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  176041244 | PA      | $160987279.51  | 0.28%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.50 05/01/2052                                             | CUSIP: 3140XHCA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  124575616 | PA      | $113891811.72  | 0.20%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.50 05/01/2052                                             | CUSIP: 3140XHCB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  124116810 | PA      | $113303228.63  | 0.20%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.50 06/01/2052                                             | CUSIP: 3140XHLS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  120781669 | PA      | $110423130.16  | 0.19%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.50 06/01/2052                                             | CUSIP: 3140XHLT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  156629519 | PA      | $142983196.82  | 0.25%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.50 06/01/2052                                             | CUSIP: 3140XHLV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   77284333 | PA      | $70536424.36   | 0.12%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.50 07/01/2052                                             | CUSIP: 3140XHVP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13382604 | PA      | $12253090.44   | 0.02%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.50 07/01/2052                                             | CUSIP: 3140XHXK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18016960 | PA      | $16447247.43   | 0.03%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.543 12/01/2036                                            | CUSIP: 31410F3F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     452081 | PA      | $458976.97     | 0.00%             | 2036-12-01      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 7.00 03/01/2037                                             | CUSIP: 31410F6C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31254 | PA      | $33322.35      | 0.00%             | 2037-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 5.50 02/01/2035                                             | CUSIP: 31410FT62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     342401 | PA      | $352411.47     | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 1.815 01/01/2037                                            | CUSIP: 31410FWC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     663906 | PA      | $662689.21     | 0.00%             | 2037-01-01      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.474 11/01/2036                                            | CUSIP: 31410FWP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     523592 | PA      | $524458.71     | 0.00%             | 2036-11-01      | Floating      | 3.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.935 07/01/2034                                            | CUSIP: 31410FWW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     451282 | PA      | $448062.82     | 0.00%             | 2034-07-01      | Floating      | 2.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.35 04/01/2037                                             | CUSIP: 31410G6G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     154238 | PA      | $158743.89     | 0.00%             | 2037-04-01      | Floating      | 3.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 5.50 08/01/2035                                             | CUSIP: 31410GBT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     851639 | PA      | $876535.47     | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 6.00 04/01/2035                                             | CUSIP: 31410GJS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21669 | PA      | $22408.89      | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 6.50 11/01/2037                                             | CUSIP: 31410GRL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     970081 | PA      | $1022903.52    | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 6.00 03/01/2036                                             | CUSIP: 31410GTM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3040894 | PA      | $3144348.29    | 0.01%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 6.50 12/01/2037                                             | CUSIP: 31410GW90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     229826 | PA      | $241563.87     | 0.00%             | 2037-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 5.50 11/01/2035                                             | CUSIP: 31410KAA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2733193 | PA      | $2828610.73    | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 6.00 03/01/2023                                             | CUSIP: 31410KC36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        128 | PA      | $127.82        | 0.00%             | 2023-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 5.50 05/01/2023                                             | CUSIP: 31410KHC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        136 | PA      | $135.89        | 0.00%             | 2023-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 7.00 12/01/2037                                             | CUSIP: 31410KUK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1567899 | PA      | $1671054.61    | 0.00%             | 2037-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.00 08/01/2035                                             | CUSIP: 31410LP55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2395209 | PA      | $2306391.00    | 0.00%             | 2035-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 2.339 02/01/2037                                            | CUSIP: 31411GTR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     684476 | PA      | $685505.01     | 0.00%             | 2037-02-01      | Floating      | 3.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.25 12/01/2036                                             | CUSIP: 31411HGJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     199417 | PA      | $197075.12     | 0.00%             | 2036-12-01      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.135 01/01/2035                                            | CUSIP: 31412WYT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     316130 | PA      | $309113.05     | 0.00%             | 2035-01-01      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.491 05/01/2038                                            | CUSIP: 31414DSY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     939586 | PA      | $955744.41     | 0.00%             | 2038-05-01      | Floating      | 3.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.131 09/01/2038                                            | CUSIP: 31414FUW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      96376 | PA      | $95348.72      | 0.00%             | 2038-09-01      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 5.50 10/01/2035                                             | CUSIP: 31415VYB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     393898 | PA      | $407567.36     | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 6.00 08/01/2037                                             | CUSIP: 31416B2U1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1181499 | PA      | $1221837.49    | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 5.50 09/01/2036                                             | CUSIP: 31416B6L7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     885239 | PA      | $912479.01     | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 5.50 03/01/2024                                             | CUSIP: 31416B7J1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18080 | PA      | $17976.33      | 0.00%             | 2024-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.976 10/01/2038                                            | CUSIP: 31416BKS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     184079 | PA      | $181401.85     | 0.00%             | 2038-10-01      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.22 10/01/2038                                             | CUSIP: 31416BKT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     193411 | PA      | $192931.94     | 0.00%             | 2038-10-01      | Floating      | 3.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 6.00 05/01/2036                                             | CUSIP: 31416BR91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3410067 | PA      | $3526574.12    | 0.01%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 5.50 10/01/2023                                             | CUSIP: 31416BYA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     206937 | PA      | $206257.11     | 0.00%             | 2023-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 6.50 12/01/2038                                             | CUSIP: 31416CC79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     706644 | PA      | $743785.30     | 0.00%             | 2038-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 5.50 09/01/2036                                             | CUSIP: 31416CF50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13161480 | PA      | $13526010.17   | 0.02%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 04/01/2039                                             | CUSIP: 31416MZR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1726812 | PA      | $1710060.35    | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 04/01/2039                                             | CUSIP: 31416NC83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2179274 | PA      | $2160379.67    | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.00 09/01/2025                                             | CUSIP: 31416WTF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      84780 | PA      | $82657.67      | 0.00%             | 2025-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 6.00 10/01/2037                                             | CUSIP: 31417E6Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     129515 | PA      | $133943.24     | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 11/01/2035                                             | CUSIP: 31417FDE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2718887 | PA      | $2681634.52    | 0.00%             | 2035-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 06/01/2031                                             | CUSIP: 31417Y2J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2084522 | PA      | $2068432.53    | 0.00%             | 2031-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 07/01/2031                                             | CUSIP: 31417Y3A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13913509 | PA      | $13806079.63   | 0.02%             | 2031-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 08/01/2031                                             | CUSIP: 31417Y4A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21486364 | PA      | $21320477.91   | 0.04%             | 2031-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.00 08/01/2031                                             | CUSIP: 31417Y4C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1013667 | PA      | $981162.43     | 0.00%             | 2031-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.00 10/01/2031                                             | CUSIP: 31417Y6Q5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3907024 | PA      | $3781648.63    | 0.01%             | 2031-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 03/01/2029                                             | CUSIP: 31417YAF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     144466 | PA      | $143353.57     | 0.00%             | 2029-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 05/01/2029                                             | CUSIP: 31417YCK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     280787 | PA      | $278625.73     | 0.00%             | 2029-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 07/01/2029                                             | CUSIP: 31417YDV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     305598 | PA      | $303244.28     | 0.00%             | 2029-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.00 10/01/2030                                             | CUSIP: 31417YSY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     493760 | PA      | $477946.46     | 0.00%             | 2030-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.00 11/01/2030                                             | CUSIP: 31417YTV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2816629 | PA      | $2726412.52    | 0.00%             | 2030-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.00 12/01/2030                                             | CUSIP: 31417YUM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4418103 | PA      | $4276575.16    | 0.01%             | 2030-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 01/01/2031                                             | CUSIP: 31417YV46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5972906 | PA      | $5926825.95    | 0.01%             | 2031-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.00 12/01/2033                                             | CUSIP: 31418A2X5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17934972 | PA      | $17365899.27   | 0.03%             | 2033-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.00 01/01/2034                                             | CUSIP: 31418A6A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27761086 | PA      | $26868277.26   | 0.05%             | 2034-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.00 02/01/2034                                             | CUSIP: 31418A6K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26101775 | PA      | $25273591.34   | 0.04%             | 2034-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.00 10/01/2033                                             | CUSIP: 31418AY44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2061950 | PA      | $1995646.05    | 0.00%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.00 11/01/2033                                             | CUSIP: 31418AZ43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31916644 | PA      | $30890312.07   | 0.05%             | 2033-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.00 03/01/2034                                             | CUSIP: 31418BAQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   33773175 | PA      | $32687015.59   | 0.06%             | 2034-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.00 04/01/2034                                             | CUSIP: 31418BB47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19874636 | PA      | $19137393.64   | 0.03%             | 2034-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.00 05/01/2034                                             | CUSIP: 31418BC46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23265605 | PA      | $22402522.82   | 0.04%             | 2034-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.00 07/01/2034                                             | CUSIP: 31418BFA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11980939 | PA      | $11508171.08   | 0.02%             | 2034-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.00 08/01/2034                                             | CUSIP: 31418BFZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   38867925 | PA      | $37426601.76   | 0.06%             | 2034-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.00 09/01/2034                                             | CUSIP: 31418BG59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20270981 | PA      | $19519285.65   | 0.03%             | 2034-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.00 