# EDGAR Filing Document

**Accession Number:** 0000063075
**File Stem:** 0002071691-26-015566
**Filing Date:** 2026-6
**Character Count:** 470790
**Document Hash:** a36cacb6936605c8363fe4e88029b3dc
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-26-015566.hdr.sgml**: 20260629

**ACCESSION NUMBER**: 0002071691-26-015566

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260430

**FILED AS OF DATE**: 20260629

**DATE AS OF CHANGE**: 20260629

**PERIOD START**: 20260430

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** MFS SERIES TRUST IX
- **CENTRAL INDEX KEY:** 0000063075

**ORGANIZATION NAME:**
- **EIN:** 042535629
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0430

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-02464
- **FILM NUMBER:** 261132297

**BUSINESS ADDRESS:**
- **STREET 1:** 111 HUNTINGTON AVENUE
- **STREET 2:** 21ST FLOOR
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02199
- **BUSINESS PHONE:** 18006372929

**MAIL ADDRESS:**
- **STREET 1:** 111 HUNTINGTON AVENUE
- **STREET 2:** 21ST FLOOR
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02199

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MFS SERIES TRUST IX /MA/
- **DATE OF NAME CHANGE:** 19951218

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MFS SERIES TRUST IX
- **DATE OF NAME CHANGE:** 19950207

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MFS BOND FUND
- **DATE OF NAME CHANGE:** 19930408

## Series and Classes Contracts Data

### MFS Total Return Bond Fund (Series ID: S000002497)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000006760 | A            | MRBFX           |
| C000006761 | R4           | MRBJX           |
| C000006765 | B            | MRBBX           |
| C000006766 | C            | MRBCX           |
| C000006767 | I            | MRBIX           |
| C000006769 | R1           | MRBGX           |
| C000006771 | R2           | MRRRX           |
| C000006772 | R3           | MRBHX           |
| C000034443 | R6           | MRBKX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** MFS Series Trust IX

- **b. Investment Company Act file number:** 811-02464

- **c. CIK number of Registrant:** 0000063075

- **d. LEI of Registrant:** 549300IJONSVWD5I9F62

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

  - **Street Address 1:** 111 Huntington Avenue

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02199

  - **Telephone number:** 617-954-5000

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

- **a. Name of Series:** MFS Total Return Bond Fund

- **b. EDGAR series identifier (if any):** S000002497

- **c. LEI of Series:** FJAEEQMSDDUK9QL2E558

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

- **a. Date of fiscal year-end:** 2026-04-30

- **b. Date as of which information is reported:** 2026-04-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $8382721457.76

**Total Liabilities:** $124123176.72

**Net Assets:** $8258598281.04

**Delayed Delivery Securities:** $95535786.13

**Cash Not Reported:** $4556809.82

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -12493.74649170 | **1-Year:** -239743.36682270 | **5-Year:** -718644.55774380 | **10-Year:** -586095.74989190 | **30-Year:** -197494.33567050

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

- **3-Month:** -4965.46543280 | **1-Year:** -84542.95707650 | **5-Year:** -132320.71018890 | **10-Year:** -30400.80523650 | **30-Year:** -5097.52211490

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000006760 | 1.56%                | -1.75%               | 0.20%                |
| Class ID C000006761 | 1.58%                | -1.83%               | 0.22%                |
| Class ID C000006765 | 1.50%                | -1.81%               | 0.14%                |
| Class ID C000006766 | 1.49%                | -1.92%               | 0.13%                |
| Class ID C000006767 | 1.58%                | -1.73%               | 0.22%                |
| Class ID C000006769 | 1.49%                | -1.92%               | 0.24%                |
| Class ID C000006771 | 1.54%                | -1.78%               | 0.18%                |
| Class ID C000006772 | 1.56%                | -1.76%               | 0.20%                |
| Class ID C000034443 | 1.59%                | -1.73%               | 0.22%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $1613689.09              | $90241680.87                               |
| Month 2  | $-1330942.79             | $-158438881.66                             |
| Month 3  | $-2051223.67             | $-2736346.13                               |

