# EDGAR Filing Document

**Accession Number:** 0000906185
**File Stem:** 0001741773-23-000818
**Filing Date:** 2023-3
**Character Count:** 264088
**Document Hash:** bfe464ac5dc4f89cd4a0ec47aa1bb4b0
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001741773-23-000818.hdr.sgml**: 20230301

**ACCESSION NUMBER**: 0001741773-23-000818

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230301

**DATE AS OF CHANGE**: 20230301

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** JANUS ASPEN SERIES
- **CENTRAL INDEX KEY:** 0000906185
- **IRS NUMBER:** 841235540
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07736
- **FILM NUMBER:** 23691690

**BUSINESS ADDRESS:**
- **STREET 1:** 151 DETROIT STREET
- **CITY:** DENVER
- **STATE:** CO
- **ZIP:** 80206
- **BUSINESS PHONE:** 3033333863

**MAIL ADDRESS:**
- **STREET 1:** 151 DETROIT STREET
- **CITY:** DENVER
- **STATE:** CO
- **ZIP:** 80206

## Series and Classes Contracts Data

### Janus Henderson Balanced Portfolio (Series ID: S000010394)

| Class ID   | Class Name           | Ticker Symbol   |
|:---|:---|:---|
| C000028716 | Service Shares       |  |
| C000028717 | Institutional Shares | JABLX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** JANUS ASPEN SERIES

- **b. Investment Company Act file number:** 811-07736

- **c. CIK number of Registrant:** 0000906185

- **d. LEI of Registrant:** 5C1H794C69TI10A0XC04

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

  - **Street Address 1:** 151 DETROIT STREET

  - **City:** DENVER

  - **State:** CO

  - **Foreign country:** US

  - **Zip / Postal Code:** 80206

  - **Telephone number:** 3033333863

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

- **a. Name of Series:** Janus Henderson Balanced Portfolio

- **b. EDGAR series identifier (if any):** S000010394

- **c. LEI of Series:** D7E5UNC2PKDO953HWN12

**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:** $7889488735.00

**Total Liabilities:** $415814742.00

**Net Assets:** $7473673993.00

**Cash Not Reported:** $7221849.00

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -3557.23363 | **1-Year:** -153852.69916 | **5-Year:** -746807.63914 | **10-Year:** -638017.84476 | **30-Year:** -181868.30182

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

- **3-Month:** -1297.41945 | **1-Year:** -13494.5134 | **5-Year:** -23042.21751 | **10-Year:** -5320.94014 | **30-Year:** -7.12309

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000028717 | -3.26%               | 4.95%                | 3.94%                |
| Class ID C000028716 | -3.30%               | 4.93%                | 3.92%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $29743281.00             | $-293324156.00                             |
| Month 2  | $-59454413.00            | $402279971.00                              |
| Month 3  | $-18334156.00            | $293539810.00                              |

**Designated Index Information**

- **Index Name:** Balanced Index (55% SPX / 45% USAGG)