10/01/2034                                             | CUSIP: 31418BH90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28270267 | PA      | $27221891.96   | 0.05%             | 2034-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.00 11/01/2034                                             | CUSIP: 31418BJZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25463652 | PA      | $24519362.09   | 0.04%             | 2034-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.00 12/01/2034                                             | CUSIP: 31418BLB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25560872 | PA      | $24612831.14   | 0.04%             | 2034-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.00 01/01/2035                                             | CUSIP: 31418BLX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12840359 | PA      | $12364114.87   | 0.02%             | 2035-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.00 03/01/2035                                             | CUSIP: 31418BN51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6583147 | PA      | $6326842.39    | 0.01%             | 2035-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.00 07/01/2035                                             | CUSIP: 31418BS56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1910931 | PA      | $1840032.53    | 0.00%             | 2035-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.00 10/01/2045                                             | CUSIP: 31418BVH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1067431 | PA      | $1022429.70    | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.50 11/01/2035                                             | CUSIP: 31418BWH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7884191 | PA      | $7537028.29    | 0.01%             | 2035-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.00 12/01/2035                                             | CUSIP: 31418BXJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8456299 | PA      | $8142477.64    | 0.01%             | 2035-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.50 03/01/2037                                             | CUSIP: 31418CG99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   66537925 | PA      | $63606339.02   | 0.11%             | 2037-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.50 02/01/2037                                             | CUSIP: 31418CGT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3056546 | PA      | $2921884.25    | 0.01%             | 2037-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 3.50 04/01/2037                                             | CUSIP: 31418CJG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4406938 | PA      | $4216927.34    | 0.01%             | 2037-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 09/01/2047                                             | CUSIP: 31418CQY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     227646 | PA      | $216095.25     | 0.00%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 11/01/2047                                             | CUSIP: 31418CR55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     581342 | PA      | $552560.91     | 0.00%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 11/01/2047                                             | CUSIP: 31418CSV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     391348 | PA      | $371972.69     | 0.00%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 5.00 03/01/2049                                             | CUSIP: 31418DAT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1467859 | PA      | $1459901.06    | 0.00%             | 2049-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.00 09/01/2031                                             | CUSIP: 31418DKG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11127174 | PA      | $10770331.79   | 0.02%             | 2031-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 6.50 08/01/2039                                             | CUSIP: 31418MEC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20829 | PA      | $22074.99      | 0.00%             | 2039-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 5.50 11/01/2023                                             | CUSIP: 31418MEZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          4 | PA      | $4.11          | 0.00%             | 2023-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 6.00 11/01/2034                                             | CUSIP: 31418MFD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81075 | PA      | $83863.16      | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 5.50 09/01/2038                                             | CUSIP: 31418MGG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5289476 | PA      | $5474131.99    | 0.01%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 5.50 04/01/2037                                             | CUSIP: 31418MH39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6701123 | PA      | $6897019.44    | 0.01%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 5.50 01/01/2024                                             | CUSIP: 31418MJ60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         66 | PA      | $65.50         | 0.00%             | 2024-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 5.50 01/01/2024                                             | CUSIP: 31418MJW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          1 | PA      | $0.66          | 0.00%             | 2024-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 5.50 08/01/2039                                             | CUSIP: 31418MK92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     226947 | PA      | $235339.95     | 0.00%             | 2039-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.028 12/01/2039                                            | CUSIP: 31418MRC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     407243 | PA      | $404278.16     | 0.00%             | 2039-12-01      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 5.50 08/01/2037                                             | CUSIP: 31418MRQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1024428 | PA      | $1053165.35    | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 5.50 09/01/2039                                             | CUSIP: 31418MWL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     689472 | PA      | $713872.78     | 0.00%             | 2039-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 5.50 06/01/2036                                             | CUSIP: 31418MWZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4951036 | PA      | $5083092.23    | 0.01%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 5.50 07/01/2035                                             | CUSIP: 31418NA91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1693495 | PA      | $1745958.67    | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 5.50 11/01/2039                                             | CUSIP: 31418NCA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1272293 | PA      | $1319362.18    | 0.00%             | 2039-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 03/01/2040                                             | CUSIP: 31418NZW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3571737 | PA      | $3530519.97    | 0.01%             | 2040-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 08/01/2040                                             | CUSIP: 31418WPP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10864992 | PA      | $10620770.63   | 0.02%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 5.50 01/01/2025                                             | CUSIP: 31419A6M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91827 | PA      | $91376.82      | 0.00%             | 2025-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 6.50 09/01/2038                                             | CUSIP: 31419AAN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3573278 | PA      | $3755662.57    | 0.01%             | 2038-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 5.50 08/01/2024                                             | CUSIP: 31419AM53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2330 | PA      | $2321.52       | 0.00%             | 2024-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 5.50 10/01/2024                                             | CUSIP: 31419AM61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     248060 | PA      | $246756.76     | 0.00%             | 2024-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 5.50 12/01/2024                                             | CUSIP: 31419AM79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     195183 | PA      | $194142.60     | 0.00%             | 2024-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 5.50 10/01/2024                                             | CUSIP: 31419AM87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     125279 | PA      | $124617.42     | 0.00%             | 2024-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 6.50 01/01/2039                                             | CUSIP: 31419AP43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3677010 | PA      | $3855150.53    | 0.01%             | 2039-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 5.50 03/01/2024                                             | CUSIP: 31419AQV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1769 | PA      | $1759.75       | 0.00%             | 2024-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 5.50 05/01/2024                                             | CUSIP: 31419AVN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     256800 | PA      | $255524.76     | 0.00%             | 2024-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 7.00 02/01/2039                                             | CUSIP: 31419AZY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82194 | PA      | $86532.65      | 0.00%             | 2039-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.50 09/01/2040                                             | CUSIP: 31419DL74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21786957 | PA      | $21535508.78   | 0.04%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.00 09/01/2030                                             | CUSIP: 31419ERS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     224843 | PA      | $217641.58     | 0.00%             | 2030-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae 4.00 10/01/2040                                             | CUSIP: 31419FD60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4988640 | PA      | $4790892.42    | 0.01%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FedEx Corp.                                      | FedEx Corp. 5.25 05/15/2050                                            | CUSIP: 31428XCA2<br>LEI: 549300E707U7WNPZN687 | Long             | DBT              | CORP              | US        |  146640000 | PA      | $133514497.02  | 0.23%             | 2050-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac 4.081 09/01/2052                                           | CUSIP: 3142BNJ62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   34629802 | PA      | $33084867.64   | 0.06%             | 2052-09-01      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                        | Ford Motor Credit Co. LLC 3.087 01/09/2023                             | CUSIP: 345397A29<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   12000000 | PA      | $11988756.60   | 0.02%             | 2023-01-09      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                        | Ford Motor Credit Co. LLC 5.125 06/16/2025                             | CUSIP: 345397A60<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   61494000 | PA      | $59116740.35   | 0.10%             | 2025-06-16      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                        | Ford Motor Credit Co. LLC 3.375 11/13/2025                             | CUSIP: 345397B28<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |  219940000 | PA      | $198828584.03  | 0.34%             | 2025-11-13      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                        | Ford Motor Credit Co. LLC 2.70 08/10/2026                              | CUSIP: 345397B77<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |  226026000 | PA      | $196280978.40  | 0.34%             | 2026-08-10      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                        | Ford Motor Credit Co. LLC 4.95 05/28/2027                              | CUSIP: 345397C27<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   63225000 | PA      | $58982602.50   | 0.10%             | 2027-05-28      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                        | Ford Motor Credit Co. LLC 7.35 11/04/2027                              | CUSIP: 345397C35<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   73750000 | PA      | $75571625.00   | 0.13%             | 2027-11-04      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                        | Ford Motor Credit Co. LLC 4.375 08/06/2023                             | CUSIP: 345397WK5<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |  131856000 | PA      | $130332345.90  | 0.22%             | 2023-08-06      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                        | Ford Motor Credit Co. LLC 4.134 08/04/2025                             | CUSIP: 345397XL2<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   39675000 | PA      | $37135415.95   | 0.06%             | 2025-08-04      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                        | Ford Motor Credit Co. LLC 4.389 01/08/2026                             | CUSIP: 345397XU2<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   29365000 | PA      | $27352322.90   | 0.05%             | 2026-01-08      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                        | Ford Motor Credit Co. LLC 3.81 01/09/2024                              | CUSIP: 345397YG2<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   43414000 | PA      | $42221324.51   | 0.07%             | 2024-01-09      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                        | Ford Motor Credit Co. LLC 4.14 02/15/2023                              | CUSIP: 345397ZB2<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |  154061000 | PA      | $153290695.00  | 0.26%             | 2023-02-15      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                        | Ford Motor Credit Co. LLC 4.542 08/01/2026                             | CUSIP: 345397ZW6<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   22235000 | PA      | $20487440.18   | 0.04%             | 2026-08-01      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                        | Ford Motor Credit Co. LLC 4.063 11/01/2024                             | CUSIP: 345397ZX4<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |  139720000 | PA      | $134141245.87  | 0.23%             | 2024-11-01      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust 2017-4       | Seasoned Credit Risk Transfer Trust 2017-4 4.50 06/01/2057             | CUSIP: 35563PCS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10486726 | PA      | $10219981.32   | 0.02%             | 2057-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 7.50 12/01/2023                                             | CUSIP: 36225AAW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        442 | PA      | $442.28        | 0.00%             | 2023-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 7.50 05/01/2025                                             | CUSIP: 36225AEL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17474 | PA      | $17464.37      | 0.00%             | 2025-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 7.50 11/01/2024                                             | CUSIP: 36225BPE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31864 | PA      | $31998.70      | 0.00%             | 2024-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 7.00 05/01/2028                                             | CUSIP: 36225BTK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      41658 | PA      | $42046.98      | 0.00%             | 2028-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 4.00 01/01/2035                                             | CUSIP: 3622A2TT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2441142 | PA      | $2329986.49    | 0.00%             | 2035-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                        | GSMPS Mortgage Loan Trust 8.50 06/01/2034                              | CUSIP: 36242DJU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1896561 | PA      | $1836785.75    | 0.00%             | 2034-06-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GE HealthCare Technologies, Inc.                 | GE HealthCare Technologies, Inc. 5.857 03/15/2030                      | CUSIP: 36267VAG8<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |   66875000 | PA      | $68437315.03   | 0.12%             | 2030-03-15      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| GE HealthCare Technologies, Inc.                 | GE HealthCare Technologies, Inc. 5.905 11/22/2032                      | CUSIP: 36267VAJ2<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |  192050000 | PA      | $199001873.91  | 0.34%             | 2032-11-22      | Fixed         | 5.91%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc.                        | Goldman Sachs Group, Inc. 3.615 03/15/2028                             | CUSIP: 38141GZR8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  533100000 | PA      | $496562173.63  | 0.85%             | 2028-03-15      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 3.70783 12/20/2067                                          | CUSIP: 38375U2C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17767674 | PA      | $17457223.07   | 0.03%             | 2067-12-20      | Floating      | 3.71%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 0.60588 01/20/2068                                          | CUSIP: 38375U3Y4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9882238 | PA      | $9693162.75    | 0.02%             | 2068-01-20      | Floating      | 0.61%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 0.60588 12/20/2067                                          | CUSIP: 38375U4K3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22159869 | PA      | $21754152.92   | 0.04%             | 2067-12-20      | Floating      | 0.61%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 0.68313 02/20/2068                                          | CUSIP: 38375U5E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   42700173 | PA      | $41327751.31   | 0.07%             | 2068-02-20      | Floating      | 0.68%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 0.66313 01/20/2068                                          | CUSIP: 38375U5V8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   27061746 | PA      | $26557991.97   | 0.05%             | 2068-01-20      | Floating      | 0.66%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 0.64313 12/20/2067                                          | CUSIP: 38375U6B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   30615986 | PA      | $29857441.27   | 0.05%             | 2067-12-20      | Floating      | 0.64%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 0.64313 01/20/2068                                          | CUSIP: 38375U6D7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   57398158 | PA      | $56038430.42   | 0.10%             | 2068-01-20      | Floating      | 0.64%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 0.73313 02/20/2068                                          | CUSIP: 38375U6S4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   20375020 | PA      | $19903093.59   | 0.03%             | 2068-02-20      | Floating      | 0.73%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 0.68313 02/20/2068                                          | CUSIP: 38375U7L8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   26519763 | PA      | $25797942.38   | 0.04%             | 2068-02-20      | Floating      | 0.68%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 2.82857 06/20/2067                                          | CUSIP: 38375UB33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   56277098 | PA      | $55212126.71   | 0.10%             | 2067-06-20      | Floating      | 2.83%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 3.76429 08/20/2067                                          | CUSIP: 38375UC81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13547503 | PA      | $13311126.26   | 0.02%             | 2067-08-20      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 3.97771 09/20/2067                                          | CUSIP: 38375UK66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   39032122 | PA      | $38372155.11   | 0.07%             | 2067-09-20      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 4.41157 09/20/2067                                          | CUSIP: 38375UK90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18127888 | PA      | $17932527.55   | 0.03%             | 2067-09-20      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 4.12257 10/20/2067                                          | CUSIP: 38375UM56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   27209809 | PA      | $26783393.14   | 0.05%             | 2067-10-20      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 4.43943 10/20/2067                                          | CUSIP: 38375UP87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   90984670 | PA      | $89515859.25   | 0.15%             | 2067-10-20      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 4.43943 10/20/2067                                          | CUSIP: 38375UQ29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   43447651 | PA      | $42749621.22   | 0.07%             | 2067-10-20      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 3.84136 10/20/2067                                          | CUSIP: 38375UQ52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19301463 | PA      | $19005096.77   | 0.03%             | 2067-10-20      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 4.18573 10/20/2064                                          | CUSIP: 38375UQC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4750793 | PA      | $4660171.88    | 0.01%             | 2064-10-20      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 3.93344 11/20/2067                                          | CUSIP: 38375UW22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10123942 | PA      | $9981938.70    | 0.02%             | 2067-11-20      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 5.00057 11/20/2067                                          | CUSIP: 38375UY20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13026420 | PA      | $12851060.53   | 0.02%             | 2067-11-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 5.00057 11/20/2067                                          | CUSIP: 38375UY53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   76009915 | PA      | $74855559.98   | 0.13%             | 2067-11-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 0.75588 01/20/2067                                          | CUSIP: 38375UYF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   56873195 | PA      | $56216156.36   | 0.10%             | 2067-01-20      | Floating      | 0.76%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 4.21105 12/20/2066                                          | CUSIP: 38375UYH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7729257 | PA      | $7644304.14    | 0.01%             | 2066-12-20      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 0.76588 01/20/2067                                          | CUSIP: 38375UYL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22464962 | PA      | $22200794.30   | 0.04%             | 2067-01-20      | Floating      | 0.77%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 3.55916 12/20/2067                                          | CUSIP: 38375UZ29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19410856 | PA      | $19096731.81   | 0.03%             | 2067-12-20      | Floating      | 3.56%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 1.51829 04/20/2067                                          | CUSIP: 38375UZX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14186593 | PA      | $13928703.87   | 0.02%             | 2067-04-20      | Floating      | 1.52%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 1.19786 02/20/2067                                          | CUSIP: 38376R2E5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9282359 | PA      | $9084795.47    | 0.02%             | 2067-02-20      | Floating      | 1.20%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 2.37157 05/20/2067                                          | CUSIP: 38376R2R6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23938390 | PA      | $23508545.37   | 0.04%             | 2067-05-20      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 2.47157 05/20/2067                                          | CUSIP: 38376R3U8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12071021 | PA      | $11882654.36   | 0.02%             | 2067-05-20      | Floating      | 2.47%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 2.92857 06/20/2067                                          | CUSIP: 38376R5R3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13024297 | PA      | $12823066.07   | 0.02%             | 2067-06-20      | Floating      | 2.93%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 3.95771 09/20/2067                                          | CUSIP: 38376R7F7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13858789 | PA      | $13631111.11   | 0.02%             | 2067-09-20      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 3.34041 04/20/2065                                          | CUSIP: 38376RAG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6850892 | PA      | $6732124.84    | 0.01%             | 2065-04-20      | Floating      | 3.34%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 4.59157 10/20/2066                                          | CUSIP: 38376RB70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   29885476 | PA      | $29517385.49   | 0.05%             | 2066-10-20      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 4.64157 11/20/2066                                          | CUSIP: 38376RD94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13679107 | PA      | $13499678.47   | 0.02%             | 2066-11-20      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 4.44157 07/20/2065                                          | CUSIP: 38376REZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4437282 | PA      | $4372938.48    | 0.01%             | 2065-07-20      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 4.44157 08/20/2065                                          | CUSIP: 38376RGB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4165322 | PA      | $4098199.75    | 0.01%             | 2065-08-20      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 4.38078 09/20/2065                                          | CUSIP: 38376RHD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     940093 | PA      | $923425.07     | 0.00%             | 2065-09-20      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 3.84845 12/20/2066                                          | CUSIP: 38376RK54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17798967 | PA      | $17627043.51   | 0.03%             | 2066-12-20      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 4.49964 11/20/2065                                          | CUSIP: 38376RPT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17707931 | PA      | $17436167.29   | 0.03%             | 2065-11-20      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 0.75588 01/20/2067                                          | CUSIP: 38376RS56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   59047771 | PA      | $58432694.38   | 0.10%             | 2067-01-20      | Floating      | 0.76%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 3.74927 04/20/2066                                          | CUSIP: 38376RTA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12536161 | PA      | $12391431.81   | 0.02%             | 2066-04-20      | Floating      | 3.75%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 3.10599 03/20/2066                                          | CUSIP: 38376RTC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10779369 | PA      | $10621923.60   | 0.02%             | 2066-03-20      | Floating      | 3.11%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 1.14786 03/20/2067                                          | CUSIP: 38376RY67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2116739 | PA      | $2077742.19    | 0.00%             | 2067-03-20      | Floating      | 1.15%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 4.62157 09/20/2066                                          | CUSIP: 38376RZN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5896114 | PA      | $5833102.01    | 0.01%             | 2066-09-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 4.00771 09/20/2066                                          | CUSIP: 38376RZY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10010848 | PA      | $9855529.75    | 0.02%             | 2066-09-20      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 2.23052 03/20/2070                                          | CUSIP: 38380L5R0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   69799991 | PA      | $66719563.78   | 0.11%             | 2070-03-20      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 0.98786 02/20/2068                                          | CUSIP: 38380LAC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   30450711 | PA      | $29668861.16   | 0.05%             | 2068-02-20      | Floating      | 0.99%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 1.00786 03/20/2068                                          | CUSIP: 38380LAE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7833661 | PA      | $7550299.06    | 0.01%             | 2068-03-20      | Floating      | 1.01%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 1.01786 02/20/2068                                          | CUSIP: 38380LAY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   29234343 | PA      | $28510489.29   | 0.05%             | 2068-02-20      | Floating      | 1.02%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 1.26829 03/20/2068                                          | CUSIP: 38380LBA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   33956956 | PA      | $33157310.00   | 0.06%             | 2068-03-20      | Floating      | 1.27%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 1.23829 04/20/2068                                          | CUSIP: 38380LBC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12950789 | PA      | $12426025.51   | 0.02%             | 2068-04-20      | Floating      | 1.24%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 1.26829 04/20/2068                                          | CUSIP: 38380LBJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   21892413 | PA      | $21065075.07   | 0.04%             | 2068-04-20      | Floating      | 1.27%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 1.24829 03/20/2068                                          | CUSIP: 38380LBQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9830935 | PA      | $9548301.16    | 0.02%             | 2068-03-20      | Floating      | 1.25%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 1.26829 04/20/2068                                          | CUSIP: 38380LBU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22513640 | PA      | $21636995.08   | 0.04%             | 2068-04-20      | Floating      | 1.27%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 2.21157 05/20/2068                                          | CUSIP: 38380LCD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22080870 | PA      | $21336808.87   | 0.04%             | 2068-05-20      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 4.44157 09/20/2069                                          | CUSIP: 38380LE74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22014759 | PA      | $21228131.87   | 0.04%             | 2069-09-20      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 2.77857 06/20/2068                                          | CUSIP: 38380LET6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   20643252 | PA      | $20066779.34   | 0.03%             | 2068-06-20      | Floating      | 2.78%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 2.82543 02/20/2068                                          | CUSIP: 38380LFG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15403415 | PA      | $15040547.91   | 0.03%             | 2068-02-20      | Floating      | 2.83%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 3.02543 07/20/2068                                          | CUSIP: 38380LFV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   20937531 | PA      | $20386802.40   | 0.04%             | 2068-07-20      | Floating      | 3.03%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 3.64144 10/20/2069                                          | CUSIP: 38380LG31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10742470 | PA      | $10597945.51   | 0.02%             | 2069-10-20      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 3.82771 08/20/2068                                          | CUSIP: 38380LJJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19605477 | PA      | $19184222.38   | 0.03%             | 2068-08-20      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 3.77201 10/20/2069                                          | CUSIP: 38380LL84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17358422 | PA      | $17117749.10   | 0.03%             | 2069-10-20      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 4.30943 10/20/2068                                          | CUSIP: 38380LLV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   36999951 | PA      | $36045962.73   | 0.06%             | 2068-10-20      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 2.51893 11/20/2068                                          | CUSIP: 38380LMC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16987630 | PA      | $16488596.30   | 0.03%             | 2068-11-20      | Floating      | 2.52%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 5.08057 11/20/2068                                          | CUSIP: 38380LMP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   21277479 | PA      | $21012008.75   | 0.04%             | 2068-11-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 3.59718 11/20/2069                                          | CUSIP: 38380LN58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18295845 | PA      | $17705591.56   | 0.03%             | 2069-11-20      | Floating      | 3.60%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 4.49157 11/20/2069                                          | CUSIP: 38380LN90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22750625 | PA      | $22161547.61   | 0.04%             | 2069-11-20      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 3.9105 06/20/2068                                           | CUSIP: 38380LNG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23457050 | PA      | $22975408.96   | 0.04%             | 2068-06-20      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 4.07883 11/20/2068                                          | CUSIP: 38380LNN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   21477086 | PA      | $21033152.55   | 0.04%             | 2068-11-20      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 3.78319 11/20/2069                                          | CUSIP: 38380LP64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13899912 | PA      | $13481525.73   | 0.02%             | 2069-11-20      | Floating      | 3.78%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 1.34786 02/20/2069                                          | CUSIP: 38380LQU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17275942 | PA      | $16999141.53   | 0.03%             | 2069-02-20      | Floating      | 1.35%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 0.99786 02/20/2068                                          | CUSIP: 38380VNX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2153616 | PA      | $2100291.85    | 0.00%             | 2068-02-20      | Floating      | 1.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 0.98786 03/20/2068                                          | CUSIP: 38380VPE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   49770783 | PA      | $48566693.50   | 0.08%             | 2068-03-20      | Floating      | 0.99%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 0.98786 03/20/2068                                          | CUSIP: 38380VPG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17037204 | PA      | $16429190.94   | 0.03%             | 2068-03-20      | Floating      | 0.99%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 3.88032 11/20/2069                                          | CUSIP: 38382AJ63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   67542319 | PA      | $65073107.05   | 0.11%             | 2069-11-20      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 5.28057 11/20/2069                                          | CUSIP: 38382AL94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   34755710 | PA      | $34215328.15   | 0.06%             | 2069-11-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 3.97444 09/20/2071                                          | CUSIP: 38382YGN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7044946 | PA      | $6876801.07    | 0.01%             | 2071-09-20      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 3.5782 11/20/2071                                           | CUSIP: 38382YHE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   36708552 | PA      | $35889378.56   | 0.06%             | 2071-11-20      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 4.64571 12/20/2071                                          | CUSIP: 38382YKG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   40670036 | PA      | $39752275.62   | 0.07%             | 2071-12-20      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 0.88313 02/20/2067                                          | CUSIP: 38382YMF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   35236958 | PA      | $34648941.35   | 0.06%             | 2067-02-20      | Floating      | 0.88%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 0.83313 02/20/2067                                          | CUSIP: 38382YMH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   35038979 | PA      | $34411160.95   | 0.06%             | 2067-02-20      | Floating      | 0.83%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 4.64571 02/20/2072                                          | CUSIP: 38382YMT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  197646678 | PA      | $194334772.04  | 0.33%             | 2072-02-20      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 4.62571 01/20/2072                                          | CUSIP: 38382YNQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  121783678 | PA      | $120594314.13  | 0.21%             | 2072-01-20      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 0.98786 02/20/2068                                          | CUSIP: 38382YNZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  122509821 | PA      | $118219821.47  | 0.20%             | 2068-02-20      | Floating      | 0.99%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 3.01695 08/20/2068                                          | CUSIP: 38382YPB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   71918032 | PA      | $69553726.78   | 0.12%             | 2068-08-20      | Floating      | 3.02%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 1.79605 02/20/2068                                          | CUSIP: 38382YPX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   43344218 | PA      | $42186407.05   | 0.07%             | 2068-02-20      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 0.64313 01/20/2068                                          | CUSIP: 38382YQA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  100959365 | PA      | $99885672.64   | 0.17%             | 2068-01-20      | Floating      | 0.64%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 0.68313 02/20/2068                                          | CUSIP: 38382YQB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  153525529 | PA      | $151925025.17  | 0.26%             | 2068-02-20      | Floating      | 0.68%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 4.57571 02/20/2072                                          | CUSIP: 38382YQU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   43176832 | PA      | $42552568.08   | 0.07%             | 2072-02-20      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 4.56571 04/20/2072                                          | CUSIP: 38382YQZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   64976957 | PA      | $63350414.78   | 0.11%             | 2072-04-20      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 3.3413 12/20/2071                                           | CUSIP: 38382YSQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  108556023 | PA      | $105692260.78  | 0.18%             | 2071-12-20      | Floating      | 3.34%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 4.14212 03/20/2072                                          | CUSIP: 38382YST1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   51885518 | PA      | $50671396.94   | 0.09%             | 2072-03-20      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 4.77571 05/20/2072                                          | CUSIP: 38382YSV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  101335066 | PA      | $101051551.18  | 0.17%             | 2072-05-20      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 4.77571 05/20/2072                                          | CUSIP: 38382YSX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19070612 | PA      | $18808274.69   | 0.03%             | 2072-05-20      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 4.72571 05/20/2072                                          | CUSIP: 38382YSY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  181367129 | PA      | $178373465.37  | 0.31%             | 2072-05-20      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 4.82571 04/20/2072                                          | CUSIP: 38382YTW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17771565 | PA      | $17695591.16   | 0.03%             | 2072-04-20      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 4.79571 05/20/2072                                          | CUSIP: 38382YTX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   46731663 | PA      | $46492883.04   | 0.08%             | 2072-05-20      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 4.77571 06/20/2072                                          | CUSIP: 38382YUG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  243138424 | PA      | $239714913.24  | 0.41%             | 2072-06-20      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae                                       | Ginnie Mae 4.92571 10/20/2072                                          | CUSIP: 38382YZM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  233742080 | PA      | $233114087.59  | 0.40%             | 2072-10-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| HCA Healthcare, Inc.                             | HCA Healthcare, Inc. 5.25 06/15/2026                                   | CUSIP: 404119BT5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   11007000 | PA      | $10874140.23   | 0.02%             | 2026-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| HCA Healthcare, Inc.                             | HCA Healthcare, Inc. 4.125 06/15/2029                                  | CUSIP: 404119BX6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   88529000 | PA      | $80817337.96   | 0.14%             | 2029-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| HCA Healthcare, Inc.                             | HCA Healthcare, Inc. 5.125 06/15/2039                                  | CUSIP: 404119BY4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   19235000 | PA      | $17211167.35   | 0.03%             | 2039-06-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| HCA Healthcare, Inc.                             | HCA Healthcare, Inc. 3.125 03/15/2027                                  | CUSIP: 404119CD9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   40864000 | PA      | $37152666.55   | 0.06%             | 2027-03-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| HCA Healthcare, Inc.                             | HCA Healthcare, Inc. 3.625 03/15/2032                                  | CUSIP: 404119CF4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |  239507000 | PA      | $202659705.49  | 0.35%             | 2032-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                | HSBC Holdings PLC 6.50 05/02/2036                                      | CUSIP: 404280AG4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  223527000 | PA      | $225634101.85  | 0.39%             | 2036-05-02      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                | HSBC Holdings PLC 6.50 09/15/2037                                      | CUSIP: 404280AH2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  189027000 | PA      | $192731900.85  | 0.33%             | 2037-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                | HSBC Holdings PLC 6.80 06/01/2038                                      | CUSIP: 404280AJ8<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   10598000 | PA      | $10641785.00   | 0.02%             | 2038-06-01      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                | HSBC Holdings PLC 4.30 03/08/2026                                      | CUSIP: 404280AW9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   94285000 | PA      | $91196378.97   | 0.16%             | 2026-03-08      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                | HSBC Holdings PLC 3.95 05/18/2024                                      | CUSIP: 404280BS7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  132355000 | PA      | $131306970.76  | 0.23%             | 2024-05-18      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                | HSBC Holdings PLC 4.95 03/31/2030                                      | CUSIP: 404280CF4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   66043000 | PA      | $62985345.81   | 0.11%             | 2030-03-31      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                | HSBC Holdings PLC 2.848 06/04/2031                                     | CUSIP: 404280CH0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  105275000 | PA      | $84020572.30   | 0.14%             | 2031-06-04      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                | HSBC Holdings PLC 2.357 08/18/2031                                     | CUSIP: 404280CK3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   32125000 | PA      | $24546444.26   | 0.04%             | 2031-08-18      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                | HSBC Holdings PLC 0.976 05/24/2025                                     | CUSIP: 404280CS6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  155274000 | PA      | $143765417.20  | 0.25%             | 2025-05-24      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                | HSBC Holdings PLC 4.762 03/29/2033                                     | CUSIP: 404280DC0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  222917000 | PA      | $193193452.30  | 0.33%             | 2033-03-29      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                | HSBC Holdings PLC 5.21 08/11/2028                                      | CUSIP: 404280DG1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   20125000 | PA      | $19415652.31   | 0.03%             | 2028-08-11      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                | HSBC Holdings PLC 8.113 11/03/2033                                     | CUSIP: 404280DS5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  156250000 | PA      | $165324940.63  | 0.28%             | 2033-11-03      | Variable      | 8.11%                 | No            |                  2 | On Loan: No      |