**Designated Index Information**

- **Index Name:** BBG Barc US Aggregate Index

- **Index Identifier:** LBSTRUU

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Acrec 2025 Fl LLC                                      | Acrec 2025 Fl LLC, Series 2025-FL3, Class AS                                     | CUSIP: 00112HAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  23763500 | PA      | $23752141.05  | 0.29%             | 2042-08-18      | Floating      | 5.30%                 | Yes           |                  2 | On Loan: No      |
| APA Infrastructure Ltd.                                | APA Infrastructure Ltd.                                                          | CUSIP: 00188LAA5<br>LEI: 261700SS8OEHDOCOUJ33 | Long             | DBT              | CORP              | AU        |   8531000 | PA      | $8449611.79   | 0.10%             | 2034-09-16      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| AREIT Ltd.                                             | AREIT Ltd., Series 2025-CRE10, Class AS                                          | CUSIP: 00193DAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  21646489 | PA      | $21593894.53  | 0.26%             | 2030-01-17      | Floating      | 5.21%                 | Yes           |                  2 | On Loan: No      |
| Acore Issuer LLC                                       | Acore Issuer LLC, Series 2026-FL1, Class AS                                      | CUSIP: 00485EAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  14778000 | PA      | $14796447.38  | 0.18%             | 2043-08-20      | Floating      | 5.36%                 | Yes           |                  2 | On Loan: No      |
| Acore Issuer LLC                                       | Acore Issuer LLC, Series 2026-FL1, Class B                                       | CUSIP: 00485EAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12922500 | PA      | $12938432.15  | 0.16%             | 2043-08-20      | Floating      | 5.56%                 | Yes           |                  2 | On Loan: No      |
| ACREC Ltd.                                             | ACREC Ltd., Series 2021-FL1, Class C                                             | CUSIP: 00500RAG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  10841500 | PA      | $10840832.16  | 0.13%             | 2036-10-16      | Floating      | 5.93%                 | Yes           |                  2 | On Loan: No      |
| ACREC Ltd.                                             | ACREC Ltd., Series 2021-FL1, Class D                                             | CUSIP: 00500RAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  13074500 | PA      | $13050625.96  | 0.16%             | 2036-10-16      | Floating      | 6.43%                 | Yes           |                  2 | On Loan: No      |
| ACRES Commercial Realty Issuer LLC                     | ACRES Commercial Realty Issuer LLC, Series 2026-FL4, Class AS                    | CUSIP: 00501XAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  20973000 | PA      | $21026749.60  | 0.25%             | 2044-08-18      | Floating      | 5.61%                 | Yes           |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                             | AerCap Ireland Capital DAC                                                       | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |  10175000 | PA      | $9804437.90   | 0.12%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                             | AerCap Ireland Capital DAC                                                       | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   5012000 | PA      | $4581155.60   | 0.06%             | 2032-01-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Adventist Health System                                | Adventist Health System                                                          | CUSIP: 007944AH4<br>LEI: 5493008YM33UCY5QPW83 | Long             | DBT              | CORP              | US        |  21168000 | PA      | $21444790.65  | 0.26%             | 2032-03-01      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| Affirm Asset Securitization Trust                      | Affirm Asset Securitization Trust, Series 2025-X1, Class A                       | CUSIP: 00834MAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    171589 | PA      | $171666.68    | 0.00%             | 2030-04-15      | Fixed         | 5.08%                 | Yes           |                  2 | On Loan: No      |
| Alcon Finance Corp.                                    | Alcon Finance Corp.                                                              | CUSIP: 01400EAA1<br>LEI: 549300CUZUI9VU7XNK42 | Long             | DBT              | CORP              | US        |   4432000 | PA      | $4405337.71   | 0.05%             | 2026-09-23      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| Alcon Finance Corp.                                    | Alcon Finance Corp.                                                              | CUSIP: 01400EAB9<br>LEI: 549300CUZUI9VU7XNK42 | Long             | DBT              | CORP              | US        |   7500000 | PA      | $7137074.93   | 0.09%             | 2029-09-23      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Alcon Finance Corp.                                    | Alcon Finance Corp.                                                              | CUSIP: 01400EAD5<br>LEI: 549300CUZUI9VU7XNK42 | Long             | DBT              | CORP              | US        |   7998000 | PA      | $7403363.58   | 0.09%             | 2030-05-27      | Fixed         | 2.60%                 | Yes           |                  2 | On Loan: No      |