- **Index Identifier:** IX55SPX45USAGG

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Abbott Laboratories            | Abbott Laboratories                                                             | CUSIP: 002824100<br>LEI: HQD377W2YR662HK5JX27 | Long             | EC               | CORP              | US        |    590210 | NS      | $64799156.00  | 0.87%             |  |  |  | No            |                  1 | On Loan: No      |
| AbbVie Inc                     | AbbVie Inc                                                                      | CUSIP: 00287Y109<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | EC               | CORP              | US        |    613405 | NS      | $99132382.00  | 1.33%             |  |  |  | No            |                  1 | On Loan: No      |
| Advanced Micro Devices Inc     | Advanced Micro Devices Inc                                                      | CUSIP: 007903107<br>LEI: R2I72C950HOYXII45366 | Long             | EC               | CORP              | US        |    404061 | NS      | $26171031.00  | 0.35%             |  |  |  | No            |                  1 | On Loan: No      |
| Alphabet Inc                   | Alphabet Inc - Class C                                                          | CUSIP: 02079K107<br>LEI: 5493006MHB84DD0ZWV18 | Long             | EC               | CORP              | US        |   1596887 | NS      | $141691784.00 | 1.90%             |  |  |  | No            |                  1 | On Loan: No      |
| Amazon.com Inc                 | Amazon.com Inc                                                                  | CUSIP: 023135106<br>LEI: ZXTILKJKG63JELOEG630 | Long             | EC               | CORP              | US        |    663851 | NS      | $55763484.00  | 0.75%             |  |  |  | No            |                  1 | On Loan: No      |
| American Express Co            | American Express Co                                                             | CUSIP: 025816109<br>LEI: R4PP93JZOLY261QX3811 | Long             | EC               | CORP              | US        |    508605 | NS      | $75146389.00  | 1.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Apple Inc                      | Apple Inc                                                                       | CUSIP: 037833100<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | EC               | CORP              | US        |   1557685 | NS      | $202390012.00 | 2.71%             |  |  |  | No            |                  1 | On Loan: No      |
| Bank of America Corp           | Bank of America Corp                                                            | CUSIP: 060505104<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | EC               | CORP              | US        |   2583994 | NS      | $85581881.00  | 1.15%             |  |  |  | No            |                  1 | On Loan: No      |
| Booking Holdings Inc           | Booking Holdings Inc                                                            | CUSIP: 09857L108<br>LEI: FXM8FAOHMYDIPD38UZ17 | Long             | EC               | CORP              | US        |     16182 | NS      | $32611261.00  | 0.44%             |  |  |  | No            |                  1 | On Loan: No      |
| CBRE Group Inc                 | CBRE Group Inc                                                                  | CUSIP: 12504L109<br>LEI: 52990016II9MJ2OSWA10 | Long             | EC               | CORP              | US        |    234794 | NS      | $18069746.00  | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| CME Group Inc                  | CME Group Inc                                                                   | CUSIP: 12572Q105<br>LEI: LCZ7XYGSLJUHFXXNXD88 | Long             | EC               | CORP              | US        |    274913 | NS      | $46229370.00  | 0.62%             |  |  |  | No            |                  1 | On Loan: No      |
| Cadence Design Systems Inc     | Cadence Design Systems Inc                                                      | CUSIP: 127387108<br>LEI: GCT7RXJOGLXPV0NXZY22 | Long             | EC               | CORP              | US        |     96271 | NS      | $15464973.00  | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| Chevron Corp                   | Chevron Corp                                                                    | CUSIP: 166764100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     76180 | NS      | $13673548.00  | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| Cognizant Technology Solutions | Cognizant Technology Solutions Corp                                             | CUSIP: 192446102<br>LEI: 5493006IEVQEFQO40L83 | Long             | EC               | CORP              | US        |    483168 | NS      | $27632378.00  | 0.37%             |  |  |  | No            |                  1 | On Loan: No      |
| Comcast Corp                   | Comcast Corp                                                                    | CUSIP: 20030N101<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | EC               | CORP              | US        |   2258493 | NS      | $78979500.00  | 1.06%             |  |  |  | No            |                  1 | On Loan: No      |
| ConocoPhillips                 | ConocoPhillips                                                                  | CUSIP: 20825C104<br>LEI: WPTL2Z3FIYTHSP5V2253 | Long             | EC               | CORP              | US        |    655443 | NS      | $77342274.00  | 1.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Constellation Brands Inc       | Constellation Brands Inc                                                        | CUSIP: 21036P108<br>LEI: 5493005GKEG8QCVY7037 | Long             | EC               | CORP              | US        |    133676 | NS      | $30979413.00  | 0.41%             |  |  |  | No            |                  1 | On Loan: No      |
| Corning Inc                    | Corning Inc                                                                     | CUSIP: 219350105<br>LEI: 549300X2937PB0CJ7I56 | Long             | EC               | CORP              | US        |    467059 | NS      | $14917864.00  | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| Corteva Inc                    | Corteva Inc                                                                     | CUSIP: 22052L104<br>LEI: 549300WZN9I2QKLS0O94 | Long             | EC               | CORP              | US        |    661981 | NS      | $38911243.00  | 0.52%             |  |  |  | No            |                  1 | On Loan: No      |
| Costco Wholesale Corp          | Costco Wholesale Corp                                                           | CUSIP: 22160K105<br>LEI: 29DX7H14B9S6O3FD6V18 | Long             | EC               | CORP              | US        |     95132 | NS      | $43427758.00  | 0.58%             |  |  |  | No            |                  1 | On Loan: No      |
| Deere & Co                     | Deere & Co                                                                      | CUSIP: 244199105<br>LEI: PWFTNG3EI0Y73OXWDH08 | Long             | EC               | CORP              | US        |    233581 | NS      | $100150190.00 | 1.34%             |  |  |  | No            |                  1 | On Loan: No      |
| Walt Disney Co/The             | Walt Disney Co                                                                  | CUSIP: 254687106<br>LEI: 549300GZKULIZ0WOW665 | Long             | EC               | CORP              | US        |    659693 | NS      | $57314128.00  | 0.77%             |  |  |  | No            |                  1 | On Loan: No      |
| Dollar General Corp            | Dollar General Corp                                                             | CUSIP: 256677105<br>LEI: OPX52SQVOZI8IVSWYU66 | Long             | EC               | CORP              | US        |    279072 | NS      | $68721480.00  | 0.92%             |  |  |  | No            |                  1 | On Loan: No      |
| Edwards Lifesciences Corp      | Edwards Lifesciences Corp                                                       | CUSIP: 28176E108<br>LEI: YA13X31F3V31L8TMPR58 | Long             | EC               | CORP              | US        |    238764 | NS      | $17814182.00  | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| General Dynamics Corp          | General Dynamics Corp                                                           | CUSIP: 369550108<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | EC               | CORP              | US        |    250183 | NS      | $62072904.00  | 0.83%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs Group Inc/The    | Goldman Sachs Group Inc                                                         | CUSIP: 38141G104<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | EC               | CORP              | US        |    116355 | NS      | $39953980.00  | 0.54%             |  |  |  | No            |                  1 | On Loan: No      |
| Hasbro Inc                     | Hasbro Inc                                                                      | CUSIP: 418056107<br>LEI: 549300NUB6D2R1ITYR45 | Long             | EC               | CORP              | US        |    361498 | NS      | $22054993.00  | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| Hershey Co/The                 | Hershey Co                                                                      | CUSIP: 427866108<br>LEI: 21X2CX66SU2BR6QTAD08 | Long             | EC               | CORP              | US        |    168961 | NS      | $39126299.00  | 0.52%             |  |  |  | No            |                  1 | On Loan: No      |
| Hilton Worldwide Holdings Inc  | Hilton Worldwide Holdings Inc                                                   | CUSIP: 43300A203<br>LEI: 549300HVGPK36ICB0B89 | Long             | EC               | CORP              | US        |    515496 | NS      | $65138075.00  | 0.87%             |  |  |  | No            |                  1 | On Loan: No      |
| Home Depot Inc/The             | HOME DEPOT INC                                                                  | CUSIP: 437076102<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | EC               | CORP              | US        |    242188 | NS      | $76497502.00  | 1.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Honeywell International Inc    | Honeywell International Inc                                                     | CUSIP: 438516106<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | EC               | CORP              | US        |    284562 | NS      | $60981637.00  | 0.82%             |  |  |  | No            |                  1 | On Loan: No      |
| Intuitive Surgical Inc         | Intuitive Surgical Inc                                                          | CUSIP: 46120E602<br>LEI: 54930052SRG011710797 | Long             | EC               | CORP              | US        |     86377 | NS      | $22920137.00  | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase & Co            | JPMorgan Chase & Co                                                             | CUSIP: 46625H100<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | EC               | CORP              | US        |    617886 | NS      | $82858513.00  | 1.11%             |  |  |  | No            |                  1 | On Loan: No      |
| KLA Corp                       | KLA Corp                                                                        | CUSIP: 482480100<br>LEI: 549300H0BF5JCG96TJ81 | Long             | EC               | CORP              | US        |     79596 | NS      | $30010080.00  | 0.40%             |  |  |  | No            |                  1 | On Loan: No      |
| L3Harris Technologies Inc      | L3Harris Technologies Inc                                                       | CUSIP: 502431109<br>LEI: 549300UTE50ZMDBG8A20 | Long             | EC               | CORP              | US        |    144764 | NS      | $30141312.00  | 0.40%             |  |  |  | No            |                  1 | On Loan: No      |
| Lam Research Corp              | LAM RESEARCH CORP                                                               | CUSIP: 512807108<br>LEI: 549300I4GMO6D34U1T02 | Long             | EC               | CORP              | US        |    185474 | NS      | $77954722.00  | 1.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Estee Lauder Cos Inc/The       | Estee Lauder Cos Inc                                                            | CUSIP: 518439104<br>LEI: 549300VFZ8XJ9NUPU221 | Long             | EC               | CORP              | US        |     54808 | NS      | $13598413.00  | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| Eli Lilly & Co                 | Eli Lilly & Co                                                                  | CUSIP: 532457108<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | EC               | CORP              | US        |    285955 | NS      | $104613777.00 | 1.40%             |  |  |  | No            |                  1 | On Loan: No      |
| Mastercard Inc                 | Mastercard Inc                                                                  | CUSIP: 57636Q104<br>LEI: AR5L2ODV9HN37376R084 | Long             | EC               | CORP              | US        |    446362 | NS      | $155213458.00 | 2.08%             |  |  |  | No            |                  1 | On Loan: No      |
| McDonald's Corp                | McDonald's Corp                                                                 | CUSIP: 580135101<br>LEI: UE2136O97NLB5BYP9H04 | Long             | EC               | CORP              | US        |    346011 | NS      | $91184279.00  | 1.22%             |  |  |  | No            |                  1 | On Loan: No      |
| Merck & Co Inc                 | Merck & Co Inc                                                                  | CUSIP: 58933Y105<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | EC               | CORP              | US        |    789446 | NS      | $87589034.00  | 1.17%             |  |  |  | No            |                  1 | On Loan: No      |
| Microsoft Corp                 | MICROSOFT CORP                                                                  | CUSIP: 594918104<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | EC               | CORP              | US        |   1361673 | NS      | $326579890.00 | 4.37%             |  |  |  | No            |                  1 | On Loan: No      |
| Monster Beverage Corp          | Monster Beverage Corp                                                           | CUSIP: 61174X109<br>LEI: 52990090AP0E7HCB6F33 | Long             | EC               | CORP              | US        |    673787 | NS      | $68409594.00  | 0.92%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                 | Morgan Stanley                                                                  | CUSIP: 617446448<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | EC               | CORP              | US        |    864694 | NS      | $73516284.00  | 0.98%             |  |  |  | No            |                  1 | On Loan: No      |
| NIKE Inc                       | NIKE Inc - Class B                                                              | CUSIP: 654106103<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | EC               | CORP              | US        |    736019 | NS      | $86121583.00  | 1.15%             |  |  |  | No            |                  1 | On Loan: No      |
| NVIDIA Corp                    | NVIDIA Corp                                                                     | CUSIP: 67066G104<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | EC               | CORP              | US        |    421237 | NS      | $61559575.00  | 0.82%             |  |  |  | No            |                  1 | On Loan: No      |
| Parker-Hannifin Corp           | Parker-Hannifin Corp                                                            | CUSIP: 701094104<br>LEI: 5493002CONDB4N2HKI23 | Long             | EC               | CORP              | US        |     86945 | NS      | $25300995.00  | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| Procter & Gamble Co/The        | Procter & Gamble Co                                                             | CUSIP: 742718109<br>LEI: 2572IBTT8CCZW6AU4141 | Long             | EC               | CORP              | US        |    464243 | NS      | $70360669.00  | 0.94%             |  |  |  | No            |                  1 | On Loan: No      |
| Progressive Corp/The           | Progressive Corp/The                                                            | CUSIP: 743315103<br>LEI: 529900TACNVLY9DCR586 | Long             | EC               | CORP              | US        |    816402 | NS      | $105895503.00 | 1.42%             |  |  |  | No            |                  1 | On Loan: No      |
| Reach Financial LLC            | Reach Financial LLC 2022-2A A                                                   | CUSIP: 75526GAA9<br>LEI: 5967007LIEEXZXK7FS45 | Long             | EC               | CORP              | US        |   2060048 | PA      | $2055802.00   | 0.03%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Rockwell Automation Inc        | Rockwell Automation Inc                                                         | CUSIP: 773903109<br>LEI: VH3R4HHBHH12O0EXZJ88 | Long             | EC               | CORP              | US        |     91033 | NS      | $23447370.00  | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| Charles Schwab Corp/The        | Charles Schwab Corp                                                             | CUSIP: 808513105<br>LEI: 549300VSGCJ7E698NM85 | Long             | EC               | CORP              | US        |    424287 | NS      | $35326136.00  | 0.47%             |  |  |  | No            |                  1 | On Loan: No      |
| Sherwin-Williams Co/The        | Sherwin-Williams Co                                                             | CUSIP: 824348106<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | EC               | CORP              | US        |    107850 | NS      | $25596040.00  | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| Starbucks Corp                 | Starbucks Corp                                                                  | CUSIP: 855244109<br>LEI: OQSJ1DU9TAOC51A47K68 | Long             | EC               | CORP              | US        |    632807 | NS      | $62774454.00  | 0.84%             |  |  |  | No            |                  1 | On Loan: No      |
| Stryker Corp                   | Stryker Corp                                                                    | CUSIP: 863667101<br>LEI: 5493002F0SC4JTBU5137 | Long             | EC               | CORP              | US        |    129652 | NS      | $31698617.00  | 0.42%             |  |  |  | No            |                  1 | On Loan: No      |
| Sysco Corp                     | Sysco Corp                                                                      | CUSIP: 871829107<br>LEI: 5RGWIFLMGH3YS7KWI652 | Long             | EC               | CORP              | US        |    581802 | NS      | $44478763.00  | 0.59%             |  |  |  | No            |                  1 | On Loan: No      |
| TJX Cos Inc/The                | TJX Cos Inc                                                                     | CUSIP: 872540109<br>LEI: V167QI9I69W364E2DY52 | Long             | EC               | CORP              | US        |    776796 | NS      | $61832962.00  | 0.83%             |  |  |  | No            |                  1 | On Loan: No      |
| Texas Instruments Inc          | TEXAS INSTRUMENTS INC                                                           | CUSIP: 882508104<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | EC               | CORP              | US        |    338328 | NS      | $55898552.00  | 0.75%             |  |  |  | No            |                  1 | On Loan: No      |
| Thermo Fisher Scientific Inc   | THERMO FISHER SCIENTIFIC INC                                                    | CUSIP: 883556102<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | EC               | CORP              | US        |    140287 | NS      | $77254648.00  | 1.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Janus Capital Group Inc        | Janus Henderson Cash Liquidity Fund                                             | CUSIP: N/A<br>LEI: 8T2ZO87FU1KVPZIG9I59       | Long             | EC               | PF                | US        | 438511433 | NS      | $438599135.00 | 5.87%             |  |  |  | No            |                  2 | On Loan: No      |
| Union Pacific Corp             | Union Pacific Corp                                                              | CUSIP: 907818108<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | EC               | CORP              | US        |     79505 | NS      | $16463100.00  | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| United Parcel Service Inc      | United Parcel Service Inc                                                       | CUSIP: 911312106<br>LEI: D01LMJZU09ULLNCY6Z23 | Long             | EC               | CORP              | US        |    569158 | NS      | $98942427.00  | 1.32%             |  |  |  | No            |                  1 | On Loan: No      |
| UnitedHealth Group Inc         | UnitedHealth Group Inc                                                          | CUSIP: 91324P102<br>LEI: 549300GHBMY8T5GXDE41 | Long             | EC               | CORP              | US        |    319031 | NS      | $169143856.00 | 2.26%             |  |  |  | No            |                  1 | On Loan: No      |
| Zoetis Inc                     | Zoetis Inc                                                                      | CUSIP: 98978V103<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | EC               | CORP              | US        |    221699 | NS      | $32489988.00  | 0.43%             |  |  |  | No            |                  1 | On Loan: No      |
| Accenture PLC                  | Accenture PLC                                                                   | CUSIP: G1151C101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    241601 | NS      | $64468811.00  | 0.86%             |  |  |  | No            |                  1 | On Loan: No      |
| Medtronic PLC                  | Medtronic PLC                                                                   | CUSIP: G5960L103<br>LEI: 549300GX3ZBSQWUXY261 | Long             | EC               | CORP              | US        |    230906 | NS      | $17946014.00  | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| Trane Technologies PLC         | TRANE TECHNOLOGIES PLC                                                          | CUSIP: G8994E103<br>LEI: 549300BURLR9SLYY2705 | Long             | EC               | CORP              | US        |    185520 | NS      | $31184057.00  | 0.42%             |  |  |  | No            |                  1 | On Loan: No      |
| TE Connectivity Ltd            | TE CONNECTIVITY LTD                                                             | CUSIP: H84989104<br>LEI: 894500ZRIX9K13RHXR17 | Long             | EC               | CORP              | US        |    316133 | NS      | $36292068.00  | 0.49%             |  |  |  | No            |                  1 | On Loan: No      |