| State of Illinois GO                             | State of Illinois GO 5.10 06/01/2033                                   | CUSIP: 452151LF8<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |  356600000 | PA      | $342242891.74  | 0.59%             | 2033-06-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Imperial Brands PLC                              | Imperial Brands PLC 3.50 07/26/2026                                    | CUSIP: 45262BAB9<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |    2150000 | PA      | $1971855.21    | 0.00%             | 2026-07-26      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Imperial Brands PLC                              | Imperial Brands PLC 3.875 07/26/2029                                   | CUSIP: 45262BAC7<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |  210950000 | PA      | $180396316.32  | 0.31%             | 2029-07-26      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Imperial Brands PLC                              | Imperial Brands PLC 6.125 07/27/2027                                   | CUSIP: 45262BAF0<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |   83200000 | PA      | $82797624.83   | 0.14%             | 2027-07-27      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Imperial Brands PLC                              | Imperial Brands PLC 4.25 07/21/2025                                    | CUSIP: 453140AF2<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |  597942000 | PA      | $571041097.67  | 0.98%             | 2025-07-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                             | JPMorgan Chase & Co. 4.125 12/15/2026                                  | CUSIP: 46625HJZ4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  116877000 | PA      | $112930815.23  | 0.19%             | 2026-12-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                             | JPMorgan Chase & Co. 4.25 10/01/2027                                   | CUSIP: 46625HNJ5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  130835000 | PA      | $126060154.43  | 0.22%             | 2027-10-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                             | JPMorgan Chase & Co. 2.739 10/15/2030                                  | CUSIP: 46647PBE5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    9930000 | PA      | $8327457.38    | 0.01%             | 2030-10-15      | Variable      | 2.74%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                             | JPMorgan Chase & Co. 4.493 03/24/2031                                  | CUSIP: 46647PBJ4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  364895000 | PA      | $340796038.82  | 0.59%             | 2031-03-24      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                             | JPMorgan Chase & Co. 2.522 04/22/2031                                  | CUSIP: 46647PBL9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   67480000 | PA      | $55217997.31   | 0.10%             | 2031-04-22      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                             | JPMorgan Chase & Co. 2.956 05/13/2031                                  | CUSIP: 46647PBP0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  169213000 | PA      | $139424026.02  | 0.24%             | 2031-05-13      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                             | JPMorgan Chase & Co. 4.586 04/26/2033                                  | CUSIP: 46647PDC7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   47740000 | PA      | $44195931.83   | 0.08%             | 2033-04-26      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                             | JPMorgan Chase & Co. 5.717 09/14/2033                                  | CUSIP: 46647PDK9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  124225000 | PA      | $121250239.83  | 0.21%             | 2033-09-14      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                              | Kinder Morgan, Inc. 6.50 02/01/2037                                    | CUSIP: 494550AV8<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |   50356000 | PA      | $50737174.78   | 0.09%             | 2037-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                              | Kinder Morgan, Inc. 6.95 01/15/2038                                    | CUSIP: 494550AW6<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |  106964000 | PA      | $113169681.18  | 0.19%             | 2038-01-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                              | Kinder Morgan, Inc. 6.50 09/01/2039                                    | CUSIP: 494550BD7<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |   71826000 | PA      | $72383451.64   | 0.12%             | 2039-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                              | Kinder Morgan, Inc. 5.00 08/15/2042                                    | CUSIP: 494550BN5<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |   77997000 | PA      | $66759863.79   | 0.11%             | 2042-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                              | Kinder Morgan, Inc. 5.00 03/01/2043                                    | CUSIP: 494550BP0<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |   73148000 | PA      | $62478909.95   | 0.11%             | 2043-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                              | Kinder Morgan, Inc. 5.50 03/01/2044                                    | CUSIP: 494550BU9<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |   81454000 | PA      | $73655313.02   | 0.13%             | 2044-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                              | Kinder Morgan, Inc. 5.40 09/01/2044                                    | CUSIP: 494550BW5<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |   68607000 | PA      | $61643587.09   | 0.11%             | 2044-09-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                              | Kinder Morgan, Inc. 5.55 06/01/2045                                    | CUSIP: 49456BAH4<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |   10200000 | PA      | $9300476.08    | 0.02%             | 2045-06-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                              | Kinder Morgan, Inc. 5.20 03/01/2048                                    | CUSIP: 49456BAQ4<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |   21247000 | PA      | $18332775.72   | 0.03%             | 2048-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                              | Kinder Morgan, Inc. 4.80 02/01/2033                                    | CUSIP: 49456BAV3<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |   25560000 | PA      | $23697072.18   | 0.04%             | 2033-02-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| LyondellBasell Industries NV                     | LyondellBasell Industries NV 4.20 05/01/2050                           | CUSIP: 50249AAD5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   34310000 | PA      | $25367422.39   | 0.04%             | 2050-05-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group PLC                         | Lloyds Banking Group PLC 4.582 12/10/2025                              | CUSIP: 539439AM1<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   65106000 | PA      | $63041969.87   | 0.11%             | 2025-12-10      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group PLC                         | Lloyds Banking Group PLC 7.953 11/15/2033                              | CUSIP: 539439AW9<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   89700000 | PA      | $94947576.48   | 0.16%             | 2033-11-15      | Variable      | 7.95%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group PLC                         | Lloyds Banking Group PLC 4.50 11/04/2024                               | CUSIP: 53944YAA1<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |  216152000 | PA      | $210934992.07  | 0.36%             | 2024-11-04      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group PLC                         | Lloyds Banking Group PLC 4.65 03/24/2026                               | CUSIP: 53944YAB9<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   68328000 | PA      | $65426116.67   | 0.11%             | 2026-03-24      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group PLC                         | Lloyds Banking Group PLC 3.75 03/18/2028                               | CUSIP: 53944YAS2<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |  103660000 | PA      | $95689524.55   | 0.16%             | 2028-03-18      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| L.A. Unified School District GO                  | L.A. Unified School District GO 5.75 07/01/2034                        | CUSIP: 544646XZ0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    6030000 | PA      | $6298827.05    | 0.01%             | 2034-07-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| L.A. Unified School District GO                  | L.A. Unified School District GO 6.758 07/01/2034                       | CUSIP: 544646ZR6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |  183745000 | PA      | $205557093.33  | 0.35%             | 2034-07-01      | Fixed         | 6.76%                 | No            |                  2 | On Loan: No      |
| Macy's, Inc.                                     | Macy's, Inc. 4.50 12/15/2034                                           | CUSIP: 55616XAM9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   11932000 | PA      | $8304314.04    | 0.01%             | 2034-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Macy's, Inc.                                     | Macy's, Inc. 6.70 07/15/2034                                           | CUSIP: 55617LAL6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   55190000 | PA      | $46103518.40   | 0.08%             | 2034-07-15      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| Microchip Technology, Inc.                       | Microchip Technology, Inc. 0.983 09/01/2024                            | CUSIP: 595017BC7<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |   22155000 | PA      | $20514648.45   | 0.04%             | 2024-09-01      | Fixed         | 0.98%                 | No            |                  2 | On Loan: No      |
| Prosus NV                                        | Prosus NV 4.85 07/06/2027                                              | CUSIP: 62856RAD7<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |  195473000 | PA      | $184233302.50  | 0.32%             | 2027-07-06      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| NatWest Group PLC                                | NatWest Group PLC 1.642 06/14/2027                                     | CUSIP: 639057AC2<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |  251357000 | PA      | $217539788.66  | 0.37%             | 2027-06-14      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust (Private Loans)       | Navient Student Loan Trust (Private Loans) 2.74 02/15/2029             | CUSIP: 63939CAB3<br>LEI: 54930094LU45XF2CP718 | Long             | ABS-O            | CORP              | US        |     268034 | PA      | $267801.05     | 0.00%             | 2029-02-15      | Fixed         | 2.74%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                       | Navient Student Loan Trust 4.98871 05/27/2049                          | CUSIP: 63939DAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   19718219 | PA      | $18961323.35   | 0.03%             | 2049-05-27      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                       | Navient Student Loan Trust 5.63871 06/25/2065                          | CUSIP: 63939QAA4<br>LEI: 549300761SV59SBM0Z40 | Long             | ABS-O            | CORP              | US        |  226210478 | PA      | $219184606.55  | 0.38%             | 2065-06-25      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                       | Navient Student Loan Trust 5.43871 12/27/2066                          | CUSIP: 63939RAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  162651781 | PA      | $159745372.48  | 0.28%             | 2066-12-27      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust (Private Loans)       | Navient Student Loan Trust (Private Loans) 2.88 12/16/2058             | CUSIP: 63939XAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5018239 | PA      | $4925812.94    | 0.01%             | 2058-12-16      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                       | Navient Student Loan Trust 5.38871 09/27/2066                          | CUSIP: 63940AAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  119429000 | PA      | $113860622.88  | 0.20%             | 2066-09-27      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                       | Navient Student Loan Trust 5.18871 07/26/2066                          | CUSIP: 63940CAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  275252751 | PA      | $268045505.40  | 0.46%             | 2066-07-26      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                       | Navient Student Loan Trust 5.10871 03/25/2067                          | CUSIP: 63940DAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   96785000 | PA      | $94234163.58   | 0.16%             | 2067-03-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                       | Navient Student Loan Trust 5.08871 02/25/2070                          | CUSIP: 63940EAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  177817800 | PA      | $170837366.52  | 0.29%             | 2070-02-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                       | Navient Student Loan Trust 5.53871 03/25/2066                          | CUSIP: 63940GAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  205385062 | PA      | $198728326.41  | 0.34%             | 2066-03-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                       | Navient Student Loan Trust 5.43871 07/26/2066                          | CUSIP: 63940JAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  308339432 | PA      | $298524278.46  | 0.51%             | 2066-07-26      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                       | Navient Student Loan Trust 5.68871 03/25/2066                          | CUSIP: 63940LAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  150828000 | PA      | $148522126.45  | 0.26%             | 2066-03-25      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                       | Navient Student Loan Trust 5.53871 07/26/2066                          | CUSIP: 63940NAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  157286385 | PA      | $154515502.23  | 0.27%             | 2066-07-26      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                       | Navient Student Loan Trust 5.18871 03/25/2067                          | CUSIP: 63940TAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  137973000 | PA      | $134527993.55  | 0.23%             | 2067-03-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                       | Navient Student Loan Trust 5.06871 06/27/2067                          | CUSIP: 63941NAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  164925173 | PA      | $160440692.62  | 0.28%             | 2067-06-27      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                       | Navient Student Loan Trust 5.38871 02/27/2068                          | CUSIP: 63941RAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   83600152 | PA      | $80421189.57   | 0.14%             | 2068-02-27      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                       | Navient Student Loan Trust 5.21871 07/25/2068                          | CUSIP: 63941VAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   54216132 | PA      | $52747042.81   | 0.09%             | 2068-07-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                       | Navient Student Loan Trust 5.19871 07/25/2068                          | CUSIP: 63941WAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   60531906 | PA      | $58230089.26   | 0.10%             | 2068-07-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                       | Navient Student Loan Trust 5.43871 06/25/2069                          | CUSIP: 63942FAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   37614628 | PA      | $36942007.43   | 0.06%             | 2069-06-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                       | Navient Student Loan Trust 1.04 08/26/2069                             | CUSIP: 63942HAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   55724157 | PA      | $54172082.72   | 0.09%             | 2069-08-26      | Floating      | 1.04%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                       | Navient Student Loan Trust 4.98871 12/26/2069                          | CUSIP: 63942NAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   55450307 | PA      | $53027034.78   | 0.09%             | 2069-12-26      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                       | Navient Student Loan Trust 0.70 02/25/2070                             | CUSIP: 63942QAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   75816036 | PA      | $73620942.15   | 0.13%             | 2070-02-25      | Floating      | 0.70%                 | No            |                  2 | On Loan: No      |