| Alcon Finance Corp.                                    | Alcon Finance Corp.                                                              | CUSIP: 01400EAE3<br>LEI: 549300CUZUI9VU7XNK42 | Long             | DBT              | CORP              | US        |   6013000 | PA      | $6151772.16   | 0.07%             | 2032-12-06      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | UMBS, 30 Year, Single Family                                                     | CUSIP: 01F022659<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  41275000 | PA      | $34555547.22  | 0.42%             | 2056-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | UMBS, 30 Year, Single Family                                                     | CUSIP: 01F030652<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1425000 | PA      | $1247291.84   | 0.02%             | 2056-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | UMBS, 30 Year, Single Family                                                     | CUSIP: 01F040651<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10700000 | PA      | $10033341.32  | 0.12%             | 2056-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | UMBS, 30 Year, Single Family                                                     | CUSIP: 01F052656<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11075000 | PA      | $11130090.93  | 0.13%             | 2056-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | UMBS, 30 Year, Single Family                                                     | CUSIP: 01F060659<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12725000 | PA      | $12990093.94  | 0.16%             | 2056-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ambac Assurance Corp.                                  | Ambac Assurance Corp.                                                            | CUSIP: 023138AA8<br>LEI: 549300RYYRVPPB8NC636 | Long             | DBT              | CORP              | US        |     13854 | PA      | $18286.94     | 0.00%             | 2049-12-31      | Fixed         | 5.10%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust           | American Credit Acceptance Receivables Trust, Series 2025-4, Class A             | CUSIP: 024948AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  23369055 | PA      | $23394634.64  | 0.28%             | 2029-05-14      | Fixed         | 4.42%                 | Yes           |                  2 | On Loan: No      |
| American Electric Power Co., Inc.                      | American Electric Power Co., Inc.                                                | CUSIP: 025537AW1<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |  13723000 | PA      | $14476845.70  | 0.18%             | 2032-11-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                               | Angel Oak Mortgage Trust, Series 2024-9, Class A1                                | CUSIP: 03466JAA7<br>LEI: 254900O3R79X1AD55F36 | Long             | ABS-MBS          | CORP              | US        |  10471353 | PA      | $10468762.44  | 0.13%             | 2069-09-25      | Variable      | 5.14%                 | Yes           |                  2 | On Loan: No      |
| Anglo American Capital plc                             | Anglo American Capital plc                                                       | CUSIP: 034863BA7<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |  12521000 | PA      | $11452198.42  | 0.14%             | 2031-03-17      | Fixed         | 2.88%                 | Yes           |                  2 | On Loan: No      |
| Anglo American Capital plc                             | Anglo American Capital plc                                                       | CUSIP: 034863BB5<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |  16098000 | PA      | $15810744.23  | 0.19%             | 2029-03-16      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Anglo American Capital plc                             | Anglo American Capital plc                                                       | CUSIP: 034863BC3<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |  20205000 | PA      | $16657000.99  | 0.20%             | 2052-03-16      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                               | Angel Oak Mortgage Trust, Series 2024-12, Class A1                               | CUSIP: 034932AA1<br>LEI: 254900S8TF74AZOT0548 | Long             | ABS-MBS          | CORP              | US        |  17595766 | PA      | $17693360.67  | 0.21%             | 2069-10-25      | Variable      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                               | Angel Oak Mortgage Trust, Series 2024-10, Class A1                               | CUSIP: 034933AA9<br>LEI: 254900QN92XYN8GJBJ44 | Long             | ABS-MBS          | CORP              | US        |  19408209 | PA      | $19453404.55  | 0.24%             | 2069-10-25      | Variable      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                               | Angel Oak Mortgage Trust, Series 2025-10, Class A1                               | CUSIP: 034940AA4<br>LEI: 254900CFOEUA52TRVZ51 | Long             | ABS-MBS          | CORP              | US        |   6766933 | PA      | $6741353.12   | 0.08%             | 2070-09-25      | Variable      | 4.96%                 | Yes           |                  2 | On Loan: No      |