| AT&T INC                       | AT&T Inc                                                                        | CUSIP: 00206RLV2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    604000 | PA      | $404276.00    | 0.01%             | 2059-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| AT&T INC                       | AT&T Inc                                                                        | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   3657000 | PA      | $2523086.00   | 0.03%             | 2057-12-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| AGREE LP                       | Agree LP                                                                        | CUSIP: 008513AA1<br>LEI: 549300DXY3G299V1BO77 | Long             | DBT              | CORP              | US        |   2058000 | PA      | $1670657.00   | 0.02%             | 2030-10-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| AGREE LP                       | Agree LP                                                                        | CUSIP: 008513AB9<br>LEI: 549300DXY3G299V1BO77 | Long             | DBT              | CORP              | US        |   3231000 | PA      | $2645643.00   | 0.04%             | 2028-06-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AGREE LP                       | Agree LP                                                                        | CUSIP: 008513AC7<br>LEI: 549300DXY3G299V1BO77 | Long             | DBT              | CORP              | US        |   2424000 | PA      | $1824479.00   | 0.02%             | 2033-06-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                 | Air Lease Corp                                                                  | CUSIP: 00914AAG7<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   2435000 | PA      | $2030724.00   | 0.03%             | 2030-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                 | Air Lease Corp                                                                  | CUSIP: 00914AAM4<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   4823000 | PA      | $4188956.00   | 0.06%             | 2026-08-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO            | American Express Co                                                             | CUSIP: 025816CX5<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   5988000 | PA      | $5755725.00   | 0.08%             | 2033-05-26      | Variable      | 4.99%                 | No            |                  2 | On Loan: No      |
| ANALOG DEVICES INC             | Analog Devices Inc                                                              | CUSIP: 032654AS4<br>LEI: GYVOE5EZ4GDAVTU4CQ61 | Long             | DBT              | CORP              | US        |   2815000 | PA      | $2707451.00   | 0.04%             | 2025-04-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORP              | Ares Capital Corp                                                               | CUSIP: 04010LBD4<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |   5015000 | PA      | $4250324.00   | 0.06%             | 2027-06-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING          | Athene Global Funding                                                           | CUSIP: 04685A3E9<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   9596000 | PA      | $7330907.00   | 0.10%             | 2031-10-04      | Fixed         | 2.65%                 | Yes           |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING          | Athene Global Funding                                                           | CUSIP: 04685A3G4<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   6386000 | PA      | $5273247.00   | 0.07%             | 2029-01-07      | Fixed         | 2.72%                 | Yes           |                  2 | On Loan: No      |
| BANK OF AMERICA CORP           | Bank of America Corp                                                            | CUSIP: 060505ED2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2002000 | PA      | $1939941.00   | 0.03%             | 2099-12-31      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP           | BANK OF AMERICA CORP                                                            | CUSIP: 060505EH3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   7229000 | PA      | $6942449.00   | 0.09%             | 2099-12-31      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP           | Bank of America Corp                                                            | CUSIP: 06051GGL7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   3293000 | PA      | $3047321.00   | 0.04%             | 2028-04-24      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP           | Bank of America Corp                                                            | CUSIP: 06051GHG7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   3294000 | PA      | $3039456.00   | 0.04%             | 2029-03-05      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP           | Bank of America Corp                                                            | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   8374000 | PA      | $6820086.00   | 0.09%             | 2031-04-29      | Variable      | 2.59%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP           | Bank of America Corp                                                            | CUSIP: 06051GJZ3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   7305000 | PA      | $6147114.00   | 0.08%             | 2029-06-14      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP           | Bank of America Corp                                                            | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   9620000 | PA      | $9199827.00   | 0.12%             | 2028-04-27      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP           | Bank of America Corp                                                            | CUSIP: 06051GLC1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   9613000 | PA      | $9925150.00   | 0.13%             | 2028-11-10      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC              | Brown & Brown Inc                                                               | CUSIP: 115236AE1<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |   1924000 | PA      | $1668035.00   | 0.02%             | 2032-03-17      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC              | Brown & Brown Inc                                                               | CUSIP: 115236AF8<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |   5658000 | PA      | $4592734.00   | 0.06%             | 2052-03-17      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                | CVS Health Corp                                                                 | CUSIP: 126650CZ1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   2563000 | PA      | $2300408.00   | 0.03%             | 2048-03-25      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                   | Centene Corp                                                                    | CUSIP: 15135BAR2<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |  16441000 | PA      | $15419409.00  | 0.21%             | 2027-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                   | Centene Corp                                                                    | CUSIP: 15135BAW1<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   5197000 | PA      | $4260237.00   | 0.06%             | 2030-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                   | Centene Corp                                                                    | CUSIP: 15135BAY7<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   4942000 | PA      | $4171295.00   | 0.06%             | 2028-07-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP       | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BA1<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |    936000 | PA      | $844061.00    | 0.01%             | 2045-10-23      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                  | Citigroup Inc                                                                   | CUSIP: 172967GR6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2436000 | PA      | $2373648.00   | 0.03%             | 2099-12-31      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                  | Citigroup Inc                                                                   | CUSIP: 172967HQ7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    555000 | PA      | $523504.00    | 0.01%             | 2099-12-31      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                  | Citigroup Inc                                                                   | CUSIP: 172967JM4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2339000 | PA      | $2106737.00   | 0.03%             | 2099-12-31      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                  | Citigroup Inc                                                                   | CUSIP: 172967LD1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  11561000 | PA      | $10803383.00  | 0.14%             | 2028-01-10      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                  | Citigroup Inc                                                                   | CUSIP: 172967MP3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   6795000 | PA      | $6239825.00   | 0.08%             | 2031-03-31      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                   | Comcast Corp                                                                    | CUSIP: 20030NDH1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   1775000 | PA      | $1463887.00   | 0.02%             | 2040-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| COSTAR GROUP INC               | CoStar Group Inc                                                                | CUSIP: 22160NAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3797000 | PA      | $3100971.00   | 0.04%             | 2030-07-15      | Fixed         | 2.80%                 | Yes           |                  2 | On Loan: No      |
| DUKE ENERGY CORP               | Duke Energy Corp                                                                | CUSIP: 26441CBS3<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   4905000 | PA      | $4719707.00   | 0.06%             | 2028-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| DUQUESNE LIGHT HOLDINGS        | Duquesne Light Holdings Inc                                                     | CUSIP: 266233AJ4<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |   4842000 | PA      | $3787267.00   | 0.05%             | 2032-01-07      | Fixed         | 2.77%                 | Yes           |                  2 | On Loan: No      |
| EQT CORP                       | EQT Corp                                                                        | CUSIP: 26884LAP4<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |   5718000 | PA      | $5690208.00   | 0.08%             | 2025-10-01      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| EQT CORP                       | EQT CORP                                                                        | CUSIP: 26884LAQ2<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |   2465000 | PA      | $2451755.00   | 0.03%             | 2028-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP             | Energy Transfer LP                                                              | CUSIP: 29273VAP5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   4769000 | PA      | $4730514.00   | 0.06%             | 2028-02-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP             | Energy Transfer LP                                                              | CUSIP: 29273VAQ3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   4770000 | PA      | $4666777.00   | 0.06%             | 2033-02-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP             | Energy Transfer Operating LP                                                    | CUSIP: 29278NAF0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    184000 | PA      | $177925.00    | 0.00%             | 2028-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                    | Equinix Inc                                                                     | CUSIP: 29444UBH8<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |   2665000 | PA      | $2120112.00   | 0.03%             | 2030-07-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| FIRST REPUBLIC BANK            | First Republic Bank/CA                                                          | CUSIP: 33616CAC4<br>LEI: YWC0TIKBQM2JV8L4IV08 | Long             | DBT              | CORP              | US        |   1653000 | PA      | $1282727.00   | 0.02%             | 2047-02-13      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FOX CORP                       | Fox Corp                                                                        | CUSIP: 35137LAG0<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |   2592000 | PA      | $2561941.00   | 0.03%             | 2024-01-25      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II        | GLP Capital LP / GLP Financing II Inc                                           | CUSIP: 361841AH2<br>LEI: 2549005PXW31DRW8EC44 | Long             | DBT              | CORP              | US        |   2597000 | PA      | $2547831.00   | 0.03%             | 2026-04-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II        | GLP Capital LP / GLP Financing II Inc                                           | CUSIP: 361841AL3<br>LEI: 2549005PXW31DRW8EC44 | Long             | DBT              | CORP              | US        |    344000 | PA      | $325541.00    | 0.00%             | 2029-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| GXO LOGISTICS INC              | GXO Logistics Inc                                                               | CUSIP: 36262GAB7<br>LEI: 5493007CNWMXN78JRN66 | Long             | DBT              | CORP              | US        |   4255000 | PA      | $3643034.00   | 0.05%             | 2026-07-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| GXO LOGISTICS INC              | GXO Logistics Inc                                                               | CUSIP: 36262GAD3<br>LEI: 5493007CNWMXN78JRN66 | Long             | DBT              | CORP              | US        |    647000 | PA      | $477713.00    | 0.01%             | 2031-07-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| GSK CONSUMER HEALTHCARE        | GSK Consumer Healthcare Capital US LLC                                          | CUSIP: 36264FAK7<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |   3423000 | PA      | $3186662.00   | 0.04%             | 2027-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| GSK CONSUMER HEALTHCARE        | GSK Consumer Healthcare Capital US LLC                                          | CUSIP: 36264FAL5<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |   1746000 | PA      | $1570066.00   | 0.02%             | 2029-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC         | GEHC 5.65 11/15/27 144A                                                         | CUSIP: 36267VAE3<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |   7343000 | PA      | $7428917.00   | 0.10%             | 2027-11-15      | Fixed         | 5.65%                 | Yes           |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC         | GEHC 5.857 03/15/30 144A                                                        | CUSIP: 36267VAG8<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |   8769000 | PA      | $8973859.00   | 0.12%             | 2030-03-15      | Fixed         | 5.86%                 | Yes           |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC         | GEHC 5.905 11/22/32 144A                                                        | CUSIP: 36267VAJ2<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |  12523000 | PA      | $12976311.00  | 0.17%             | 2032-11-22      | Fixed         | 5.91%                 | Yes           |                  2 | On Loan: No      |
| GENERAL DYNAMICS CORP          | GENERAL DYNAMICS CORP                                                           | CUSIP: 369550BL1<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |   2033000 | PA      | $1942315.00   | 0.03%             | 2027-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC            | Global Payments Inc                                                             | CUSIP: 37940XAG7<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   3318000 | PA      | $2894462.00   | 0.04%             | 2027-01-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC            | Global Payments Inc                                                             | CUSIP: 37940XAH5<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   4978000 | PA      | $3925493.00   | 0.05%             | 2031-11-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC            | Global Payments Inc                                                             | CUSIP: 37940XAN2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   6349000 | PA      | $6138026.00   | 0.08%             | 2029-08-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC            | Global Payments Inc                                                             | CUSIP: 37940XAQ5<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   2880000 | PA      | $2742769.00   | 0.04%             | 2032-08-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC        | Goldman Sachs Group Inc                                                         | CUSIP: 38141GXJ8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  12173000 | PA      | $11706073.00  | 0.16%             | 2025-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HCA INC                        | HCA Inc                                                                         | CUSIP: 404119BS7<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1152000 | PA      | $1159269.00   | 0.02%             | 2026-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| HCA INC                        | HCA Inc                                                                         | CUSIP: 404119BW8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1902000 | PA      | $1896057.00   | 0.03%             | 2029-02-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| HCA INC                        | HCA Inc                                                                         | CUSIP: 404121AH8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    883000 | PA      | $873178.00    | 0.01%             | 2026-09-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| HCA INC                        | HCA Inc                                                                         | CUSIP: 404121AJ4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   2351000 | PA      | $2337675.00   | 0.03%             | 2028-09-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| HASBRO INC                     | Hasbro Inc                                                                      | CUSIP: 418056AS6<br>LEI: 549300NUB6D2R1ITYR45 | Long             | DBT              | CORP              | US        |   1921000 | PA      | $1859788.00   | 0.03%             | 2040-03-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| HASBRO INC                     | Hasbro Inc                                                                      | CUSIP: 418056AU1<br>LEI: 549300NUB6D2R1ITYR45 | Long             | DBT              | CORP              | US        |   4972000 | PA      | $4232653.00   | 0.06%             | 2044-05-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| HASBRO INC                     | Hasbro Inc                                                                      | CUSIP: 418056AZ0<br>LEI: 549300NUB6D2R1ITYR45 | Long             | DBT              | CORP              | US        |  15465000 | PA      | $13743503.00  | 0.18%             | 2029-11-19      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| HESS MIDSTREAM OPERATION       | Hess Midstream Operations LP                                                    | CUSIP: 428104AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3621000 | PA      | $3348326.00   | 0.04%             | 2028-06-15      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| ILLUMINA INC                   | Illumina Inc                                                                    | CUSIP: 452327AN9<br>LEI: SQ95QG8SR5Q56LSNF682 | Long             | DBT              | CORP              | US        |   3833000 | PA      | $3859046.00   | 0.05%             | 2025-12-12      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OP            | Invitation Homes Inc                                                            | CUSIP: 46188BAA0<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              | CORP              | US        |   5620000 | PA      | $4153163.00   | 0.06%             | 2031-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JBS USA/FOOD/FINANCE           | JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc                          | CUSIP: 46590XAD8<br>LEI: P77IMDGVZE8EFBTF2M92 | Long             | DBT              | CORP              | N/A       |   4058000 | PA      | $3111880.00   | 0.04%             | 2032-05-15      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO            | JPMorgan Chase & Co                                                             | CUSIP: 46647PBP0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   6345000 | PA      | $5227999.00   | 0.07%             | 2031-05-13      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO            | JPMorgan Chase & Co                                                             | CUSIP: 46647PCU8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  10691000 | PA      | $8701429.00   | 0.12%             | 2033-01-25      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO            | JPMorgan Chase & Co                                                             | CUSIP: 46647PDF0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   5579000 | PA      | $5249082.00   | 0.07%             | 2030-06-14      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO            | JPMorgan Chase & Co                                                             | CUSIP: 46647PDK9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  12436000 | PA      | $12138201.00  | 0.16%             | 2033-09-14      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO            | JPMorgan Chase & Co                                                             | CUSIP: 48128BAF8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1829861.00   | 0.02%             | 2099-12-31      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO            | JPMorgan Chase & Co                                                             | CUSIP: 48128BAG6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2111000 | PA      | $1860319.00   | 0.03%             | 2099-12-31      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| MSCI INC                       | MSCI Inc                                                                        | CUSIP: 55354GAH3<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |    422000 | PA      | $367577.00    | 0.01%             | 2029-11-15      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| MSCI INC                       | MSCI Inc                                                                        | CUSIP: 55354GAK6<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |   8577000 | PA      | $7129631.00   | 0.10%             | 2030-09-01      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| MSCI INC                       | MSCI Inc                                                                        | CUSIP: 55354GAL4<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |   6019000 | PA      | $5004347.00   | 0.07%             | 2031-02-15      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC         | Marvell Technology Inc                                                          | CUSIP: 573874AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3675000 | PA      | $3245805.00   | 0.04%             | 2026-04-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC         | Marvell Technology Inc                                                          | CUSIP: 