| New Jersey Turnpike Authority RB                 | New Jersey Turnpike Authority RB 7.414 01/01/2040                      | CUSIP: 646139W35<br>LEI: 5493005YN67D71KSMI84 | Long             | DBT              | MUN               | US        |   40655000 | PA      | $50397299.94   | 0.09%             | 2040-01-01      | Fixed         | 7.41%                 | No            |                  2 | On Loan: No      |
| New Jersey Turnpike Authority RB                 | New Jersey Turnpike Authority RB 7.102 01/01/2041                      | CUSIP: 646139X83<br>LEI: 5493005YN67D71KSMI84 | Long             | DBT              | MUN               | US        |  146892000 | PA      | $177124723.87  | 0.30%             | 2041-01-01      | Fixed         | 7.10%                 | No            |                  2 | On Loan: No      |
| NextEra Energy, Inc.                             | NextEra Energy, Inc. 4.255 09/01/2024                                  | CUSIP: 65339KBL3<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   87765000 | PA      | $86573809.54   | 0.15%             | 2024-09-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| NextEra Energy, Inc.                             | NextEra Energy, Inc. 4.625 07/15/2027                                  | CUSIP: 65339KCH1<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |  138275000 | PA      | $135959637.67  | 0.23%             | 2027-07-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Nordstrom, Inc.                                  | Nordstrom, Inc. 6.95 03/15/2028                                        | CUSIP: 655664AH3<br>LEI: 549300S3IZB5P35KNV16 | Long             | DBT              | CORP              | US        |   19907000 | PA      | $18354254.00   | 0.03%             | 2028-03-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corp.                       | Occidental Petroleum Corp. 2.90 08/15/2024                             | CUSIP: 674599CW3<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |  209901000 | PA      | $201055813.84  | 0.35%             | 2024-08-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                     | Oracle Corp. 2.95 04/01/2030                                           | CUSIP: 68389XBV6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |  130520000 | PA      | $111281652.20  | 0.19%             | 2030-04-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                     | Oracle Corp. 3.60 04/01/2040                                           | CUSIP: 68389XBW4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   28275000 | PA      | $20742847.35   | 0.04%             | 2040-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                     | Oracle Corp. 3.60 04/01/2050                                           | CUSIP: 68389XBX2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   32153000 | PA      | $21647543.24   | 0.04%             | 2050-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                     | Oracle Corp. 3.95 03/25/2051                                           | CUSIP: 68389XCA1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   60860000 | PA      | $43359052.76   | 0.07%             | 2051-03-25      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                     | Oracle Corp. 6.90 11/09/2052                                           | CUSIP: 68389XCK9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   59350000 | PA      | $63494087.64   | 0.11%             | 2052-11-09      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                              | Petroleos Mexicanos 6.625 06/15/2035                                   | CUSIP: 706451BG5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |  189761000 | PA      | $137653995.68  | 0.24%             | 2035-06-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                              | Petroleos Mexicanos 6.70 02/16/2032                                    | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |  577531000 | PA      | $453504485.16  | 0.78%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| Petroleo Brasileiro SA                           | Petroleo Brasileiro SA 7.25 03/17/2044                                 | CUSIP: 71647NAK5<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | CORP              | NL        |   18915000 | PA      | $18251483.55   | 0.03%             | 2044-03-17      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Petroleo Brasileiro SA                           | Petroleo Brasileiro SA 6.90 03/19/2049                                 | CUSIP: 71647NBD0<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | CORP              | NL        |  154599000 | PA      | $138749535.26  | 0.24%             | 2049-03-19      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| Petroleo Brasileiro SA                           | Petroleo Brasileiro SA 5.093 01/15/2030                                | CUSIP: 71647NBE8<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | CORP              | NL        |   63555000 | PA      | $59201482.50   | 0.10%             | 2030-01-15      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| Petroleo Brasileiro SA                           | Petroleo Brasileiro SA 6.75 06/03/2050                                 | CUSIP: 71647NBG3<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | CORP              | NL        |  103465000 | PA      | $90307504.94   | 0.16%             | 2050-06-03      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Petroleo Brasileiro SA                           | Petroleo Brasileiro SA 5.60 01/03/2031                                 | CUSIP: 71647NBH1<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | CORP              | NL        |    4141000 | PA      | $3936848.70    | 0.01%             | 2031-01-03      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                              | Petroleos Mexicanos 6.50 06/02/2041                                    | CUSIP: 71654QAZ5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   53502000 | PA      | $34816426.50   | 0.06%             | 2041-06-02      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                              | Petroleos Mexicanos 6.375 01/23/2045                                   | CUSIP: 71654QBR2<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |  135151000 | PA      | $83682782.66   | 0.14%             | 2045-01-23      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                              | Petroleos Mexicanos 6.75 09/21/2047                                    | CUSIP: 71654QCC4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   66966000 | PA      | $42724220.94   | 0.07%             | 2047-09-21      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                              | Petroleos Mexicanos 6.35 02/12/2048                                    | CUSIP: 71654QCL4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   47663000 | PA      | $29134008.75   | 0.05%             | 2048-02-12      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                              | Petroleos Mexicanos 7.69 01/23/2050                                    | CUSIP: 71654QDD1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |  735545000 | PA      | $508922629.29  | 0.88%             | 2050-01-23      | Fixed         | 7.69%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                              | Petroleos Mexicanos 6.95 01/28/2060                                    | CUSIP: 71654QDF6<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   31851000 | PA      | $20130583.68   | 0.03%             | 2060-01-28      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Philip Morris International, Inc.                | Philip Morris International, Inc. 5.625 11/17/2029                     | CUSIP: 718172CW7<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   29005000 | PA      | $29424946.28   | 0.05%             | 2029-11-17      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Philip Morris International, Inc.                | Philip Morris International, Inc. 5.75 11/17/2032                      | CUSIP: 718172CX5<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   33745000 | PA      | $34400537.12   | 0.06%             | 2032-11-17      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Prosus NV                                        | Prosus NV 3.68 01/21/2030                                              | CUSIP: 74365PAA6<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |  209841000 | PA      | $174471573.40  | 0.30%             | 2030-01-21      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| Prosus NV                                        | Prosus NV 4.027 08/03/2050                                             | CUSIP: 74365PAD0<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |    4225000 | PA      | $2635668.10    | 0.00%             | 2050-08-03      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| Prosus NV                                        | Prosus NV 3.061 07/13/2031                                             | CUSIP: 74365PAF5<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |  517884000 | PA      | $399330414.21  | 0.69%             | 2031-07-13      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| Prosus NV                                        | Prosus NV 3.257 01/19/2027                                             | CUSIP: 74365PAG3<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |    7825000 | PA      | $6995212.19    | 0.01%             | 2027-01-19      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| Prosus NV                                        | Prosus NV 4.193 01/19/2032                                             | CUSIP: 74365PAH1<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |   72130000 | PA      | $59714108.74   | 0.10%             | 2032-01-19      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| Prosus NV                                        | Prosus NV 4.987 01/19/2052                                             | CUSIP: 74365PAJ7<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |  349201000 | PA      | $246471796.19  | 0.42%             | 2052-01-19      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| Unum Group                                       | Unum Group 7.25 03/15/2028                                             | CUSIP: 743862AA2<br>LEI: 549300E32YFDO6TZ8R31 | Long             | DBT              | CORP              | US        |   18694000 | PA      | $19641648.77   | 0.03%             | 2028-03-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| RELX PLC                                         | RELX PLC 4.00 03/18/2029                                               | CUSIP: 74949LAC6<br>LEI: 2R15C3RTKJN1RCBOV146 | Long             | DBT              | CORP              | US        |   58740000 | PA      | $54398698.71   | 0.09%             | 2029-03-18      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Rio Oil Finance Trust                            | Rio Oil Finance Trust 9.25 07/06/2024                                  | CUSIP: 76716XAA0<br>LEI: 549300V5D1W52HY8NO65 | Long             | ABS-O            | CORP              | US        |  168306581 | PA      | $169989646.51  | 0.29%             | 2024-07-06      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| Rio Oil Finance Trust                            | Rio Oil Finance Trust 9.75 01/06/2027                                  | CUSIP: 76716XAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  153658049 | PA      | $159036081.02  | 0.27%             | 2027-01-06      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| Rio Oil Finance Trust                            | Rio Oil Finance Trust 8.20 04/06/2028                                  | CUSIP: 76716XAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  176131155 | PA      | $177892466.75  | 0.31%             | 2028-04-06      | Fixed         | 8.20%                 | No            |                  2 | On Loan: No      |
| NatWest Group PLC                                | NatWest Group PLC 6.10 06/10/2023                                      | CUSIP: 780097AY7<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   19542000 | PA      | $19524491.35   | 0.03%             | 2023-06-10      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| NatWest Group PLC                                | NatWest Group PLC 6.00 12/19/2023                                      | CUSIP: 780097AZ4<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |  261772000 | PA      | $263063585.67  | 0.45%             | 2023-12-19      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NatWest Group PLC                                | NatWest Group PLC 5.125 05/28/2024                                     | CUSIP: 780099CH8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   21880000 | PA      | $21665356.76   | 0.04%             | 2024-05-28      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| State Street Institutional US                    | SSC GOVERNMENT MM GVMXX                                                | CUSIP: N/A<br>LEI: 549300BZ5TGIFZUZDZ37       | Long             | STIV             | RF                | US        |  233142379 | NS      | $233142379.14  | 0.40%             |  |  |  | No            |                  1 | On Loan: No      |