| Arbor Realty Commercial Real Estate Notes Ltd.         | Arbor Realty Commercial Real Estate Notes Ltd., Series 2021-FL4, Class A         | CUSIP: 03880RAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1040571 | PA      | $1040580.10   | 0.01%             | 2036-11-15      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Arbor Realty Commercial Real Estate Notes Ltd.         | Arbor Realty Commercial Real Estate Notes Ltd., Series 2021-FL4, Class C         | CUSIP: 03880RAG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  14892500 | PA      | $14894608.78  | 0.18%             | 2036-11-15      | Floating      | 6.07%                 | Yes           |                  2 | On Loan: No      |
| Arbor Realty Commercial Real Estate Notes Ltd.         | Arbor Realty Commercial Real Estate Notes Ltd., Series 2022-FL1, Class D         | CUSIP: 03880XAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  40620500 | PA      | $40620190.07  | 0.49%             | 2037-01-15      | Floating      | 6.64%                 | Yes           |                  2 | On Loan: No      |
| Arbor Realty Commercial Real Estate Notes LLC          | Arbor Realty Commercial Real Estate Notes LLC, Series 2026-FL1, Class AS         | CUSIP: 03881XAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2472305 | PA      | $2476172.18   | 0.03%             | 2043-09-20      | Floating      | 5.41%                 | Yes           |                  2 | On Loan: No      |
| Arbor Realty Commercial Real Estate Notes LLC          | Arbor Realty Commercial Real Estate Notes LLC, Series 2026-FL1, Class B          | CUSIP: 03881XAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12737383 | PA      | $12745364.24  | 0.15%             | 2043-09-20      | Floating      | 5.66%                 | Yes           |                  2 | On Loan: No      |
| ARDN Mortgage Trust                                    | ARDN Mortgage Trust, Series 2025-ARCP, Class B                                   | CUSIP: 039961AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  28383000 | PA      | $28391869.69  | 0.34%             | 2035-06-15      | Floating      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| AREIT Trust                                            | AREIT Trust, Series 2022-CRE6, Class B                                           | CUSIP: 04002VAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   4924000 | PA      | $4917416.66   | 0.06%             | 2037-01-20      | Floating      | 5.49%                 | Yes           |                  2 | On Loan: No      |
| AREIT Trust                                            | AREIT Trust, Series 2022-CRE6, Class C                                           | CUSIP: 04002VAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |  10134500 | PA      | $10128391.94  | 0.12%             | 2037-01-20      | Floating      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| AREIT Trust                                            | AREIT Trust, Series 2022-CRE6, Class D                                           | CUSIP: 04002VAJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4313500 | PA      | $4302900.44   | 0.05%             | 2037-01-20      | Floating      | 6.49%                 | Yes           |                  2 | On Loan: No      |
| ARI Fleet Lease Trust                                  | ARI Fleet Lease Trust, Series 2023-B, Class A2                                   | CUSIP: 04033GAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    776264 | PA      | $779990.20    | 0.01%             | 2032-07-15      | Fixed         | 6.05%                 | Yes           |                  2 | On Loan: No      |
| Arrow Electronics, Inc.                                | Arrow Electronics, Inc.                                                          | CUSIP: 04273WAC5<br>LEI: 549300YNNLBXT8N8R512 | Long             | DBT              | CORP              | US        |  21913000 | PA      | $19511221.03  | 0.24%             | 2032-02-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Arrow Electronics, Inc.                                | Arrow Electronics, Inc.                                                          | CUSIP: 04273WAF8<br>LEI: 549300YNNLBXT8N8R512 | Long             | DBT              | CORP              | US        |  11500000 | PA      | $11619742.60  | 0.14%             | 2029-08-21      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Ashtead Capital, Inc.                                  | Ashtead Capital, Inc.                                                            | CUSIP: 045054AQ6<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |  24388000 | PA      | $24742253.50  | 0.30%             | 2033-05-30      | Fixed         | 5.55%                 | Yes           |                  2 | On Loan: No      |
| Ashtead Capital, Inc.                                  | Ashtead Capital, Inc.                                                            | CUSIP: 045054AS2<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |   8473000 | PA      | $8692257.77   | 0.11%             | 2034-04-15      | Fixed         | 5.80%                 | Yes           |                  2 | On Loan: No      |