573874AN4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4065000 | PA      | $3874420.00   | 0.05%             | 2028-06-22      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| MICROCHIP TECHNOLOGY INC       | Microchip Technology Inc                                                        | CUSIP: 595017AZ7<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |   6452000 | PA      | $6331704.00   | 0.09%             | 2023-09-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| MONDELEZ INTERNATIONAL         | Mondelez International Inc                                                      | CUSIP: 609207AT2<br>LEI: 549300DV9GIB88LZ5P30 | Long             | DBT              | CORP              | US        |    331000 | PA      | $285307.00    | 0.00%             | 2030-04-13      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                 | Morgan Stanley                                                                  | CUSIP: 6174467Y9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   3985000 | PA      | $3866417.00   | 0.05%             | 2026-09-08      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                 | Morgan Stanley                                                                  | CUSIP: 6174468Q5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   8296000 | PA      | $7709185.00   | 0.10%             | 2026-04-28      | Variable      | 2.19%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                 | Morgan Stanley                                                                  | CUSIP: 6174468U6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   5529000 | PA      | $4155377.00   | 0.06%             | 2032-02-13      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                 | Morgan Stanley                                                                  | CUSIP: 61747YED3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   9178000 | PA      | $7041306.00   | 0.09%             | 2032-07-21      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                 | Morgan Stanley                                                                  | CUSIP: 61747YEF8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   9770000 | PA      | $7084532.00   | 0.10%             | 2036-09-16      | Variable      | 2.48%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                 | Morgan Stanley                                                                  | CUSIP: 61747YEL5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  11596000 | PA      | $9380912.00   | 0.13%             | 2033-01-21      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                 | Morgan Stanley                                                                  | CUSIP: 61772BAB9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   3223000 | PA      | $2827327.00   | 0.04%             | 2027-05-04      | Variable      | 1.59%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                 | NRG Energy Inc                                                                  | CUSIP: 629377CQ3<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |   4783000 | PA      | $3858063.00   | 0.05%             | 2029-02-15      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| OWL ROCK CORE INCOME COR       | ORCINC 4.7 02/08/27 *                                                           | CUSIP: 69120VAF8<br>LEI: 5493003I42XBWPE05N35 | Long             | DBT              | CORP              | US        |    877000 | PA      | $790798.00    | 0.01%             | 2027-02-08      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| OWL ROCK CORE INCOME COR       | ORCINC 7.75 09/16/27                                                            | CUSIP: 69120VAN1<br>LEI: 5493003I42XBWPE05N35 | Long             | DBT              | CORP              | US        |   5212000 | PA      | $5195136.00   | 0.07%             | 2027-09-16      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| PRUDENTIAL FINANCIAL INC       | Prudential Financial Inc                                                        | CUSIP: 744320BH4<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |   7720000 | PA      | $6514831.00   | 0.09%             | 2050-10-01      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| ROCKETMTGE CO-ISSUER INC       | Quicken Loans LLC                                                               | CUSIP: 74841CAA9<br>LEI: 549300FGXN1K3HLB1R50 | Long             | DBT              | CORP              | US        |   3100000 | PA      | $2456558.00   | 0.03%             | 2029-03-01      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| ROCKETMTGE CO-ISSUER INC       | Quicken Loans LLC                                                               | CUSIP: 74841CAB7<br>LEI: 549300FGXN1K3HLB1R50 | Long             | DBT              | CORP              | US        |   3792000 | PA      | $2894340.00   | 0.04%             | 2031-03-01      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| RELIANCE STEEL & ALUM          | Reliance Steel & Aluminum Co                                                    | CUSIP: 759509AE2<br>LEI: 549300E287ZOFT3C5Z56 | Long             | DBT              | CORP              | US        |   2242000 | PA      | $2241608.00   | 0.03%             | 2023-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ROCKETMTGE CO-ISSUER INC       | Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc                             | CUSIP: 77313LAA1<br>LEI: 549300FGXN1K3HLB1R50 | Long             | DBT              | CORP              | US        |   4001000 | PA      | $3429507.00   | 0.05%             | 2026-10-15      | Fixed         | 2.88%                 | Yes           |                  2 | On Loan: No      |
| ROCKETMTGE CO-ISSUER INC       | Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc                             | CUSIP: 77313LAB9<br>LEI: 549300FGXN1K3HLB1R50 | Long             | DBT              | CORP              | US        |   4259000 | PA      | $3180877.00   | 0.04%             | 2033-10-15      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| SVB FINANCIAL GROUP            | SVB Financial Group                                                             | CUSIP: 78486QAG6<br>LEI: 549300D2KJ20JMXE7542 | Long             | DBT              | CORP              | US        |   6329000 | PA      | $3622222.00   | 0.05%             | 2099-12-31      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| SVB FINANCIAL GROUP            | SVB Financial Group                                                             | CUSIP: 78486QAJ0<br>LEI: 549300D2KJ20JMXE7542 | Long             | DBT              | CORP              | US        |   1389000 | PA      | $916768.00    | 0.01%             | 2099-12-31      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| SVB FINANCIAL GROUP            | SVB Financial Group                                                             | CUSIP: 78486QAP6<br>LEI: 549300D2KJ20JMXE7542 | Long             | DBT              | CORP              | US        |  10766000 | PA      | $7063020.00   | 0.10%             | 2099-12-31      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP            | Charles Schwab Corp                                                             | CUSIP: 808513BJ3<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |   2946000 | PA      | $2349288.00   | 0.03%             | 2099-12-31      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ENERGY CO         | Southwestern Energy Co                                                          | CUSIP: 845467AT6<br>LEI: EFWMP121W54QV9MGOP87 | Long             | DBT              | CORP              | US        |   3664000 | PA      | $3131218.00   | 0.04%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| SUN COMMUNITIES OPER LP        | Sun Communities Operating LP                                                    | CUSIP: 866677AE7<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              | CORP              | US        |   6161000 | PA      | $4863002.00   | 0.07%             | 2031-07-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| TSMC ARIZONA CORP              | TSMC Arizona Corp                                                               | CUSIP: 872898AF8<br>LEI: 2549005GOBWLCSY63Q97 | Long             | DBT              | CORP              | US        |   4802000 | PA      | $4616232.00   | 0.06%             | 2027-04-22      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC            | Total System Services Inc                                                       | CUSIP: 891906AC3<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   3189000 | PA      | $3102849.00   | 0.04%             | 2026-04-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| TRIMBLE INC                    | Trimble Inc                                                                     | CUSIP: 896239AA8<br>LEI: 549300E2MI7NSZFQWS19 | Long             | DBT              | CORP              | US        |   5510000 | PA      | $5446769.00   | 0.07%             | 2024-12-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| TRIMBLE INC                    | Trimble Inc                                                                     | CUSIP: 896239AC4<br>LEI: 549300E2MI7NSZFQWS19 | Long             | DBT              | CORP              | US        |   3194000 | PA      | $3062475.00   | 0.04%             | 2028-06-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| US BANCORP                     | US Bancorp                                                                      | CUSIP: 91159HJB7<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   6449000 | PA      | $4907506.00   | 0.07%             | 2036-11-03      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| US BANCORP                     | US Bancorp                                                                      | CUSIP: 91159HJG6<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   1769000 | PA      | $1678389.00   | 0.02%             | 2033-07-22      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  52149000 | PA      | $35687435.00  | 0.48%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  50257000 | PA      | $35884676.00  | 0.48%             | 2041-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  54648000 | PA      | $41724602.00  | 0.56%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 105011000 | PA      | $86519219.00  | 1.16%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  90342000 | PA      | $88450464.00  | 1.18%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                | CUSIP: 91282CBH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  46025100 | PA      | $40949754.00  | 0.55%             | 2026-01-31      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                | CUSIP: 91282CBN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  59371000 | PA      | $58974953.00  | 0.79%             | 2023-02-28      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                | CUSIP: 91282CBW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  45243000 | PA      | $40444768.00  | 0.54%             | 2026-04-30      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                | CUSIP: 91282CCJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  66485000 | PA      | $59452134.00  | 0.80%             | 2026-06-30      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                | CUSIP: 91282CCP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  23639000 | PA      | $20888196.00  | 0.28%             | 2026-07-31      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                | CUSIP: 91282CCU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  35321000 | PA      | $34254471.00  | 0.46%             | 2023-08-31      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                | CUSIP: 91282CCV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30446500 | PA      | $25996078.00  | 0.35%             | 2028-08-31      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                | CUSIP: 91282CEA5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  41744000 | PA      | $40237302.00  | 0.54%             | 2024-02-29      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                | CUSIP: 91282CED9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1575000 | PA      | $1488252.00   | 0.02%             | 2025-03-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                | CUSIP: 91282CEY3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  19616900 | PA      | $19000807.00  | 0.25%             | 2025-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                | CUSIP: 91282CFM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  54290400 | PA      | $54493989.00  | 0.73%             | 2027-09-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                | CUSIP: 91282CFP1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11444000 | PA      | $11435059.00  | 0.15%             | 2025-10-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                | CUSIP: 91282CFQ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  68284000 | PA      | $68089284.00  | 0.91%             | 2024-10-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  45591400 | PA      | $45758806.00  | 0.61%             | 2027-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 156641200 | PA      | $159847450.00 | 2.14%             | 2032-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                | CUSIP: 91282CFW6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11043000 | PA      | $11109430.00  | 0.15%             | 2025-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                | CUSIP: 91282CFY2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30438000 | PA      | $30233495.00  | 0.41%             | 2029-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                                                | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 110255600 | PA      | $109652640.00 | 1.47%             | 2027-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC         | UnitedHealth Group Inc                                                          | CUSIP: 91324PEP3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   3234000 | PA      | $3305895.00   | 0.04%             | 2028-02-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| WORKDAY INC                    | Workday Inc                                                                     | CUSIP: 98138HAG6<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |   2530000 | PA      | $2364460.00   | 0.03%             | 2027-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WORKDAY INC                    | Workday Inc                                                                     | CUSIP: 98138HAJ0<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |   4129000 | PA      | $3644821.00   | 0.05%             | 2032-04-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA       | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAR6<br>LEI: 549300TI38531ODB1G63 | Long             | DBT              | CORP              | IE        |   5280000 | PA      | $4903869.00   | 0.07%             | 2027-10-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA       | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAW5<br>LEI: 549300TI38531ODB1G63 | Long             | DBT              | CORP              | IE        |   3808000 | PA      | $3190248.00   | 0.04%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL               | BMO V3.088 01/10/37                                                             | CUSIP: 06368DH72<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |  15654000 | PA      | $11836048.00  | 0.16%             | 2037-01-10      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                    | BNP Paribas SA                                                                  | CUSIP: 09659W2T0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   3776000 | PA      | $3321001.00   | 0.04%             | 2028-01-20      | Variable      | 2.59%                 | Yes           |                  2 | On Loan: No      |
| BNP PARIBAS                    | BNP Paribas SA                                                                  | CUSIP: 09659W2U7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   3226000 | PA      | $2547134.00   | 0.03%             | 2033-01-20      | Variable      | 3.13%                 | Yes           |                  2 | On Loan: No      |
| CSL FINANCE PLC                | CSLAU 3.85 04/27/27 144A                                                        | CUSIP: 12661PAA7<br>LEI: 2549007CCNBNAF4HBC02 | Long             | DBT              | CORP              | GB        |   1899000 | PA      | $1816637.00   | 0.02%             | 2027-04-27      | Fixed         | 3.85%                 | Yes           |                  2 | On Loan: No      |
| CSL FINANCE PLC                | CSLAU 4.05 04/27/29 144A                                                        | CUSIP: 12661PAB5<br>LEI: 2549007CCNBNAF4HBC02 | Long             | DBT              | CORP              | GB        |   4016000 | PA      | $3785228.00   | 0.05%             | 2029-04-27      | Fixed         | 4.05%                 | Yes           |                  2 | On Loan: No      |
| COMMONWEALTH BANK AUST         | Commonwealth Bank of Australia                                                  | CUSIP: 202712BS3<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |   6818000 | PA      | $5619964.00   | 0.07%             | 2032-03-14      | Fixed         | 3.78%                 | Yes           |                  2 | On Loan: No      |
| DIAGEO CAPITAL PLC             | Diageo Capital PLC                                                              | CUSIP: 25243YBC2<br>LEI: 213800L23DJLALFC4O95 | Long             | DBT              | CORP              | GB        |   3173000 | PA      | $2909334.00   | 0.04%             | 2025-09-29      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| DIAGEO CAPITAL PLC             | Diageo Capital PLC                                                              | CUSIP: 25243YBD0<br>LEI: 213800L23DJLALFC4O95 | Long             | DBT              | CORP              | GB        |   2989000 | PA      | $2455116.00   | 0.03%             | 2030-04-29      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| DIAGEO CAPITAL PLC             | Diageo Capital PLC                                                              | CUSIP: 25243YBE8<br>LEI: 213800L23DJLALFC4O95 | Long             | DBT              | CORP              | GB        |   2398000 | PA      | $1909766.00   | 0.03%             | 2032-04-29      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| JBS USA/FOOD/FINANCE           | JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc                          | CUSIP: 46590XAB2<br>LEI: P77IMDGVZE8EFBTF2M92 | Long             | DBT              | CORP              | N/A       |   5277000 | PA      | $5021171.00   | 0.07%             | 2030-01-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| JBS USA/FOOD/FINANCE           | JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc                          | CUSIP: 46590XAT3<br>LEI: P77IMDGVZE8EFBTF2M92 | Long             | DBT              | CORP              | N/A       |   2646000 | PA      | $2143260.00   | 0.03%             | 2032-01-15      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP         | MUFG V4.788 07/18/25                                                            | CUSIP: 606822CH5<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   4950000 | PA      | $4900661.00   | 0.07%             | 2025-07-18      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP         | MUFG V5.017 07/20/28                                                            | CUSIP: 606822CL6<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   8481000 | PA      | $8278516.00   | 0.11%             | 2028-07-20      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| NATIONAL AUSTRALIA BANK        | National Australia Bank Ltd                                                     | CUSIP: 632525AY7<br>LEI: F8SB4JFBSYQFRQEH3Z21 | Long             | DBT              | CORP              | AU        |   8080000 | PA      | $6324817.00   | 0.09%             | 2031-05-21      | Fixed         | 2.99%                 | Yes           |                  2 | On Loan: No      |
| NORDEA BANK ABP                | Nordea Bank Abp                                                                 | CUSIP: 65558RAD1<br>LEI: 529900ODI3047E2LIV03 | Long             | DBT              | CORP              | FI        |   9960000 | PA      | $10005949.00  | 0.13%             | 2027-09-22      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC             | Royalty Pharma PLC                                                              | CUSIP: 78081BAM5<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |   3923000 | PA      | $2507007.00   | 0.03%             | 2050-09-02      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP           | Westpac Banking Corp                                                            | CUSIP: 961214EP4<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |   5490000 | PA      | $4080478.00   | 0.06%             | 2035-11-15      | Variable      | 2.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae                                                                      | CUSIP: 01F020414<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14284295 | PA      | $12708209.00  | 0.17%             | 2037-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae                                                                      | CUSIP: 01F022410<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8099200 | PA      | $7414777.00   | 0.10%             | 2037-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae                                                                      | CUSIP: 01F022618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1515911 | PA      | $1282164.00   | 0.02%             | 2051-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae                                                                      | CUSIP: 01F030413<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3467791 | PA      | $3247739.00   | 0.04%             | 2037-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae                                                                      | CUSIP: 01F030611<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  44433067 | PA      | $38960957.00  | 0.52%             | 2052-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae                                                                      | CUSIP: 01F032617<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 100069031 | PA      | $90837763.00  | 1.22%             | 2052-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae                                                                      | CUSIP: 01F040610<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19924000 | PA      | $18676279.00  | 0.25%             | 2052-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae                                                                      | CUSIP: 01F042616<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19160585 | PA      | $18443098.00  | 0.25%             | 2052-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae                                                                      | CUSIP: 01F050619<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  61025042 | PA      | $60114731.00  | 0.80%             | 2052-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae                                                                      | CUSIP: 01F052615<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  44908547 | PA      | $45028453.00  | 0.60%             | 2052-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | Barclays Commercial Mortgage Securities LLC 2015-SRCH                           | CUSIP: 05547HAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2528000 | PA      | $2353019.00   | 0.03%             | 2035-08-10      | Fixed         | 4.20%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust 2 | BX Commercial Mortgage Trust 2019-XL                                            | CUSIP: 056054AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5693868 | PA      | $5623586.00   | 0.07%             | 2036-10-15      | Floating      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust 2 | BX Commercial Mortgage Trust 2019-XL                                            | CUSIP: 056054AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1923550 | PA      | $1888167.00   | 0.03%             | 2036-10-15      | Floating      | 5.53%                 | Yes           |                  2 | On Loan: No      |