| SLM Student Loan Trust                           | SLM Student Loan Trust 4.90843 10/25/2064                              | CUSIP: 78442GLK0<br>LEI: 549300YK6GOQU7FJ5N55 | Long             | ABS-O            | CORP              | US        |   48969893 | PA      | $46988159.59   | 0.08%             | 2064-10-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                           | SLM Student Loan Trust 4.90843 10/25/2064                              | CUSIP: 78442GLL8<br>LEI: 549300YK6GOQU7FJ5N55 | Long             | ABS-O            | CORP              | US        |   21943325 | PA      | $21055314.20   | 0.04%             | 2064-10-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                           | SLM Student Loan Trust 4.98843 01/25/2040                              | CUSIP: 78442GMT0<br>LEI: 549300MMV4PL4CBOVL89 | Long             | ABS-O            | CORP              | US        |   93865010 | PA      | $90029535.40   | 0.15%             | 2040-01-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                           | SLM Student Loan Trust 4.52843 07/25/2040                              | CUSIP: 78442GPH3<br>LEI: 549300L7X3DWAOC00Z83 | Long             | ABS-O            | CORP              | US        |   13626000 | PA      | $12772626.78   | 0.02%             | 2040-07-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                           | SLM Student Loan Trust 4.84843 04/27/2043                              | CUSIP: 78444CAE3<br>LEI: 549300DP3T6QDZHB8271 | Long             | ABS-O            | CORP              | US        |   54949125 | PA      | $52607479.12   | 0.09%             | 2043-04-27      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                           | SLM Student Loan Trust 5.58871 10/25/2034                              | CUSIP: 78446JAB2<br>LEI: 549300GQO6PBOYVGSS10 | Long             | ABS-O            | CORP              | US        |   20004008 | PA      | $19888575.35   | 0.03%             | 2034-10-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust (Private Loans) | SMB Private Education Loan Trust (Private Loans) 2.88 09/15/2034       | CUSIP: 78448WAB1<br>LEI: 5493000RGRVHYZAIY180 | Long             | ABS-O            | CORP              | US        |    8144322 | PA      | $7806702.10    | 0.01%             | 2034-09-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust (Private Loans) | SMB Private Education Loan Trust (Private Loans) 1.07 01/15/2053       | CUSIP: 78448YAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   35598955 | PA      | $30524690.41   | 0.05%             | 2053-01-15      | Fixed         | 1.07%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust (Private Loans) | SMB Private Education Loan Trust (Private Loans) 3.60 01/15/2037       | CUSIP: 78449LAB4<br>LEI: 549300INMCHM7L5O6M41 | Long             | ABS-O            | CORP              | US        |   31728368 | PA      | $30372471.91   | 0.05%             | 2037-01-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust (Private Loans) | SMB Private Education Loan Trust (Private Loans) 3.50 02/15/2036       | CUSIP: 78449PAB5<br>LEI: 549300QHI21JZK7YIR34 | Long             | ABS-O            | CORP              | US        |   43594998 | PA      | $41531429.24   | 0.07%             | 2036-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust (Private Loans) | SMB Private Education Loan Trust (Private Loans) 5.37 10/15/2058       | CUSIP: 78454XAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  201629452 | PA      | $200992181.65  | 0.35%             | 2058-10-15      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| Small Business Admin. - 504 Program              | Small Business Admin. - 504 Program 4.35 07/01/2023                    | CUSIP: 83162CNC3<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |       2419 | PA      | $2412.13       | 0.00%             | 2023-07-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Small Business Admin. - 504 Program              | Small Business Admin. - 504 Program 4.87 12/01/2024                    | CUSIP: 83162CPE7<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |      81420 | PA      | $80865.84      | 0.00%             | 2024-12-01      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| Small Business Admin. - 504 Program              | Small Business Admin. - 504 Program 4.625 02/01/2025                   | CUSIP: 83162CPH0<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |     235843 | PA      | $230736.35     | 0.00%             | 2025-02-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Small Business Admin. - 504 Program              | Small Business Admin. - 504 Program 5.11 04/01/2025                    | CUSIP: 83162CPL1<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |       6426 | PA      | $6296.49       | 0.00%             | 2025-04-01      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| Small Business Admin. - 504 Program              | Small Business Admin. - 504 Program 4.84 05/01/2025                    | CUSIP: 83162CPN7<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |     309789 | PA      | $308041.55     | 0.00%             | 2025-05-01      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| Small Business Admin. - 504 Program              | Small Business Admin. - 504 Program 4.75 07/01/2025                    | CUSIP: 83162CPR8<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |     422480 | PA      | $416875.75     | 0.00%             | 2025-07-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Small Business Admin. - 504 Program              | Small Business Admin. - 504 Program 5.11 08/01/2025                    | CUSIP: 83162CPS6<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |       4131 | PA      | $4091.24       | 0.00%             | 2025-08-01      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| Small Business Admin. - 504 Program              | Small Business Admin. - 504 Program 4.76 09/01/2025                    | CUSIP: 83162CPU1<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |     586115 | PA      | $569587.42     | 0.00%             | 2025-09-01      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| Small Business Admin. - 504 Program              | Small Business Admin. - 504 Program 5.21 01/01/2026                    | CUSIP: 83162CQA4<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |     452287 | PA      | $446589.74     | 0.00%             | 2026-01-01      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Small Business Admin. - 504 Program              | Small Business Admin. - 504 Program 5.35 02/01/2026                    | CUSIP: 83162CQB2<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |     138803 | PA      | $136879.29     | 0.00%             | 2026-02-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Small Business Admin. - 504 Program              | Small Business Admin. - 504 Program 5.57 03/01/2026                    | CUSIP: 83162CQD8<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |     567116 | PA      | $560450.17     | 0.00%             | 2026-03-01      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| Small Business Admin. - 504 Program              | Small Business Admin. - 504 Program 6.07 07/01/2026                    | CUSIP: 83162CQK2<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    1012106 | PA      | $1002785.06    | 0.00%             | 2026-07-01      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| Small Business Admin. - 504 Program              | Small Business Admin. - 504 Program 5.70 08/01/2026                    | CUSIP: 83162CQL0<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |      10338 | PA      | $10301.47      | 0.00%             | 2026-08-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Small Business Admin. - 504 Program              | Small Business Admin. - 504 Program 5.54 09/01/2026                    | CUSIP: 83162CQN6<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |      16388 | PA      | $16376.57      | 0.00%             | 2026-09-01      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| Small Business Admin. - 504 Program              | Small Business Admin. - 504 Program 5.37 10/01/2026                    | CUSIP: 83162CQP1<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |     397049 | PA      | $398387.19     | 0.00%             | 2026-10-01      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| Small Business Admin. - 504 Program              | Small Business Admin. - 504 Program 5.12 12/01/2026                    | CUSIP: 83162CQS5<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |     404317 | PA      | $393470.28     | 0.00%             | 2026-12-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Small Business Admin. - 504 Program              | Small Business Admin. - 504 Program 5.32 01/01/2027                    | CUSIP: 83162CQU0<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    1053755 | PA      | $1046584.04    | 0.00%             | 2027-01-01      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| Small Business Admin. - 504 Program              | Small Business Admin. - 504 Program 5.23 03/01/2027                    | CUSIP: 83162CQX4<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    1524608 | PA      | $1512643.50    | 0.00%             | 2027-03-01      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Small Business Admin. - 504 Program              | Small Business Admin. - 504 Program 5.32 04/01/2027                    | CUSIP: 83162CQY2<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    1093779 | PA      | $1074182.96    | 0.00%             | 2027-04-01      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| Small Business Admin. - 504 Program              | Small Business Admin. - 504 Program 5.82 07/01/2027                    | CUSIP: 83162CRD7<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    1147917 | PA      | $1139694.52    | 0.00%             | 2027-07-01      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust (Private Loans) | SMB Private Education Loan Trust (Private Loans) 2.82 10/15/2035       | CUSIP: 83189DAB6<br>LEI: 549300NWENTZ8X7JUC78 | Long             | ABS-O            | CORP              | US        |   10217539 | PA      | $9727717.70    | 0.02%             | 2035-10-15      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| The Southern Co.                                 | The Southern Co. 4.475 08/01/2024                                      | CUSIP: 842587DC8<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |  118235000 | PA      | $116753572.20  | 0.20%             | 2024-08-01      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| The Southern Co.                                 | The Southern Co. 5.113 08/01/2027                                      | CUSIP: 842587DD6<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |  169325000 | PA      | $168696531.64  | 0.29%             | 2027-08-01      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| The Southern Co.                                 | The Southern Co. 4.00 01/15/2051                                       | CUSIP: 842587DF1<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |  317969000 | PA      | $289351790.00  | 0.50%             | 2051-01-15      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| The Southern Co.                                 | The Southern Co. 3.75 09/15/2051                                       | CUSIP: 842587DJ3<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |  145726000 | PA      | $117666665.63  | 0.20%             | 2051-09-15      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Fixed Income Clearing Corporation                | FIXED INC CLEARING CORP.REPO                                           | CUSIP: N/A<br>LEI: 549300H47WTHXPU08X20       | Long             | RA               | CORP              | US        |  247467000 | PA      | $247467000.00  | 0.43%             |  |  |  | No            |                  2 | On Loan: No      |
| T-Mobile U.S., Inc.                              | T-Mobile U.S., Inc. 4.375 04/15/2040                                   | CUSIP: 87264AAX3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   51525000 | PA      | $43971413.87   | 0.08%             | 2040-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| T-Mobile U.S., Inc.                              | T-Mobile U.S., Inc. 4.50 04/15/2050                                    | CUSIP: 87264AAZ8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   30705000 | PA      | $25243733.17   | 0.04%             | 2050-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| T-Mobile U.S., Inc.                              | T-Mobile U.S., Inc. 3.875 04/15/2030                                   | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |  186307000 | PA      | $168759628.63  | 0.29%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| T-Mobile U.S., Inc.                              | T-Mobile U.S., Inc. 2.25 02/15/2026                                    | CUSIP: 87264ABR5<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |  109975000 | PA      | $100037768.98  | 0.17%             | 2026-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| T-Mobile U.S., Inc.                              | T-Mobile U.S., Inc. 3.375 04/15/2029                                   | CUSIP: 87264ABV6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |  111580000 | PA      | $98276260.81   | 0.17%             | 2029-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| T-Mobile U.S., Inc.                              | T-Mobile U.S., Inc. 3.50 04/15/2031                                    | CUSIP: 87264ABW4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |  111565000 | PA      | $96369782.29   | 0.17%             | 2031-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| T-Mobile U.S., Inc.                              | T-Mobile U.S., Inc. 2.55 02/15/2031                                    | CUSIP: 87264ACB9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   18595000 | PA      | $15190628.70   | 0.03%             | 2031-02-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| T-Mobile U.S., Inc.                              | T-Mobile U.S., Inc. 3.40 10/15/2052                                    | CUSIP: 87264ACT0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   94060000 | PA      | $63203517.30   | 0.11%             | 2052-10-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| T-Mobile U.S., Inc.                              | T-Mobile U.S., Inc. 5.20 01/15/2033                                    | CUSIP: 87264ACV5<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   27255000 | PA      | $27009264.83   | 0.05%             | 2033-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| T-Mobile U.S., Inc.                              | T-Mobile U.S., Inc. 5.65 01/15/2053                                    | CUSIP: 87264ACW3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   65470000 | PA      | $63367713.13   | 0.11%             | 2053-01-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Telecom Italia SPA                               | Telecom Italia SPA 7.20 07/18/2036                                     | CUSIP: 87927VAR9<br>LEI: 549300777DJZOR5C4L39 | Long             | DBT              | CORP              | LU        |   69968000 | PA      | $56807019.20   | 0.10%             | 2036-07-18      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| Telecom Italia SPA                               | Telecom Italia SPA 7.721 06/04/2038                                    | CUSIP: 87927VAV0<br>LEI: 549300777DJZOR5C4L39 | Long             | DBT              | CORP              | LU        |  175032000 | PA      | $145276560.00  | 0.25%             | 2038-06-04      | Fixed         | 7.72%                 | No            |                  2 | On Loan: No      |