| Asurion LLC                                            | Asurion LLC                                                                      | CUSIP: 045941AA9<br>LEI: 549300KNQVXGIOXWK278 | Long             | DBT              | CORP              | US        |  23886000 | PA      | $24951052.85  | 0.30%             | 2032-12-31      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                           | Avolon Holdings Funding Ltd.                                                     | CUSIP: 05401AAJ0<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   7098000 | PA      | $7016184.48   | 0.08%             | 2027-02-15      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                           | Avolon Holdings Funding Ltd.                                                     | CUSIP: 05401AAP6<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   2074000 | PA      | $2002972.92   | 0.02%             | 2028-02-21      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                           | Avolon Holdings Funding Ltd.                                                     | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   2226000 | PA      | $2156822.11   | 0.03%             | 2027-11-18      | Fixed         | 2.53%                 | Yes           |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Trust                     | Barclays Commercial Mortgage Trust, Series 2019-C5, Class A4                     | CUSIP: 05492JAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9055000 | PA      | $8591494.47   | 0.10%             | 2052-11-15      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                   | BBCMS Mortgage Trust, Series 2022-C18, Class AS                                  | CUSIP: 054975AJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10215909 | PA      | $10788153.14  | 0.13%             | 2055-12-15      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp.                                      | BAT Capital Corp.                                                                | CUSIP: 05526DBN4<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   2485000 | PA      | $2510896.41   | 0.03%             | 2030-04-02      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp.                                      | BAT Capital Corp.                                                                | CUSIP: 05526DBW4<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |  26499000 | PA      | $26493334.51  | 0.32%             | 2032-03-16      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| BAT International Finance plc                          | BAT International Finance plc                                                    | CUSIP: 05530QAP5<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |  23935000 | PA      | $23943541.20  | 0.29%             | 2028-03-16      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| BDS LLC                                                | BDS LLC, Series 2024-FL13, Class A                                               | CUSIP: 05555MAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6329500 | PA      | $6332544.49   | 0.08%             | 2039-09-19      | Floating      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| BDS LLC                                                | BDS LLC, Series 2025-FL16, Class AS                                              | CUSIP: 05556XAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11852185 | PA      | $11855690.88  | 0.14%             | 2043-06-19      | Floating      | 5.26%                 | Yes           |                  2 | On Loan: No      |
| BXMT Ltd.                                              | BXMT Ltd., Series 2021-FL4, Class AS                                             | CUSIP: 05609GAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  17470500 | PA      | $17422894.63  | 0.21%             | 2038-05-15      | Floating      | 5.33%                 | Yes           |                  2 | On Loan: No      |
| BXMT Ltd.                                              | BXMT Ltd., Series 2021-FL4, Class B                                              | CUSIP: 05609GAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  38262000 | PA      | $37848816.31  | 0.46%             | 2038-05-15      | Floating      | 5.58%                 | Yes           |                  2 | On Loan: No      |
| BofA Auto Trust                                        | BofA Auto Trust, Series 2026-1A, Class A2A                                       | CUSIP: 05620EAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4380000 | PA      | $4381104.64   | 0.05%             | 2028-11-15      | Fixed         | 4.10%                 | Yes           |                  2 | On Loan: No      |
| Bain Capital Credit CLO Ltd.                           | Bain Capital Credit CLO Ltd., Series 2020-3A, Class BR3                          | CUSIP: 05684CBJ3<br>LEI: 2549002RK7W6TK0Q0E16 | Long             | ABS-CBDO         | CORP              | KY        |   6400000 | PA      | $6399923.20   | 0.08%             | 2034-10-23      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Bain Capital Credit CLO Ltd.                           | Bain Capital Credit CLO Ltd., Series 2021-6A, Class BR                           | CUSIP: 05684PAQ9<br>LEI: 254900YXN9JEMKU5DF45 | Long             | ABS-CBDO         | CORP              | KY        |  18243515 | PA      | $18244098.79  | 0.22%             | 2034-10-21      | Floating      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| Bain Capital Credit CLO Ltd.                           | Bain Capital Credit CLO Ltd., Series 2021-6A, Class CR                           | CUSIP: 05684PAS5<br>LEI: 254900YXN9JEMKU5DF45 | Long             | ABS-CBDO         | CORP              | KY        |  14464716 | PA      | $14425458.76  | 0.17%             | 2034-10-21      | Floating      | 5.47%                 | Yes           |                  2 | On Loan: No      |