| BX Trust 2019-OC11             | BX Commercial Mortgage Trust 2019-OC11                                          | CUSIP: 05606FAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1121000 | PA      | $921700.00    | 0.01%             | 2041-12-09      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| BX Trust 2019-OC11             | BX Commercial Mortgage Trust 2019-OC11                                          | CUSIP: 05606FAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2229000 | PA      | $1841616.00   | 0.03%             | 2041-12-09      | Fixed         | 3.86%                 | Yes           |                  2 | On Loan: No      |
| BXP Trust                      | BXP Trust 2017-GM                                                               | CUSIP: 056083AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1140000 | PA      | $1002777.00   | 0.01%             | 2039-06-13      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2022-R09 2M1                                | CUSIP: 20753DAA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6901976 | PA      | $6854156.00   | 0.09%             | 2042-09-25      | Floating      | 6.44%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2019-R03                                    | CUSIP: 20753MAF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    214317 | PA      | $213713.00    | 0.00%             | 2031-09-25      | Floating      | 6.54%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2019-R07                                    | CUSIP: 20753WAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    288090 | PA      | $287310.00    | 0.00%             | 2039-10-25      | Floating      | 6.49%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae                                                                      | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  44831950 | PA      | $38723507.00  | 0.52%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae                                                                      | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18271812 | PA      | $16755635.00  | 0.22%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae                                                                      | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  26659299 | PA      | $25199756.00  | 0.34%             | 2052-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae                                                                      | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  25992170 | PA      | $25187478.00  | 0.34%             | 2052-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3131XC5X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    663069 | PA      | $627864.00    | 0.01%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3131XDAJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    330730 | PA      | $313170.00    | 0.00%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3131XDFC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    435787 | PA      | $412650.00    | 0.01%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3131XUSX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    547620 | PA      | $511429.00    | 0.01%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3131XXYA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1039656 | PA      | $961279.00    | 0.01%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3131Y04D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    628624 | PA      | $599225.00    | 0.01%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3131Y06M9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    670806 | PA      | $645723.00    | 0.01%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3131Y0KU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    608072 | PA      | $566566.00    | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3131Y0QS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28246 | PA      | $27655.00     | 0.00%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3131Y0TA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    713941 | PA      | $690342.00    | 0.01%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3131Y16T2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    151789 | PA      | $148614.00    | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3131Y1D80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1118228 | PA      | $1065932.00   | 0.01%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3131Y2YX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30737 | PA      | $30713.00     | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3131Y4LZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57905 | PA      | $51742.00     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3131Y6P45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    163486 | PA      | $152957.00    | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3131Y6V71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    392947 | PA      | $367454.00    | 0.01%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3131Y8MN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    596559 | PA      | $589342.00    | 0.01%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 31329L6U1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    146512 | PA      | $137076.00    | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 31329L6W7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    149878 | PA      | $140225.00    | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 31329Q5T4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    140548 | PA      | $137473.00    | 0.00%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3132A4C89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    903490 | PA      | $946987.00    | 0.01%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3132A5AL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1523219 | PA      | $1379411.00   | 0.02%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3132A5DB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    744550 | PA      | $672856.00    | 0.01%             | 2045-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3132A8GL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3189780 | PA      | $3022034.00   | 0.04%             | 2031-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3132ACLS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2926450 | PA      | $2736592.00   | 0.04%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3132ACSU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    124830 | PA      | $116751.00    | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3132ACSX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1737035 | PA      | $1623893.00   | 0.02%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3132ADHW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    229856 | PA      | $227344.00    | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3132ADJC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    488765 | PA      | $457055.00    | 0.01%             | 2044-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3132ADME5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    135729 | PA      | $123959.00    | 0.00%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3132ADPD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    180362 | PA      | $171927.00    | 0.00%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3132ADY69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    291951 | PA      | $281443.00    | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3132CWBH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3211464 | PA      | $2992105.00   | 0.04%             | 2033-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac                                                                     | CUSIP: 3132CWDV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    959772 | PA      | $883384.00    | 0.01%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3132DN2L6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4355607 | PA      | $4257635.00   | 0.06%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3132DNFY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5534858 | PA      | $5088170.00   | 0.07%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3132DNGU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3486269 | PA      | $3350945.00   | 0.04%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3132DNHN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7179689 | PA      | $6166637.00   | 0.08%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3132DNHU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6398716 | PA      | $6264860.00   | 0.08%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3132DNP49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2156723 | PA      | $2024346.00   | 0.03%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3132DNQD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20382429 | PA      | $18724810.00  | 0.25%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3132DNQJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4818510 | PA      | $4842367.00   | 0.07%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3132DNSB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    633533 | PA      | $602605.00    | 0.01%             | 2050-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3132DNWL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2194421 | PA      | $2091795.00   | 0.03%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3132DPCD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14050545 | PA      | $14306879.00  | 0.19%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3132DV4Z5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    210259 | PA      | $205659.00    | 0.00%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3132DVL52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4919615 | PA      | $4222749.00   | 0.06%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                                           | CUSIP: 3132H7F41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    259513 | PA      | $243036.00    | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 31334WZG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    330455 | PA      | $296590.00    | 0.00%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 31334YMG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    302521 | PA      | $268610.00    | 0.00%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133A0G73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    304278 | PA      | $270170.00    | 0.00%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133A3FP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    148448 | PA      | $135250.00    | 0.00%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133A73R8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    348268 | PA      | $300435.00    | 0.00%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133A9JV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    124081 | PA      | $107001.00    | 0.00%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133A9WN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    656351 | PA      | $565797.00    | 0.01%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133B2LX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    819125 | PA      | $701327.00    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133B3XQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1332154 | PA      | $1141948.00   | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133B42A2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1933405 | PA      | $1652710.00   | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133B4H73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1099131 | PA      | $973267.00    | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133B4H81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    830418 | PA      | $737726.00    | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133B6F54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    289629 | PA      | $247363.00    | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133B7F86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    407734 | PA      | $372629.00    | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133B7FX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1153553 | PA      | $1024390.00   | 0.01%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133B9K78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     96439 | PA      | $92911.00     | 0.00%             | 2052-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133B9MB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1297511 | PA      | $1186545.00   | 0.02%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133BAFM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1246278 | PA      | $1139694.00   | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133BAFN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    357209 | PA      | $326410.00    | 0.00%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133BGBH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1892468 | PA      | $1775512.00   | 0.02%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133BGQW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4676194 | PA      | $4507777.00   | 0.06%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133BMRH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3143368 | PA      | $3187053.00   | 0.04%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133BPL22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    122029 | PA      | $121784.00    | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133BPUK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4031442 | PA      | $4023353.00   | 0.05%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133BPV54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6212606 | PA      | $6200140.00   | 0.08%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133G62Q7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    338069 | PA      | $318672.00    | 0.00%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133G62T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    754253 | PA      | $710976.00    | 0.01%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133G7BU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    234701 | PA      | $216022.00    | 0.00%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133KGF45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1246243 | PA      | $1218978.00   | 0.02%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133KGF52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    213908 | PA      | $209228.00    | 0.00%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133KGJ90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1092042 | PA      | $1068150.00   | 0.01%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133KHGG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    742509 | PA      | $726264.00    | 0.01%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133KPUC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  21518257 | PA      | $20743257.00  | 0.28%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133KPUD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9155993 | PA      | $8842747.00   | 0.12%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133SKBZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2494082 | PA      | $2398403.00   | 0.03%             | 2050-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 3133USG21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2207645 | PA      | $2104400.00   | 0.03%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                                                | CUSIP: 31346YPV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    387195 | PA      | $343792.00    | 0.01%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                               | CUSIP: 3136B1N26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2404318 | PA      | $2169113.00   | 0.03%             | 2048-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                               | CUSIP: 3136B6B77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2967994 | PA      | $2634886.00   | 0.04%             | 2049-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3138ENRH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    753969 | PA      | $752185.00    | 0.01%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3138ENS83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34581 | PA      | $34988.00     | 0.00%             | 2044-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3138EPHU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1154113 | PA      | $1151382.00   | 0.01%             | 2045-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3138EPX33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    307148 | PA      | $304016.00    | 0.00%             | 2042-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3138EQFX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    597959 | PA      | $591428.00    | 0.01%             | 2045-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3138WHND0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    814695 | PA      | $761938.00    | 0.01%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3138WQJB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    420293 | PA      | $380616.00    | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140E9H66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69317 | PA      | $62250.00     | 0.00%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140FXEC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2936426 | PA      | $2732604.00   | 0.04%             | 2056-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140FXF72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53608 | PA      | $47747.00     | 0.00%             | 2057-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140FXFH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2959931 | PA      | $2636450.00   | 0.04%             | 2057-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140GQDG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119094 | PA      | $112135.00    | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140GSKE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    265223 | PA      | $245233.00    | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140H6B57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    776230 | PA      | $724631.00    | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140H6CC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2739986 | PA      | $2655485.00   | 0.04%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140H6CD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2646889 | PA      | $2552925.00   | 0.03%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140H6W88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116779 | PA      | $109734.00    | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140HAMH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    891016 | PA      | $791141.00    | 0.01%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140HBFX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    678850 | PA      | $678310.00    | 0.01%             | 2048-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140HFFE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    790643 | PA      | $764507.00    | 0.01%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140HGGX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    711539 | PA      | $613591.00    | 0.01%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140HGR90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32091 | PA      | $31420.00     | 0.00%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140HPR58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    662436 | PA      | $635682.00    | 0.01%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140J73V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1363499 | PA      | $1349595.00   | 0.02%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140J7UG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75353 | PA      | $70950.00     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140J8K28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1438567 | PA      | $1303416.00   | 0.02%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140J9NN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13101047 | PA      | $11864245.00  | 0.16%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                | Fannie Mae Pool                                                                 | CUSIP: 3140JB2B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5486236 | PA      | $5280996.00   | 0.07%             | 2050-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140JGAN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18164 | PA      | $17784.00     | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140JLKM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    318880 | PA      | $303966.00    | 0.00%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140JMBK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    397844 | PA      | $379237.00    | 0.01%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140JXJ58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    183661 | PA      | $165814.00    | 0.00%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140JXSM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    312716 | PA      | $294784.00    | 0.00%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140K0HB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    231128 | PA      | $212736.00    | 0.00%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140K1TP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    142035 | PA      | $133891.00    | 0.00%             | 2034-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140K3SF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135062 | PA      | $127317.00    | 0.00%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140LQQJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    750752 | PA      | $640819.00    | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140MAYY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2812917 | PA      | $2585015.00   | 0.04%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140MGJG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    242678 | PA      | $207698.00    | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140MGJK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    702923 | PA      | $600376.00    | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140MHTA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4152167 | PA      | $3675407.00   | 0.05%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140MHU56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    619077 | PA      | $565772.00    | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140MJ6R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3513654 | PA      | $3118988.00   | 0.04%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140MJ6S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3086168 | PA      | $2730864.00   | 0.04%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140MJ7F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1704603 | PA      | $1557621.00   | 0.02%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140MJ7G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3009669 | PA      | $2752262.00   | 0.04%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140MJWN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    593826 | PA      | $507612.00    | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140ML4R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114609 | PA      | $110317.00    | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140ML4S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    224225 | PA      | $216019.00    | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140MLUD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    390948 | PA      | $376640.00    | 0.01%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140MMPS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    507977 | PA      | $489386.00    | 0.01%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140MNNA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    495551 | PA      | $452821.00    | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140MNNB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1032472 | PA      | $944168.00    | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140MNP67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1783796 | PA      | $1630958.00   | 0.02%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140MRCJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    177994 | PA      | $171479.00    | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140MRCT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    203492 | PA      | $196044.00    | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140MRLZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    620207 | PA      | $597508.00    | 0.01%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140MRZU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1969790 | PA      | $1848021.00   | 0.03%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140MSCJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2504151 | PA      | $2413925.00   | 0.03%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140MSF75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    527760 | PA      | $495135.00    | 0.01%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140MSNE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    903745 | PA      | $901932.00    | 0.01%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140MUUU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    841976 | PA      | $789926.00    | 0.01%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140N0FK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2021707 | PA      | $2017651.00   | 0.03%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140N7ZL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5021885 | PA      | $5011808.00   | 0.07%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140Q7DN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    258535 | PA      | $243428.00    | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140Q9ED1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1494746 | PA      | $1463479.00   | 0.02%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140QBCV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140721 | PA      | $137640.00    | 0.00%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140QBPV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    192937 | PA      | $188713.00    | 0.00%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140QCEU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    710499 | PA      | $646029.00    | 0.01%             | 2048-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140QELR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23429452 | PA      | $20167126.00  | 0.27%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140QNLY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3102547 | PA      | $2653073.00   | 0.04%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140QNLZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8417031 | PA      | $7195020.00   | 0.10%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140QNPK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6030546 | PA      | $5545701.00   | 0.07%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140QPHP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9640179 | PA      | $8877970.00   | 0.12%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140QPQ67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1395677 | PA      | $1285327.00   | 0.02%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140QPX69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9670563 | PA      | $9322127.00   | 0.12%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140QPY35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    512983 | PA      | $473147.00    | 0.01%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140QPYS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    926946 | PA      | $853369.00    | 0.01%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140QPYX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2503258 | PA      | $2298889.00   | 0.03%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140QQEC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12334652 | PA      | $12417351.00  | 0.17%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140QQL37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    315936 | PA      | $321698.00    | 0.00%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140QQVP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6802407 | PA      | $6649339.00   | 0.09%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140QQZ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3106167 | PA      | $3005062.00   | 0.04%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140X3A73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4178015 | PA      | $3783591.00   | 0.05%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140X6FJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    329441 | PA      | $305114.00    | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140X6NZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    371611 | PA      | $344169.00    | 0.01%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140X6ZM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    380963 | PA      | $364960.00    | 0.01%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140X7JB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8395507 | PA      | $7763873.00   | 0.10%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140X7ST7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6570338 | PA      | $6249576.00   | 0.08%             | 2050-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140X8S24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3383002 | PA      | $3224780.00   | 0.04%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140XBJE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17502595 | PA      | $16648124.00  | 0.22%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140XBJZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3411170 | PA      | $3339813.00   | 0.04%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140XDEL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1290912 | PA      | $1230537.00   | 0.02%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140XFC25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6236173 | PA      | $5984310.00   | 0.08%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140XFMH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4241316 | PA      | $3629828.00   | 0.05%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140XFWY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20939230 | PA      | $17899204.00  | 0.24%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140XGFX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8644936 | PA      | $7383758.00   | 0.10%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140XGXG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6862712 | PA      | $6574444.00   | 0.09%             | 2050-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140XGZE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2606938 | PA      | $2474434.00   | 0.03%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140XHCF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2310943 | PA      | $2130381.00   | 0.03%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140XHL21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5588000 | PA      | $5155795.00   | 0.07%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140XHLE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10884060 | PA      | $10063695.00  | 0.14%             | 2049-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140XHLR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4277792 | PA      | $4077721.00   | 0.06%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140XHVN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12515257 | PA      | $11497387.00  | 0.15%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140XHZL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    165916 | PA      | $158156.00    | 0.00%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140XHZN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    340424 | PA      | $323804.00    | 0.00%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140XJAP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4236013 | PA      | $4147402.00   | 0.06%             | 2050-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140XJKP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2475381 | PA      | $2354533.00   | 0.03%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140XJLW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  53123148 | PA      | $47165039.00  | 0.63%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 3140XJTC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4554080 | PA      | $4637142.00   | 0.06%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 31416CE69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58560 | PA      | $61293.00     | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 31417EMM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    180942 | PA      | $163891.00    | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 31418AQR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43695 | PA      | $39577.00     | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 31418BW93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    423354 | PA      | $392092.00    | 0.01%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 31418C4F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1998554 | PA      | $1905083.00   | 0.03%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 31418CQB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1396083 | PA      | $1331946.00   | 0.02%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 31418CYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1719843 | PA      | $1639407.00   | 0.02%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 31418DCZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    265074 | PA      | $252133.00    | 0.00%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                 | CUSIP: 31418DKW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    270228 | PA      | $264311.00    | 0.00%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac Structured Agency Credit Risk Debt Notes 2022-DNA6 M1A              | CUSIP: 35564KH36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1200140 | PA      | $1195947.00   | 0.02%             | 2042-09-25      | Floating      | 6.08%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac Structured Agency Credit Risk Debt Notes 2021-DNA7 M1               | CUSIP: 35564KMA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4058195 | PA      | $3972619.00   | 0.05%             | 2041-11-25      | Floating      | 4.78%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac Structured Agency Credit Risk Debt Notes 2022-DNA2 M1A              | CUSIP: 35564KRE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1571765 | PA      | $1548342.00   | 0.02%             | 2042-02-25      | Floating      | 5.23%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac Structured Agency Credit Risk Debt Notes 2022-DNA3 M1A              | CUSIP: 35564KUW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1466417 | PA      | $1460931.00   | 0.02%             | 2042-04-25      | Floating      | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac Structured Agency Credit Risk Debt Notes 2019-DNA4 M2               | CUSIP: 35565AAH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     94881 | PA      | $94819.00     | 0.00%             | 2049-10-25      | Floating      | 6.34%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                              | CUSIP: 36179T7M1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1001624 | PA      | $1003434.00   | 0.01%             | 2048-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                              | CUSIP: 36179TSJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    286278 | PA      | $280955.00    | 0.00%             | 2048-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                              | CUSIP: 36179TXV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    142362 | PA      | $136364.00    | 0.00%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                              | CUSIP: 36179TZ57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1432494 | PA      | $1372147.00   | 0.02%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                              | CUSIP: 36179WJS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7390983 | PA      | $6602670.00   | 0.09%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                              | CUSIP: 36179WLQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16671827 | PA      | $14888989.00  | 0.20%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae I Pool                                                               | CUSIP: 3617AUZW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    543365 | PA      | $522281.00    | 0.01%             | 2047-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                              | CUSIP: 3617B13X9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65963 | PA      | $63371.00     | 0.00%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                              | CUSIP: 3617B14A8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    345504 | PA      | $331929.00    | 0.00%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                              | CUSIP: 3617B14U4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51141 | PA      | $49132.00     | 0.00%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae I Pool                                                               | CUSIP: 3617BA5W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66453 | PA      | $63874.00     | 0.00%             | 2047-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae I Pool                                                               | CUSIP: 3617BN3S2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     87035 | PA      | $83658.00     | 0.00%             | 2047-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae I Pool                                                               | CUSIP: 3617BN4U6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    235687 | PA      | $226542.00    | 0.00%             | 2047-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                              | CUSIP: 3617H1CH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    112973 | PA      | $110879.00    | 0.00%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                                              | CUSIP: 3617H1CJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    512938 | PA      | $503430.00    | 0.01%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae I Pool                                                               | CUSIP: 3622A2QL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2866077 | PA      | $2779112.00   | 0.04%             | 2045-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae I Pool                                                               | CUSIP: 3622A2UF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2953251 | PA      | $2898088.00   | 0.04%             | 2046-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust               | Great Wolf Trust                                                                | CUSIP: 39152TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5612000 | PA      | $5446070.00   | 0.07%             | 2036-12-15      | Floating      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| Great Wolf Trust               | Great Wolf Trust                                                                | CUSIP: 39152TAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1195000 | PA      | $1148782.00   | 0.01%             | 2036-12-15      | Floating      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| Great Wolf Trust               | Great Wolf Trust                                                                | CUSIP: 39152TAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1332000 | PA      | $1277858.00   | 0.02%             | 2036-12-15      | Floating      | 5.95%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor | JP Morgan Chase Commercial Mortgage Sec Trust 2020-ACE B                        | CUSIP: 46591PAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4540000 | PA      | $4162600.00   | 0.06%             | 2037-01-10      | Fixed         | 3.64%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan  | New Residential Mortgage Loan Trust 2018-2                                      | CUSIP: 64828CAA7<br>LEI: 549300U1MV4J7YQZG974 | Long             | ABS-MBS          | CORP              | US        |    438125 | PA      | $413879.00    | 0.01%             | 2058-02-25      | Variable      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac Structured Agency Credit Risk Debt Notes 2022-HQA2 M1A              | CUSIP: 35564KB24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |   2329621 | PA      | $2333304.00   | 0.03%             | 2042-07-25      | Floating      | 6.58%                 | Yes           |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Mortgage Finance Corp 2021-CL1 M1                                         | CUSIP: 46591HBX7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4494353 | PA      | $4070536.00   | 0.05%             | 2050-02-25      | Floating      | 5.13%                 | Yes           |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag | Preston Ridge Partners Mortgage Trust 2022-2 A1                                 | CUSIP: 69377AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7511525 | PA      | $7019018.00   | 0.09%             | 2027-03-25      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| VMC Finance LLC                | VMC Finance LLC 2021-HT1 A                                                      | CUSIP: 91835TAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3023031 | PA      | $2918019.00   | 0.04%             | 2037-01-18      | Floating      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| Aimco                          | Aimco 2020-11A AR                                                               | CUSIP: 00140NAN0<br>LEI: 549300VLRW0CEQ83RF89 | Long             | ABS-CBDO         | CORP              | KY        |   1836000 | PA      | $1787179.00   | 0.02%             | 2034-10-17      | Floating      | 5.21%                 | Yes           |                  2 | On Loan: No      |
| ARES CLO Ltd                   | ARES CLO Ltd 2021-60A A                                                         | CUSIP: 04018FAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1719000 | PA      | $1672070.00   | 0.02%             | 2034-07-18      | Floating      | 3.86%                 | Yes           |                  2 | On Loan: No      |
| Babson CLO Ltd                 | Babson CLO Ltd 2018-3A A1                                                       | CUSIP: 06760PAC5<br>LEI: 5493000D71NBEM2WZE67 | Long             | ABS-CBDO         | CORP              | KY        |   3151191 | PA      | $3126341.00   | 0.04%             | 2029-07-20      | Floating      | 5.19%                 | Yes           |                  2 | On Loan: No      |
| Babson CLO Ltd                 | Babson CLO Ltd 2019-3A A1R                                                      | CUSIP: 06761KAL5<br>LEI: 549300T40QLO0VJIOB35 | Long             | ABS-CBDO         | CORP              | KY        |   7227000 | PA      | $7124160.00   | 0.10%             | 2031-04-20      | Floating      | 5.31%                 | Yes           |                  2 | On Loan: No      |
| Babson CLO Ltd                 | Babson CLO Ltd 2020-4A A                                                        | CUSIP: 06762BAC4<br>LEI: 549300Q89L7I93JSRH83 | Long             | ABS-CBDO         | CORP              | KY        |   2320732 | PA      | $2283811.00   | 0.03%             | 2032-01-20      | Floating      | 3.93%                 | Yes           |                  2 | On Loan: No      |
| CBAM CLO Management            | CBAM CLO Management 2019-11RA A1                                                | CUSIP: 12510TAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4973000 | PA      | $4841414.00   | 0.07%             | 2035-01-20      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| CBAM CLO Management            | CBAM CLO Management 2019-11RA B                                                 | CUSIP: 12510TAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2006778 | PA      | $1907850.00   | 0.03%             | 2035-01-20      | Floating      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| CIFC Funding Ltd               | CIFC Funding Ltd 2021-4A A                                                      | CUSIP: 12547DAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6344383 | PA      | $6244859.00   | 0.08%             | 2033-07-15      | Floating      | 5.13%                 | Yes           |                  2 | On Loan: No      |
| CIFC Funding Ltd               | CIFC Funding Ltd 2018-3A A                                                      | CUSIP: 12551YAA1<br>LEI: 635400OB7ZCBUWDQNV87 | Long             | ABS-CBDO         | CORP              | KY        |   3233000 | PA      | $3180923.00   | 0.04%             | 2031-07-18      | Floating      | 5.29%                 | Yes           |                  2 | On Loan: No      |
| CIFC Funding Ltd               | CIFC Funding Ltd 2021-7A B                                                      | CUSIP: 12567HAE2<br>LEI: 54930089HD7KU5NUS092 | Long             | ABS-CBDO         | CORP              | KY        |   1621184 | PA      | $1547983.00   | 0.02%             | 2035-01-23      | Floating      | 5.92%                 | Yes           |                  2 | On Loan: No      |
| Cedar Funding Ltd              | Cedar Funding Ltd 2019-11A A1R                                                  | CUSIP: 15033LAQ5<br>LEI: 2549004YLPCISGLL7978 | Long             | ABS-CBDO         | CORP              | KY        |   8174000 | PA      | $8015719.00   | 0.11%             | 2032-05-29      | Floating      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| Dryden Senior Loan Fund        | Dryden Senior Loan Fund 2020-83A A                                              | CUSIP: 26246EAC2<br>LEI: 2549001LFFVBUD1OX384 | Long             | ABS-CBDO         | CORP              | KY        |   2264477 | PA      | $2227591.00   | 0.03%             | 2032-01-18      | Floating      | 5.41%                 | Yes           |                  2 | On Loan: No      |