| Telecom Italia SPA                               | Telecom Italia SPA 5.303 05/30/2024                                    | CUSIP: 87927YAA0<br>LEI: 549300W384M3RI3VXU42 | Long             | DBT              | CORP              | IT        |  408704000 | PA      | $387222517.76  | 0.67%             | 2024-05-30      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Charter Communications, Inc.                     | Charter Communications, Inc. 6.55 05/01/2037                           | CUSIP: 88732JAJ7<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |   45728000 | PA      | $43535842.66   | 0.07%             | 2037-05-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Charter Communications, Inc.                     | Charter Communications, Inc. 6.75 06/15/2039                           | CUSIP: 88732JAU2<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |  122432000 | PA      | $115943602.30  | 0.20%             | 2039-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| TC Energy Corp.                                  | TC Energy Corp. 5.625 05/20/2075                                       | CUSIP: 89356BAA6<br>LEI: 549300Y0MFCAXLBWUV51 | Long             | DBT              | CORP              | CA        |  270121000 | PA      | $255264345.00  | 0.44%             | 2075-05-20      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| TC Energy Corp.                                  | TC Energy Corp. 5.875 08/15/2076                                       | CUSIP: 89356BAB4<br>LEI: 549300Y0MFCAXLBWUV51 | Long             | DBT              | CORP              | CA        |  186751000 | PA      | $177523313.75  | 0.31%             | 2076-08-15      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| TC Energy Corp.                                  | TC Energy Corp. 5.30 03/15/2077                                        | CUSIP: 89356BAC2<br>LEI: 549300Y0MFCAXLBWUV51 | Long             | DBT              | CORP              | CA        |  288066000 | PA      | $241975440.00  | 0.42%             | 2077-03-15      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| TC Energy Corp.                                  | TC Energy Corp. 5.50 09/15/2079                                        | CUSIP: 89356BAE8<br>LEI: 549300Y0MFCAXLBWUV51 | Long             | DBT              | CORP              | CA        |  155773000 | PA      | $134466333.23  | 0.23%             | 2079-09-15      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| TC Energy Corp.                                  | TC Energy Corp. 5.60 03/07/2082                                        | CUSIP: 89356BAG3<br>LEI: 549300Y0MFCAXLBWUV51 | Long             | DBT              | CORP              | CA        |   72625000 | PA      | $62094375.00   | 0.11%             | 2082-03-07      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| Unum Group                                       | Unum Group 6.75 12/15/2028                                             | CUSIP: 903192AA0<br>LEI: 549300E32YFDO6TZ8R31 | Long             | DBT              | CORP              | US        |    8052000 | PA      | $8408531.53    | 0.01%             | 2028-12-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Ultrapar Participacoes SA                        | Ultrapar Participacoes SA 5.25 10/06/2026                              | CUSIP: 90401CAA7<br>LEI: 222100CXHWBP3H3SK244 | Long             | DBT              | CORP              | LU        |  152925000 | PA      | $146425687.50  | 0.25%             | 2026-10-06      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Ultrapar Participacoes SA                        | Ultrapar Participacoes SA 5.25 06/06/2029                              | CUSIP: 90401CAC3<br>LEI: 222100CXHWBP3H3SK244 | Long             | DBT              | CORP              | LU        |   50542000 | PA      | $47762190.00   | 0.08%             | 2029-06-06      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| UniCredit SPA                                    | UniCredit SPA 7.296 04/02/2034                                         | CUSIP: 904678AQ2<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |  307671000 | PA      | $281978056.28  | 0.49%             | 2034-04-02      | Variable      | 7.30%                 | No            |                  2 | On Loan: No      |
| UniCredit SPA                                    | UniCredit SPA 5.459 06/30/2035                                         | CUSIP: 904678AS8<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |  174002000 | PA      | $141367592.56  | 0.24%             | 2035-06-30      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| Union Pacific Corp.                              | Union Pacific Corp. 6.061 01/17/2023                                   | CUSIP: 90783RAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1208533 | PA      | $1208181.27    | 0.00%             | 2023-01-17      | Fixed         | 6.06%                 | No            |                  2 | On Loan: No      |
| Union Pacific Corp.                              | Union Pacific Corp. 4.698 01/02/2024                                   | CUSIP: 90783SAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      96738 | PA      | $96509.21      | 0.00%             | 2024-01-02      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Union Pacific Corp.                              | Union Pacific Corp. 5.082 01/02/2029                                   | CUSIP: 90783VAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2012375 | PA      | $2001879.06    | 0.00%             | 2029-01-02      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| Union Pacific Corp.                              | Union Pacific Corp. 5.866 07/02/2030                                   | CUSIP: 90783WAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   14783068 | PA      | $15194866.73   | 0.03%             | 2030-07-02      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| Union Pacific Corp.                              | Union Pacific Corp. 6.176 01/02/2031                                   | CUSIP: 90783XAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   15027678 | PA      | $15471517.79   | 0.03%             | 2031-01-02      | Fixed         | 6.18%                 | No            |                  2 | On Loan: No      |
| Dept. of Veterans Affairs                        | Dept. of Veterans Affairs 9.2925 05/01/2025                            | CUSIP: 911760GK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      13156 | PA      | $13483.14      | 0.00%             | 2025-05-15      | Fixed         | 9.29%                 | No            |                  2 | On Loan: No      |
| Dept. of Veterans Affairs                        | Dept. of Veterans Affairs 7.50 06/01/2027                              | CUSIP: 911760KT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    2099310 | PA      | $2148167.86    | 0.00%             | 2027-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Dept. of Veterans Affairs                        | Dept. of Veterans Affairs 8.2925 03/01/2028                            | CUSIP: 911760LC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      20625 | PA      | $20877.60      | 0.00%             | 2028-03-15      | Variable      | 8.29%                 | No            |                  2 | On Loan: No      |
| Dept. of Veterans Affairs                        | Dept. of Veterans Affairs 8.610138 08/01/2027                          | CUSIP: 911760LS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       2321 | PA      | $2355.69       | 0.00%             | 2027-08-15      | Variable      | 8.61%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Note/Bond                          | U.S. Treasury Note/Bond 2.875 05/15/2052                               | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 1087980000 | PA      | $871743975.00  | 1.50%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Note/Bond                          | U.S. Treasury Note/Bond 3.00 08/15/2052                                | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  435553000 | PA      | $358854838.91  | 0.62%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Note/Bond                          | U.S. Treasury Note/Bond 3.375 08/15/2042                               | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  825735000 | PA      | $738000656.25  | 1.27%             | 2042-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Note/Bond                          | U.S. Treasury Note/Bond 0.25 08/31/2025                                | CUSIP: 91282CAJ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  350000000 | PA      | $314726562.50  | 0.54%             | 2025-08-31      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Note/Bond                          | U.S. Treasury Note/Bond 0.375 04/15/2024                               | CUSIP: 91282CBV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 1000000000 | PA      | $946250000.00  | 1.63%             | 2024-04-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Note/Bond                          | U.S. Treasury Note/Bond 0.25 05/15/2024                                | CUSIP: 91282CCC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 1200000000 | PA      | $1129453128.00 | 1.94%             | 2024-05-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Note/Bond                          | U.S. Treasury Note/Bond 4.25 09/30/2024                                | CUSIP: 91282CFN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  300000000 | PA      | $298464843.00  | 0.51%             | 2024-09-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Note/Bond                          | U.S. Treasury Note/Bond 4.375 10/31/2024                               | CUSIP: 91282CFQ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  300000000 | PA      | $299144532.00  | 0.51%             | 2024-10-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Note/Bond                          | U.S. Treasury Note/Bond 4.50 11/30/2024                                | CUSIP: 91282CFX4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  500000000 | PA      | $500019530.00  | 0.86%             | 2024-11-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                         | UnitedHealth Group, Inc. 4.20 05/15/2032                               | CUSIP: 91324PEJ7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   77400000 | PA      | $73473128.03   | 0.13%             | 2032-05-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                         | UnitedHealth Group, Inc. 4.75 05/15/2052                               | CUSIP: 91324PEK4<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   43445000 | PA      | $40099157.62   | 0.07%             | 2052-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Regents of the UC Medical Center RB              | Regents of the UC Medical Center RB 4.563 05/15/2053                   | CUSIP: 913366KW9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   98330000 | PA      | $86021247.26   | 0.15%             | 2053-05-15      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                     | Verizon Communications, Inc. 4.272 01/15/2036                          | CUSIP: 92343VCV4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |  164899000 | PA      | $146790548.71  | 0.25%             | 2036-01-15      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                     | Verizon Communications, Inc. 3.55 03/22/2051                           | CUSIP: 92343VGB4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   48185000 | PA      | $34324737.50   | 0.06%             | 2051-03-22      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                     | Verizon Communications, Inc. 2.55 03/21/2031                           | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    2525000 | PA      | $2076455.36    | 0.00%             | 2031-03-21      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| VMware, Inc.                                     | VMware, Inc. 0.60 08/15/2023                                           | CUSIP: 928563AG0<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |   50075000 | PA      | $48766758.08   | 0.08%             | 2023-08-15      | Fixed         | 0.60%                 | No            |                  2 | On Loan: No      |
| VMware, Inc.                                     | VMware, Inc. 1.40 08/15/2026                                           | CUSIP: 928563AJ4<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |   83510000 | PA      | $72801224.59   | 0.13%             | 2026-08-15      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| Vodafone Group PLC                               | Vodafone Group PLC 7.00 04/04/2079                                     | CUSIP: 92857WBQ2<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |  241700000 | PA      | $243012431.00  | 0.42%             | 2079-04-04      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                              | BARCLAYS CAPITAL INC. REPO 4.27 20230103 UST                           | CUSIP: N/A<br>LEI: N/A                        | Long             | RA               | CORP              | GB        |   83000000 | PA      | $83000000.00   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                              | RBC CAPITAL MARKETS, LLC                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | RA               | CORP              | CA        |  235000000 | PA      | $235000000.00  | 0.40%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                              | STANDARD CHARTERED SECURITIES NORTH AMERICA LLC REPO 4.26 20230103 UST | CUSIP: N/A<br>LEI: N/A                        | Long             | RA               | CORP              | GB        |   87000000 | PA      | $87000000.00   | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                | Wells Fargo & Co. 4.10 06/03/2026                                      | CUSIP: 94974BFY1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  128880000 | PA      | $124788286.83  | 0.21%             | 2026-06-03      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                | Wells Fargo & Co. 4.30 07/22/2027                                      | CUSIP: 94974BGL8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  157825000 | PA      | $151879250.88  | 0.26%             | 2027-07-22      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                | Wells Fargo & Co. 2.879 10/30/2030                                     | CUSIP: 95000U2G7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   46670000 | PA      | $39641715.48   | 0.07%             | 2030-10-30      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                | Wells Fargo & Co. 2.572 02/11/2031                                     | CUSIP: 95000U2J1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   43705000 | PA      | $36190636.33   | 0.06%             | 2031-02-11      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                | Wells Fargo & Co. 5.013 04/04/2051                                     | CUSIP: 95000U2M4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  123387000 | PA      | $108688614.93  | 0.19%             | 2051-04-04      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                | Wells Fargo & Co. 3.068 04/30/2041                                     | CUSIP: 95000U2Q5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   39200000 | PA      | $27960988.38   | 0.05%             | 2041-04-30      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                | Wells Fargo & Co. 4.897 07/25/2033                                     | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  105129000 | PA      | $99823467.37   | 0.17%             | 2033-07-25      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| The Williams Companies, Inc.                     | The Williams Companies, Inc. 3.50 11/15/2030                           | CUSIP: 969457BX7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |  109165000 | PA      | $95440653.94   | 0.16%             | 2030-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Zoetis, Inc.                                     | Zoetis, Inc. 4.50 11/13/2025                                           | CUSIP: 98978VAK9<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |  101339000 | PA      | $100962523.59  | 0.17%             | 2025-11-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fixed Income Clearing Corporation                | FIXED INC CLEARING CORP.REPO                                           | CUSIP: N/A<br>LEI: 549300H47WTHXPU08X20       | Long             | RA               | CORP              | US        |  610000000 | PA      | $610000000.00  | 1.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                              | RBC CAPITAL MARKETS, LLC                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | RA               | CORP              | CA        |   83000000 | PA      | $83000000.00   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-27

**Name of Applicant:** Dodge & Cox Funds

**Signature:** Shelly Chu

**Name of Signer:** Shelly Chu

**Title:** Treasurer