| Bank of America Corp.                                  | Bank of America Corp.                                                            | CUSIP: 06051GHD4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   7070000 | PA      | $6953199.08   | 0.08%             | 2028-12-20      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                  | Bank of America Corp.                                                            | CUSIP: 06051GHG7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   8931000 | PA      | $8851532.68   | 0.11%             | 2029-03-05      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                  | Bank of America Corp.                                                            | CUSIP: 06051GHZ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  39891000 | PA      | $36940348.10  | 0.45%             | 2031-02-13      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                  | Bank of America Corp.                                                            | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  45881000 | PA      | $40874702.03  | 0.49%             | 2032-10-20      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| BANK5                                                  | BANK5, Series 2025-5YR17, Class A3                                               | CUSIP: 06211GAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18557866 | PA      | $18916314.89  | 0.23%             | 2058-11-15      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| BANK                                                   | BANK, Series 2019-BN17, Class AS                                                 | CUSIP: 065403BF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4797096.00   | 0.06%             | 2052-04-15      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| BANK                                                   | BANK, Series 2023-BNK46, Class A4                                                | CUSIP: 06541DBH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21951777 | PA      | $22856049.72  | 0.28%             | 2056-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BANK                                                   | BANK, Series 2023-BNK46, Class AS                                                | CUSIP: 06541DBN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12725671 | PA      | $13354494.76  | 0.16%             | 2056-08-15      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| BANK5                                                  | BANK5, Series 2026-5YR20, Class A3                                               | CUSIP: 06650JAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4450800 | PA      | $4519269.77   | 0.05%             | 2059-02-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                           | Barclays plc                                                                     | CUSIP: 06738EBD6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   7802000 | PA      | $7850502.85   | 0.10%             | 2029-05-16      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                           | Barclays plc                                                                     | CUSIP: 06738EBV6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |  16966000 | PA      | $15184651.10  | 0.18%             | 2032-11-24      | Variable      | 2.89%                 | No            |                  2 | On Loan: No      |
| BDS LLC                                                | BDS LLC, Series 2025-FL14, Class B                                               | CUSIP: 072921AE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  13272979 | PA      | $13270496.95  | 0.16%             | 2042-10-17      | Floating      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                         | Bayview Commercial Asset Trust, Series 2005-2A, Class A1                         | CUSIP: 07324SBN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     58233 | PA      | $56966.84     | 0.00%             | 2035-08-25      | Floating      | 4.23%                 | Yes           |                  2 | On Loan: No      |
| Bayview Financial Revolving Asset Trust                | Bayview Financial Revolving Asset Trust, Series 2005-E, Class M1                 | CUSIP: 073250BW1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    205725 | PA      | $510615.32    | 0.01%             | 2040-12-28      | Floating      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                         | Bayview Commercial Asset Trust, Series 2006-4A                                   | CUSIP: 07325BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1067138 | PA      | $106.71       | 0.00%             | 2036-12-25      | Variable      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Beach Acquisition Bidco LLC                            | Beach Acquisition Bidco LLC                                                      | CUSIP: 07337JAC1<br>LEI: 254900F2FNX3GBTB6202 | Long             | DBT              | CORP              | US        |  23886000 | PA      | $26274814.97  | 0.32%             | 2033-07-15      | Fixed         | 10.00%                | Yes           |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                               | Benchmark Mortgage Trust, Series 2023-V3, Class A3                               | CUSIP: 08163VAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4675254 | PA      | $4824910.75   | 0.06%             | 2056-07-15      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                               | Benchmark Mortgage Trust, Series 2025-V18, Class A3                              | CUSIP: 08164EAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12840932 | PA      | $13074553.50  | 0.16%             | 2058-10-15      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| Berks County Municipal Authority (The)                 | Berks County Municipal Authority (The), Series 2024 A-4                          | CUSIP: 084538JJ7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |  15461000 | PA      | $12972109.87  | 0.16%             | 2039-06-30      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Berks County Municipal Authority (The)                 | Berks County Municipal Authority (The), Series 2024 B-2                          | CUSIP: 084538JL2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   8128000 | PA      | $4563571.26   | 0.06%             | 2044-06-30      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Black Diamond CLO Ltd.                                 | Black Diamond CLO Ltd., Series 2019-2A, Class A2R                                | CUSIP: 09204GAK5<br>LEI: 254900MIPS4I29O2I690 | Long             | ABS-CBDO         | CORP              | KY        |  23878452 | PA      | $23914723.37  | 0.29%             | 2032-07-23      | Floating      | 5.87%                 | Yes           |                  2 | On Loan: No      |
| Black Diamond CLO Ltd.                                 | Black Diamond CLO Ltd., Series 2021-1A, Class A2R                                | CUSIP: 09204WAH7<br>LEI: 549300IEWA7GZ3ECTT90 | Long             | ABS-CBDO         | CORP              | KY        |  34041667 | PA      | $34056338.96  | 0.41%             | 2034-11-22      | Floating      | 5.51%                 | Yes           |                  2 | On Loan: No      |
| Boeing Co. (The)                                       | Boeing Co. (The)                                                                 | CUSIP: 097023CV5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   6632000 | PA      | $6696236.42   | 0.08%             | 2040-05-01      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                       | Boeing Co. (The)                                                                 | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |  14572000 | PA      | $14199730.57  | 0.17%             | 2050-05-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                       | Boeing Co. (The)                                                                 | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   7084000 | PA      | $7198567.48   | 0.09%             | 2030-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                       | Boeing Co. (The)                                                                 | CUSIP: 097023DS1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |  20794000 | PA      | $22740727.83  | 0.28%             | 2034-05-01      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| Boston Gas Co.                                         | Boston Gas Co.                                                                   | CUSIP: 100743AK9<br>LEI: FN7P4E7K9JOBORDEUX61 | Long             | DBT              | CORP              | US        |  18261000 | PA      | $17994389.22  | 0.22%             | 2027-08-01      | Fixed         | 3.15%                 | Yes           |                  2 | On Loan: No      |
| Boston Properties LP                                   | Boston Properties LP                                                             | CUSIP: 10112RBE3<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |  29885000 | PA      | $25924963.45  | 0.31%             | 2032-04-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Boston Properties LP                                   | Boston Properties LP                                                             | CUSIP: 10112RBF0<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |  27176000 | PA      | $22189664.63  | 0.27%             | 2033-10-01      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Boston Properties LP                                   | Boston Properties LP                                                             | CUSIP: 10112RBJ2<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |  14052000 | PA      | $14116860.10  | 0.17%             | 2035-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Brazos Securitization LLC                              | Brazos Securitization LLC                                                        | CUSIP: 106230AC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  15634000 | PA      | $14603702.98  | 0.18%             | 2050-09-01      | Fixed         | 5.41%                 | Yes           |                  2 | On Loan: No      |
| Bridge Housing Corp.                                   | Bridge Housing Corp.                                                             | CUSIP: 10806CAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  17055000 | PA      | $16968484.25  | 0.21%             | 2035-07-15      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| Village of Bridgeview IL                               | Village of Bridgeview                                                            | CUSIP: 108555GG2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |  24325000 | PA      | $22683412.78  | 0.27%             | 2036-12-01      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| Brixmor Operating Partnership LP                       | Brixmor Operating Partnership LP                                                 | CUSIP: 11120BAA5<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |  24974000 | PA      | $25816132.77  | 0.31%             | 2035-02-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                         | Broadcom, Inc.                                                                   | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   9859000 | PA      | $8403091.10   | 0.10%             | 2035-11-15      | Fixed         | 3.14%                 | Yes           |                  2 | On Loan: No      |