| Elmwood CLO II Ltd.            | Elmwood CLO VIII Ltd 2019-2A AR                                                 | CUSIP: 29001LAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2590000 | PA      | $2528731.00   | 0.03%             | 2034-04-20      | Floating      | 3.86%                 | Yes           |                  2 | On Loan: No      |
| Highbridge Loan Management Ltd | Highbridge Loan Management Ltd 2021-16A B                                       | CUSIP: 40440XAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1569525 | PA      | $1491855.00   | 0.02%             | 2035-01-23      | Floating      | 6.02%                 | Yes           |                  2 | On Loan: No      |
| LCM Ltd Partnership            | LCM LP 24A AR                                                                   | CUSIP: 50188YAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2257599 | PA      | $2220942.00   | 0.03%             | 2030-03-20      | Floating      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| Madison Park Funding Ltd       | Madison Park Funding Ltd 2019-35A A1R                                           | CUSIP: 55819MAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  11055000 | PA      | $10864810.00  | 0.14%             | 2032-04-20      | Floating      | 5.23%                 | Yes           |                  2 | On Loan: No      |
| Regatta XXIII Funding Ltd      | Regatta XXIII Funding Ltd 2021-4A B                                             | CUSIP: 75889FAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1732772 | PA      | $1651112.00   | 0.02%             | 2035-01-20      | Floating      | 5.94%                 | Yes           |                  2 | On Loan: No      |
| Sound Point CLO LTD            | Sound Point CLO Ltd 2019-1A AR                                                  | CUSIP: 83611KAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8304000 | PA      | $8127009.00   | 0.11%             | 2032-01-20      | Floating      | 3.79%                 | Yes           |                  2 | On Loan: No      |
| THL Credit Wind River 2019-1 C | THL Credit Wind River CLO Ltd 2019-1A AR                                        | CUSIP: 97316JAC7<br>LEI: 549300TGVPUHSOMYKZ89 | Long             | ABS-CBDO         | CORP              | KY        |   2394000 | PA      | $2321668.00   | 0.03%             | 2034-07-20      | Floating      | 3.87%                 | Yes           |                  2 | On Loan: No      |
| ACC Auto Trust                 | ACC Auto Trust 2022-A A                                                         | CUSIP: 00085YAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2218457 | PA      | $2177143.00   | 0.03%             | 2026-07-15      | Fixed         | 4.58%                 | Yes           |                  2 | On Loan: No      |
| ACM Auto Trust                 | ACM Auto Trust 2022-1A A                                                        | CUSIP: 00091QAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    779001 | PA      | $775179.00    | 0.01%             | 2029-04-20      | Fixed         | 3.23%                 | Yes           |                  2 | On Loan: No      |
| Affirm Inc                     | Affirm Asset Securitization Trust 2021-B A                                      | CUSIP: 00834DAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3492000 | PA      | $3310522.00   | 0.04%             | 2026-08-17      | Fixed         | 1.03%                 | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust       | Angel Oak Mortgage Trust I LLC 2019-5                                           | CUSIP: 03464KAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    423717 | PA      | $406392.00    | 0.01%             | 2049-10-25      | Variable      | 2.59%                 | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust       | Angel Oak Mortgage Trust I LLC 2019-6                                           | CUSIP: 03464VAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    366045 | PA      | $346866.00    | 0.01%             | 2059-11-25      | Variable      | 2.62%                 | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust       | Angel Oak Mortgage Trust I LLC 2020-3                                           | CUSIP: 03465LAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    886420 | PA      | $801247.00    | 0.01%             | 2065-04-25      | Variable      | 2.41%                 | Yes           |                  2 | On Loan: No      |
| Aqua Finance Trust             | Aqua Finance Trust 2021-A A                                                     | CUSIP: 03842VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1600575 | PA      | $1437360.00   | 0.02%             | 2046-07-17      | Fixed         | 1.54%                 | Yes           |                  2 | On Loan: No      |
| Arivo Acceptance Auto Loan Rec | Arivo Acceptance Auto Loan Receivables 2022-1A A                                | CUSIP: 04047EAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2038706 | PA      | $1978730.00   | 0.03%             | 2028-05-15      | Fixed         | 3.93%                 | Yes           |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | Barclays Commercial Mortgage Securities LLC 2017-DELC                           | CUSIP: 05552EAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2087000 | PA      | $2049029.00   | 0.03%             | 2036-08-15      | Floating      | 5.29%                 | Yes           |                  2 | On Loan: No      |
| BPR Trust                      | BPR Trust 2022-OANA A                                                           | CUSIP: 05592DAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9908000 | PA      | $9756517.00   | 0.13%             | 2037-04-15      | Floating      | 6.23%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                       | BX Commercial Mortgage Trust 2021-VINO A                                        | CUSIP: 05608KAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5957000 | PA      | $5737511.00   | 0.08%             | 2038-05-15      | Floating      | 4.97%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                       | BX Commercial Mortgage Trust 2021-LBA AV                                        | CUSIP: 05609BAV1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5146000 | PA      | $4901936.00   | 0.07%             | 2036-02-15      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                       | BX Commercial Mortgage Trust 2021-LBA AJV                                       | CUSIP: 05609BCD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5213000 | PA      | $4956813.00   | 0.07%             | 2036-02-15      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                       | BX Commercial Mortgage Trust 2021-VOLT B                                        | CUSIP: 05609VAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4636000 | PA      | $4384920.00   | 0.06%             | 2036-09-15      | Floating      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                       | BX Commercial Mortgage Trust 2021-VOLT D                                        | CUSIP: 05609VAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4869000 | PA      | $4556725.00   | 0.06%             | 2036-09-15      | Floating      | 5.97%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                       | BX Commercial Mortgage Trust 2022-FOX2 A2                                       | CUSIP: 05610AAW8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6587000 | PA      | $6065537.00   | 0.08%             | 2039-04-15      | Floating      | 5.08%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fun | Oceanview Mortgage Trust 2021-5 AF                                              | CUSIP: 07336JAX6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4629718 | PA      | $4157987.00   | 0.06%             | 2051-11-25      | Floating      | 4.37%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fun | Oceanview Mortgage Trust 2022-2 A1                                              | CUSIP: 07336NAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9524455 | PA      | $7948852.00   | 0.11%             | 2051-12-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                       | BX Commercial Mortgage Trust 2020-VKNG A                                        | CUSIP: 12433YAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    966664 | PA      | $943791.00    | 0.01%             | 2037-10-15      | Floating      | 5.38%                 | Yes           |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC        | CF Hippolyta Issuer LLC 2021-1A A1                                              | CUSIP: 12530MAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4427404 | PA      | $3819088.00   | 0.05%             | 2061-03-15      | Fixed         | 1.53%                 | Yes           |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC        | CF Hippolyta Issuer LLC 2021-1A B1                                              | CUSIP: 12530MAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1672173 | PA      | $1372554.00   | 0.02%             | 2061-03-15      | Fixed         | 1.98%                 | Yes           |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC        | CF Hippolyta Issuer LLC 2022-1A A1                                              | CUSIP: 12530MAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6783869 | PA      | $6575740.00   | 0.09%             | 2062-08-15      | Fixed         | 5.97%                 | Yes           |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC        | CF Hippolyta Issuer LLC 2022-1A A2                                              | CUSIP: 12530MAM7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16088871 | PA      | $15241620.00  | 0.20%             | 2062-08-15      | Fixed         | 6.11%                 | Yes           |                  2 | On Loan: No      |
| CIM Trust                      | CIM Trust 2021-NR1 A1                                                           | CUSIP: 12565YAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2375499 | PA      | $2236737.00   | 0.03%             | 2055-07-25      | Variable      | 2.57%                 | Yes           |                  2 | On Loan: No      |
| COLT Funding LLC               | COLT Funding LLC 2020-3                                                         | CUSIP: 12597QAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    312814 | PA      | $289680.00    | 0.00%             | 2065-04-27      | Variable      | 1.51%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | Credit Suisse Commercial Mortgage Trust 2019-ICE4                               | CUSIP: 12653VAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7883000 | PA      | $7792452.00   | 0.10%             | 2036-05-15      | Floating      | 5.30%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | Credit Suisse Commercial Mortgage Trust 2019-ICE4 C                             | CUSIP: 12653VAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1486000 | PA      | $1453651.00   | 0.02%             | 2036-05-15      | Floating      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | Credit Suisse Commercial Mortgage Trust 2021-WEHO A                             | CUSIP: 12657CAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3402261 | PA      | $3303732.00   | 0.04%             | 2023-04-15      | Floating      | 8.29%                 | Yes           |                  2 | On Loan: No      |
| CP EF ASSET SECURITIZATION I,  | CP EF Asset Securitization I LLC 2002-1A A                                      | CUSIP: 12662AAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2747307 | PA      | $2702468.00   | 0.04%             | 2030-04-15      | Fixed         | 5.96%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust | Carvana Auto Receivables Trust 2021-P4 A2                                       | CUSIP: 14687KAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1562283 | PA      | $1542201.00   | 0.02%             | 2025-04-10      | Fixed         | 0.82%                 | No            |                  2 | On Loan: No      |
| Cold Storage Trust             | Cold Storage Trust 2020-ICE5 A                                                  | CUSIP: 193051AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6622407 | PA      | $6449055.00   | 0.09%             | 2037-11-15      | Floating      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| Cold Storage Trust             | Cold Storage Trust 2020-ICE5 B                                                  | CUSIP: 193051AJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2944057 | PA      | $2850277.00   | 0.04%             | 2037-11-15      | Floating      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Cold Storage Trust             | Cold Storage Trust 2020-ICE5 C                                                  | CUSIP: 193051AL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2955853 | PA      | $2859000.00   | 0.04%             | 2037-11-15      | Floating      | 5.97%                 | Yes           |                  2 | On Loan: No      |
| COLT Funding LLC               | COLT Funding LLC 2020-2                                                         | CUSIP: 19688JAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     86487 | PA      | $84135.00     | 0.00%             | 2065-03-25      | Variable      | 1.85%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2019-R02                                    | CUSIP: 20753KAB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    124503 | PA      | $124263.00    | 0.00%             | 2031-08-25      | Floating      | 6.69%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2018-R07                                    | CUSIP: 20753QAE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    388066 | PA      | $386916.00    | 0.01%             | 2031-04-25      | Floating      | 6.79%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2022-R03 1M1                                | CUSIP: 20753XAA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   6812814 | PA      | $6774625.00   | 0.09%             | 2042-03-25      | Floating      | 6.03%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2022-R04 1M1                                | CUSIP: 20753YCH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   2929858 | PA      | $2922801.00   | 0.04%             | 2042-03-25      | Floating      | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2021-R03 1M2                                | CUSIP: 20754AAB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   3124000 | PA      | $2900937.00   | 0.04%             | 2041-12-25      | Floating      | 5.58%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2022-R02 2M2                                | CUSIP: 20754BAB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   3661000 | PA      | $3450167.00   | 0.05%             | 2042-01-25      | Floating      | 6.93%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2022-R05 2M1                                | CUSIP: 20754DAA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   3271858 | PA      | $3240525.00   | 0.04%             | 2042-04-25      | Floating      | 5.83%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2022-R05 2M2                                | CUSIP: 20754DAB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   2737000 | PA      | $2664942.00   | 0.04%             | 2042-04-25      | Floating      | 6.93%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2021-R02 2M2                                | CUSIP: 20754KAB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   9573000 | PA      | $8909107.00   | 0.12%             | 2041-11-25      | Floating      | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2022-R06 1M1                                | CUSIP: 20754NAB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   2224579 | PA      | $2244879.00   | 0.03%             | 2042-05-25      | Floating      | 6.68%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2022-R08 1M1                                | CUSIP: 20755DAA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1828718 | PA      | $1833927.00   | 0.03%             | 2042-07-25      | Floating      | 6.48%                 | Yes           |                  2 | On Loan: No      |
| Conn Funding II, L.P           | Conn Funding II LP 2021-A A                                                     | CUSIP: 20825GAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3512 | PA      | $3506.00      | 0.00%             | 2026-05-15      | Fixed         | 1.05%                 | Yes           |                  2 | On Loan: No      |
| Consumer Loan Underlying Bond  | Consumer Loan Underlying Bond Credit Trust 2019-P2 C                            | CUSIP: 21054PAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    648351 | PA      | $644377.00    | 0.01%             | 2026-10-15      | Fixed         | 4.41%                 | Yes           |                  2 | On Loan: No      |
| Consumer Loan Underlying Bond  | Consumer Loan Underlying Bond Credit Trust 2020-P1 C                            | CUSIP: 21055JAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    330729 | PA      | $327536.00    | 0.00%             | 2028-03-15      | Fixed         | 4.61%                 | Yes           |                  2 | On Loan: No      |
| Diamond Infrastructure Funding | Diamond Infrastructure Funding LLC 2021-1A A                                    | CUSIP: 25265LAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4917000 | PA      | $4027450.00   | 0.05%             | 2049-04-15      | Fixed         | 1.76%                 | Yes           |                  2 | On Loan: No      |
| Dominos Pizza Master Issuer LL | Domino's Pizza Master Issuer LLC                                                | CUSIP: 25755TAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3297600 | PA      | $3110559.00   | 0.04%             | 2048-07-25      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables  | Exeter Automobile Receivables Trust 2021-1A D                                   | CUSIP: 30166RAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3089000 | PA      | $2878554.00   | 0.04%             | 2026-11-16      | Fixed         | 1.08%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables  | Exeter Automobile Receivables Trust 2019-1                                      | CUSIP: 30167DAE7<br>LEI: 549300KR7NUJOX0UJ040 | Long             | ABS-O            | CORP              | US        |   2365000 | PA      | $2342841.00   | 0.03%             | 2026-01-15      | Fixed         | 5.20%                 | Yes           |                  2 | On Loan: No      |
| Extended Stay America Trust    | Extended Stay America Trust 2021-ESH A                                          | CUSIP: 30227FAA8<br>LEI: 549300IESZBC3BJUJW64 | Long             | ABS-O            | CORP              | US        |   2523457 | PA      | $2450094.00   | 0.03%             | 2038-07-15      | Floating      | 5.40%                 | Yes           |                  2 | On Loan: No      |
| Extended Stay America Trust    | Extended Stay America Trust 2021-ESH B                                          | CUSIP: 30227FAE0<br>LEI: 549300IESZBC3BJUJW64 | Long             | ABS-O            | CORP              | US        |   1623408 | PA      | $1555216.00   | 0.02%             | 2038-07-15      | Floating      | 5.70%                 | Yes           |                  2 | On Loan: No      |
| FREED ABS Trust                | FREED ABS Trust 2019-2 C                                                        | CUSIP: 30312JAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    434188 | PA      | $433728.00    | 0.01%             | 2026-11-18      | Fixed         | 4.86%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2014-C04                                    | CUSIP: 30711XAP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    187047 | PA      | $192335.00    | 0.00%             | 2024-11-25      | Floating      | 9.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2015-C01 1M2                                | CUSIP: 30711XAT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1234001 | PA      | $1257942.00   | 0.02%             | 2025-02-25      | Floating      | 8.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 30711XBB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    877515 | PA      | $910102.00    | 0.01%             | 2025-07-25      | Floating      | 9.39%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust        | Flagstar Mortgage Trust 2021-13IN A2                                            | CUSIP: 33853HAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9715489 | PA      | $8108276.00   | 0.11%             | 2051-12-30      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Foursight Capital Automobile R | Foursight Capital Auto Receivables Trust 2021-1 B                               | CUSIP: 35105WAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2276000 | PA      | $2218321.00   | 0.03%             | 2026-01-15      | Fixed         | 0.87%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac Structured Agency Credit Risk Debt Notes 2021-HQA1 M2               | CUSIP: 35564KBS7<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   6600000 | PA      | $6079707.00   | 0.08%             | 2033-08-25      | Floating      | 6.18%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac Structured Agency Credit Risk Debt Notes 2021-DNA2 M2               | CUSIP: 35564KDB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   3039948 | PA      | $3006219.00   | 0.04%             | 2033-08-25      | Floating      | 6.23%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac Structured Agency Credit Risk Debt Notes 2022-HQA3 M1A              | CUSIP: 35564KE39<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   2083379 | PA      | $2074831.00   | 0.03%             | 2042-08-25      | Floating      | 6.23%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac Structured Agency Credit Risk Debt Notes 2021-HQA4 M1               | CUSIP: 35564KNK1<br>LEI: 5493005LAQ76UDHPEE03 | Long             | ABS-O            | USGSE             | US        |   7046076 | PA      | $6685161.00   | 0.09%             | 2041-12-25      | Floating      | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac Structured Agency Credit Risk Debt Notes 2022-HQA1 M1A              | CUSIP: 35564KTA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   3000910 | PA      | $2973360.00   | 0.04%             | 2042-03-25      | Floating      | 6.03%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac Structured Agency Credit Risk Debt Notes 2022-DNA5 M1A              | CUSIP: 35564KYN3<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   4502831 | PA      | $4543798.00   | 0.06%             | 2042-06-25      | Floating      | 6.88%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac Structured Agency Credit Risk Debt Notes 2020-HQA2 M2               | CUSIP: 35565LAH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1335152 | PA      | $1345547.00   | 0.02%             | 2050-03-25      | Floating      | 7.49%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac Structured Agency Credit Risk Debt Notes 2020-HQA4 M2               | CUSIP: 35565RAH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     19949 | PA      | $19949.00     | 0.00%             | 2050-09-25      | Floating      | 7.54%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac Structured Agency Credit Risk Debt Notes 2020-HQA5 M2               | CUSIP: 35565TAH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   4476524 | PA      | $4422090.00   | 0.06%             | 2050-11-25      | Floating      | 6.53%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac Structured Agency Credit Risk Debt Notes 2020-DNA6 M2               | CUSIP: 35566CAH8<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   4041189 | PA      | $4009255.00   | 0.05%             | 2050-12-25      | Floating      | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Freedom Financial              | FREED ABS Trust 2022-3FP A                                                      | CUSIP: 35634EAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2271199 | PA      | $2262565.00   | 0.03%             | 2029-08-20      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| GCAT                           | GCAT 2022-INV1 A1                                                               | CUSIP: 36168YAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12609861 | PA      | $10386025.00  | 0.14%             | 2051-12-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| NRZ Excess Spread Collateraliz | NRZ Excess Spread Collateralized Notes 2020-PLS1 A                              | CUSIP: 433674AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1083815 | PA      | $987760.00    | 0.01%             | 2025-12-25      | Fixed         | 3.84%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank, NA - CACL | Chase Auto Credit Linked Notes 2021-1 B                                         | CUSIP: 46591HBR0<br>LEI: 7H6GLXDRUGQFU57RNE97 | Long             | ABS-O            | CORP              | US        |    870551 | PA      | $835611.00    | 0.01%             | 2028-09-25      | Fixed         | 0.88%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor | JP Morgan Chase Commercial Mortgage Sec Trust 2020-ACE A                        | CUSIP: 46591PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6696000 | PA      | $6156596.00   | 0.08%             | 2037-01-10      | Fixed         | 3.29%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank, NA - CACL | Chase Auto Credit Linked Notes 2021-2 B                                         | CUSIP: 48128U2M0<br>LEI: 7H6GLXDRUGQFU57RNE97 | Long             | ABS-O            | CORP              | US        |   2031423 | PA      | $1941128.00   | 0.03%             | 2028-12-26      | Fixed         | 0.89%                 | Yes           |                  2 | On Loan: No      |
| LAD Auto Receivables Trust     | LAD Auto Receivables Trust 2021-1A A                                            | CUSIP: 501683AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1845409 | PA      | $1790937.00   | 0.02%             | 2026-08-17      | Fixed         | 1.30%                 | Yes           |                  2 | On Loan: No      |
| LAD Auto Receivables Trust     | LAD Auto Receivables Trust 2022-1A A                                            | CUSIP: 501687AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6646339 | PA      | $6536955.00   | 0.09%             | 2027-06-15      | Fixed         | 5.21%                 | Yes           |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust  | Lendbuzz Securitization Trust 2021-1A A                                         | CUSIP: 52607KAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5206902 | PA      | $5002044.00   | 0.07%             | 2027-05-17      | Fixed         | 4.22%                 | Yes           |                  2 | On Loan: No      |
| Oasis Securitisation           | Oasis Securitization 2022-2A A                                                  | CUSIP: 53161MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2057876 | PA      | $2046391.00   | 0.03%             | 2034-10-15      | Fixed         | 6.85%                 | Yes           |                  2 | On Loan: No      |
| Oasis Securitisation           | Oasis Securitization 2022-1A A                                                  | CUSIP: 53161NAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1897184 | PA      | $1861155.00   | 0.03%             | 2034-05-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Life Financial Services Trust  | Life Financial Services Trust 2021-BMR A                                        | CUSIP: 53218CAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7252354 | PA      | $7022498.00   | 0.09%             | 2038-03-15      | Floating      | 5.02%                 | Yes           |                  2 | On Loan: No      |
| Life Financial Services Trust  | Life Financial Services Trust 2021-BMR C                                        | CUSIP: 53218CAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4199248 | PA      | $3991235.00   | 0.05%             | 2038-03-15      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| Life Financial Services Trust  | Life Financial Services Trust 2022-BMR2 A1                                      | CUSIP: 53218DAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11353000 | PA      | $11071798.00  | 0.15%             | 2039-05-15      | Floating      | 5.63%                 | Yes           |                  2 | On Loan: No      |
| Life Financial Services Trust  | Life Financial Services Trust 2022-BMR2 B                                       | CUSIP: 53218DAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1854000 | PA      | $1789810.00   | 0.02%             | 2039-05-15      | Floating      | 6.13%                 | Yes           |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust  | MHC Commercial Mortgage Trust 2021-MHC A                                        | CUSIP: 55316VAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7718888 | PA      | $7487878.00   | 0.10%             | 2038-04-15      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust  | MHC Commercial Mortgage Trust 2021-MHC C                                        | CUSIP: 55316VAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4357691 | PA      | $4153342.00   | 0.06%             | 2038-04-15      | Floating      | 5.67%                 | Yes           |                  2 | On Loan: No      |
| MED Trust                      | MED Trust 2021-MDLN C                                                           | CUSIP: 58403YAN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1406000 | PA      | $1333310.00   | 0.02%             | 2038-11-15      | Floating      | 6.12%                 | Yes           |                  2 | On Loan: No      |
| MED Trust                      | MED Trust 2021-MDLN D                                                           | CUSIP: 58403YAR7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1427000 | PA      | $1350867.00   | 0.02%             | 2038-11-15      | Floating      | 6.32%                 | Yes           |                  2 | On Loan: No      |
| MED Trust                      | MED Trust 2021-MDLN E                                                           | CUSIP: 58403YAU0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6334000 | PA      | $5879276.00   | 0.08%             | 2038-11-15      | Floating      | 7.47%                 | Yes           |                  2 | On Loan: No      |
| MED Trust                      | MED Trust 2021-MDLN F                                                           | CUSIP: 58403YAX4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3985000 | PA      | $3669863.00   | 0.05%             | 2038-11-15      | Floating      | 8.32%                 | Yes           |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta | Mello Mortgage Capital Acceptance Trust 2022-INV1 A2                            | CUSIP: 585490AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8554598 | PA      | $7015154.00   | 0.09%             | 2052-03-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta | Mello Mortgage Capital Acceptance Trust 2021-INV3 A11                           | CUSIP: 585491BC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4069287 | PA      | $3673924.00   | 0.05%             | 2051-10-25      | Floating      | 4.47%                 | Yes           |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta | Mello Mortgage Capital Acceptance Trust 2021-INV2 A11                           | CUSIP: 58549XBC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3237097 | PA      | $2918979.00   | 0.04%             | 2051-08-25      | Floating      | 4.47%                 | Yes           |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta | Mello Mortgage Capital Acceptance Trust 2021-INV4 A3                            | CUSIP: 58550NAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2895821 | PA      | $2312711.00   | 0.03%             | 2051-12-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Mercury Financial Credit Card  | Mercury Financial Credit Card Master Trust 2021-1A A                            | CUSIP: 58940BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3873000 | PA      | $3707668.00   | 0.05%             | 2026-03-20      | Fixed         | 1.54%                 | Yes           |                  2 | On Loan: No      |
| NRZ Excess Spread Collateraliz | NRZ Excess Spread Collateralized Notes 2021-FHT1 A                              | CUSIP: 62955MAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2923130 | PA      | $2537845.00   | 0.03%             | 2026-07-25      | Fixed         | 3.10%                 | Yes           |                  2 | On Loan: No      |
| New Economy Assets Phase 1 Iss | New Economy Assets Phase 1 Issuer LLC 2021-1 B1                                 | CUSIP: 643821AB7<br>LEI: 549300Q2EHQ6RJPQKP05 | Long             | ABS-O            | CORP              | US        |   2779000 | PA      | $2282990.00   | 0.03%             | 2061-10-20      | Fixed         | 2.41%                 | Yes           |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | Onslow Bay Financial LLC 2022-INV1 A1                                           | CUSIP: 67115NAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9594639 | PA      | $8009110.00   | 0.11%             | 2051-12-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | Onslow Bay Financial LLC 2022-INV1 A18                                          | CUSIP: 67115NAU4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4068624 | PA      | $3220090.00   | 0.04%             | 2051-12-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | Onslow Bay Financial LLC 2021-INV3 A3                                           | CUSIP: 67117JAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3515422 | PA      | $2810483.00   | 0.04%             | 2051-10-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Oak Street Investment Grade Ne | Oak Street Investment Grade Net Lease Fund 2020-1A A1                           | CUSIP: 67181DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3624358 | PA      | $3222210.00   | 0.04%             | 2050-11-20      | Fixed         | 1.85%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fun | Oceanview Mortgage Trust 2022-1 A1                                              | CUSIP: 67648BAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5103995 | PA      | $4259648.00   | 0.06%             | 2051-12-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag | Preston Ridge Partners Mortgage Trust 2020-4 A1                                 | CUSIP: 69359XAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2567937 | PA      | $2409247.00   | 0.03%             | 2025-10-25      | Variable      | 2.95%                 | Yes           |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag | Preston Ridge Partners Mortgage Trust 2021-10 A1                                | CUSIP: 69360HAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7373091 | PA      | $6629797.00   | 0.09%             | 2026-10-25      | Variable      | 2.49%                 | Yes           |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag | Preston Ridge Partners Mortgage Trust 2021-9 A1                                 | CUSIP: 69360XAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5403839 | PA      | $4894714.00   | 0.07%             | 2026-10-25      | Variable      | 2.36%                 | Yes           |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust | Pagaya AI Debt Selection Trust 2022-1 A                                         | CUSIP: 69546MAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2665044 | PA      | $2541285.00   | 0.03%             | 2029-10-15      | Fixed         | 2.03%                 | Yes           |                  2 | On Loan: No      |
| Woodward Capital Management    | Woodward Capital Management 2021-3 A21                                          | CUSIP: 74938DAW3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2867515 | PA      | $2569624.00   | 0.03%             | 2051-07-25      | Floating      | 4.32%                 | Yes           |                  2 | On Loan: No      |
| SMRT                           | SMRT 2022-MINI A                                                                | CUSIP: 78457JAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3586000 | PA      | $3461749.00   | 0.05%             | 2039-01-15      | Floating      | 5.34%                 | Yes           |                  2 | On Loan: No      |
| SREIT Trust                    | SREIT Trust 2021-MFP A                                                          | CUSIP: 78472UAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    710000 | PA      | $682762.00    | 0.01%             | 2038-11-15      | Floating      | 5.05%                 | Yes           |                  2 | On Loan: No      |
| Santander Drive Auto Receivabl | Santander Drive Auto Receivables Trust 2020-3 D                                 | CUSIP: 80285WAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7470000 | PA      | $7162291.00   | 0.10%             | 2026-11-16      | Fixed         | 1.64%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Lin | Santander Bank Auto Credit-Linked Notes 2021-1A B                               | CUSIP: 80290CAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1063685 | PA      | $1027256.00   | 0.01%             | 2031-12-15      | Fixed         | 1.83%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Lin | Santander Bank Auto Credit-Linked Notes 2022-A B                                | CUSIP: 80290CAS3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4324769 | PA      | $4187505.00   | 0.06%             | 2032-05-15      | Fixed         | 5.28%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Lin | Santander Bank Auto Credit-Linked Notes 2022-B A2                               | CUSIP: 80290CBD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1726046 | PA      | $1716501.00   | 0.02%             | 2032-08-16      | Fixed         | 5.59%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2013-5                                                   | CUSIP: 81745AAA5<br>LEI: 549300671OK77JNRLK28 | Long             | ABS-O            | CORP              | US        |    665087 | PA      | $574043.00    | 0.01%             | 2043-05-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2020-2                                                   | CUSIP: 81748KBN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    253902 | PA      | $221390.00    | 0.00%             | 2050-03-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| SPRUCE HILL MORTGAGE LOAN TRUS | Spruce Hill Mortgage Loan Trust 2020-SH1 A1                                     | CUSIP: 85209FAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     37718 | PA      | $37103.00     | 0.00%             | 2050-01-28      | Variable      | 2.52%                 | Yes           |                  2 | On Loan: No      |
| SPRUCE HILL MORTGAGE LOAN TRUS | Spruce Hill Mortgage Loan Trust 2020-SH1 A2                                     | CUSIP: 85209FAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    198306 | PA      | $194586.00    | 0.00%             | 2050-01-28      | Variable      | 2.62%                 | Yes           |                  2 | On Loan: No      |
| TPI Re-Remic Trust             | TPI Re-Remic Trust 2022-FRR1 AK33                                               | CUSIP: 872659AA5<br>LEI: 335800RB49U7JFY3VP05 | Long             | ABS-O            | CORP              | US        |   2503000 | PA      | $2406408.00   | 0.03%             | 2046-07-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| TPI Re-Remic Trust             | TPI Re-Remic Trust 2022-FRR1 AK34                                               | CUSIP: 872659AC1<br>LEI: 335800RB49U7JFY3VP05 | Long             | ABS-O            | CORP              | US        |   2061000 | PA      | $1981465.00   | 0.03%             | 2046-07-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| TPI Re-Remic Trust             | TPI Re-Remic Trust 2022-FRR1 AK35                                               | CUSIP: 872659AE7<br>LEI: 335800RB49U7JFY3VP05 | Long             | ABS-O            | CORP              | US        |   2795000 | PA      | $2670760.00   | 0.04%             | 2046-08-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Tesla Auto Lease Trust         | Tesla Auto Lease Trust 2021-B A3                                                | CUSIP: 88161KAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2492000 | PA      | $2346604.00   | 0.03%             | 2025-09-22      | Fixed         | 0.60%                 | Yes           |                  2 | On Loan: No      |
| Tesla Auto Lease Trust         | Tesla Auto Lease Trust 2021-B B                                                 | CUSIP: 88161KAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1278000 | PA      | $1180802.00   | 0.02%             | 2025-09-22      | Fixed         | 0.91%                 | Yes           |                  2 | On Loan: No      |
| Theorem Funding Trust          | Theorem Funding Trust 2021-1A A                                                 | CUSIP: 88339VAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2707826 | PA      | $2657952.00   | 0.04%             | 2027-12-15      | Fixed         | 1.21%                 | Yes           |                  2 | On Loan: No      |
| Tricolor Auto Securitization T | Tricolor Auto Securitization Trust 2022-1A A                                    | CUSIP: 89616BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    632549 | PA      | $626946.00    | 0.01%             | 2025-02-18      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust | 208 Park Avenue Mortgage Trust 2017-280P                                        | CUSIP: 90205FAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3072117 | PA      | $2997006.00   | 0.04%             | 2034-09-15      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| United Wholesale Mortgage LLC  | United Wholesale Mortgage LLC 2021-INV1 A9                                      | CUSIP: 90354XAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3839433 | PA      | $3457179.00   | 0.05%             | 2051-08-25      | Floating      | 4.42%                 | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust   | Upstart Securitization Trust 2021-5 A                                           | CUSIP: 91679JAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1129053 | PA      | $1086871.00   | 0.01%             | 2031-11-20      | Fixed         | 1.31%                 | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust   | Upstart Securitization Trust 2022-2 A                                           | CUSIP: 91679TAA3<br>LEI: 549300WNB47JRNENIC75 | Long             | ABS-O            | CORP              | US        |   7567520 | PA      | $7366291.00   | 0.10%             | 2032-05-20      | Fixed         | 4.37%                 | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust   | Upstart Securitization Trust 2022-1 A                                           | CUSIP: 91679WAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5072561 | PA      | $4869471.00   | 0.07%             | 2032-03-20      | Fixed         | 3.12%                 | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust   | Upstart Securitization Trust 2021-4 A                                           | CUSIP: 91682NAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1619218 | PA      | $1567011.00   | 0.02%             | 2031-09-20      | Fixed         | 0.84%                 | Yes           |                  2 | On Loan: No      |
| VCAT Asset Securitization, LLC | VCAT Asset Securitization LLC 2021-NPL1 A1                                      | CUSIP: 91790CAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    795501 | PA      | $749937.00    | 0.01%             | 2050-12-26      | Variable      | 2.29%                 | Yes           |                  2 | On Loan: No      |
| United Wholesale Mortgage LLC  | United Wholesale Mortgage LLC 2021-INV4 A3                                      | CUSIP: 918307AC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2235917 | PA      | $1803742.00   | 0.02%             | 2051-12-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Vantage Data Centers LLC       | Vantage Data Centers LLC 2020-1A A2                                             | CUSIP: 92212KAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4798000 | PA      | $4223600.00   | 0.06%             | 2045-09-15      | Fixed         | 1.65%                 | Yes           |                  2 | On Loan: No      |
| Vantage Data Centers LLC       | Vantage Data Centers LLC 2020-2A A2                                             | CUSIP: 92212KAC0<br>LEI: 5493000RL8X7WTQ7HO20 | Long             | ABS-O            | CORP              | US        |   3097000 | PA      | $2534955.00   | 0.03%             | 2045-09-15      | Fixed         | 1.99%                 | Yes           |                  2 | On Loan: No      |
| VASA Trust                     | VASA Trust 2021-VASA A                                                          | CUSIP: 92230AAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2382000 | PA      | $2204271.00   | 0.03%             | 2039-07-15      | Floating      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag | Wells Fargo Commercial Mortgage Trust 2021-SAVE A                               | CUSIP: 95003LAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2281645 | PA      | $2131764.00   | 0.03%             | 2040-02-15      | Floating      | 5.47%                 | Yes           |                  2 | On Loan: No      |
| Westgate Resorts               | Westgate Resorts 2022-1A A                                                      | CUSIP: 96034JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1544439 | PA      | $1472432.00   | 0.02%             | 2036-08-20      | Fixed         | 1.79%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivable | Westlake Automobile Receivable Trust 2020-1A D                                  | CUSIP: 96042KAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3399000 | PA      | $3320465.00   | 0.04%             | 2025-06-16      | Fixed         | 2.80%                 | Yes           |                  2 | On Loan: No      |
| N/A                            | US 5YR NOTE (CBT) Mar23                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      1191 | NC      | $-340278.00   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US 2YR NOTE (CBT) Mar23                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      1769 | NC      | $207306.00    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US 10YR NOTE (CBT)Mar23                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       611 | NC      | $-644414.00   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US 10yr Ultra Fut Mar23                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -468 | NC      | $698344.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US ULTRA BOND CBT Mar23                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       611 | NC      | $-2099631.00  | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-14

**Name of Applicant:** JANUS ASPEN SERIES

**Signature:** JESPER NERGAARD

**Name of Signer:** JESPER NERGAARD

**Title:** VP, CFO, TREASURER, AND PRINCIPAL ACCOUNTING OFFICER