| Broadcom, Inc.                                         | Broadcom, Inc.                                                                   | CUSIP: 11135FBV2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   9298000 | PA      | $9058709.93   | 0.11%             | 2037-05-15      | Fixed         | 4.93%                 | Yes           |                  2 | On Loan: No      |
| Brown & Brown, Inc.                                    | Brown & Brown, Inc.                                                              | CUSIP: 115236AE1<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |  15616000 | PA      | $14817198.50  | 0.18%             | 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        |   5548000 | PA      | $4597864.56   | 0.06%             | 2052-03-17      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Brown & Brown, Inc.                                    | Brown & Brown, Inc.                                                              | CUSIP: 115236AM3<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |   5137000 | PA      | $5120277.99   | 0.06%             | 2035-06-23      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Brsp 2026-Fl3 Ltd.                                     | Brsp 2026-Fl3 Ltd., Series 2026-FL3, Class AS                                    | CUSIP: 116686AC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  22343500 | PA      | $22385427.58  | 0.27%             | 2043-08-19      | Floating      | 5.36%                 | Yes           |                  2 | On Loan: No      |
| Business Jet Securities LLC                            | Business Jet Securities LLC, Series 2024-1A, Class A                             | CUSIP: 12327CAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2964208 | PA      | $3008300.06   | 0.04%             | 2039-05-15      | Fixed         | 6.20%                 | Yes           |                  2 | On Loan: No      |
| Business Jet Securities LLC                            | Business Jet Securities LLC, Series 2024-1A, Class B                             | CUSIP: 12327CAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    413376 | PA      | $421583.75    | 0.01%             | 2039-05-15      | Fixed         | 6.92%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                           | BX Commercial Mortgage Trust, Series 2025-BCAT, Class B                          | CUSIP: 12433HAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8173684 | PA      | $8178792.60   | 0.10%             | 2042-08-15      | Floating      | 5.20%                 | Yes           |                  2 | On Loan: No      |
| BXMT Ltd.                                              | BXMT Ltd., Series 2020-FL2, Class B                                              | CUSIP: 12434LAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6104500 | PA      | $6086424.58   | 0.07%             | 2038-02-15      | Floating      | 5.43%                 | Yes           |                  2 | On Loan: No      |
| CCO Holdings LLC                                       | CCO Holdings LLC                                                                 | CUSIP: 1248EPCE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  29387000 | PA      | $27411168.58  | 0.33%             | 2030-08-15      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| C-BASS TRUST                                           | C-BASS TRUST, Series 2007-CB1, Class AF3                                         | CUSIP: 1248MGAL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1027434 | PA      | $274544.77    | 0.00%             | 2037-01-25      | Variable      | 1.45%                 | No            |                  2 | On Loan: No      |
| CBRE Services, Inc.                                    | CBRE Services, Inc.                                                              | CUSIP: 12505BAG5<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |  13799000 | PA      | $14400527.39  | 0.17%             | 2034-08-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Cantor Commercial Real Estate Lending                  | Cantor Commercial Real Estate Lending, Series 2019-CF2, Class A5                 | CUSIP: 12528YAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20960656 | PA      | $19790592.36  | 0.24%             | 2052-11-15      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| CIP Commercial Mortgage Trust                          | CIP Commercial Mortgage Trust, Series 2025-SBAY, Class A                         | CUSIP: 12576AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9851000 | PA      | $9863235.93   | 0.12%             | 2037-10-15      | Floating      | 5.05%                 | Yes           |                  2 | On Loan: No      |
| Commercial Mortgage Trust                              | Commercial Mortgage Trust, Series 2017-COR2, Class A3                            | CUSIP: 12595EAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  26790000 | PA      | $26480224.55  | 0.32%             | 2050-09-10      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                            | Capital One Financial Corp.                                                      | CUSIP: 14040HCY9<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |  11000000 | PA      | $11314746.74  | 0.14%             | 2034-02-01      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                            | Capital One Financial Corp.                                                      | CUSIP: 14040HDA0<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |  17390000 | PA      | $18382855.62  | 0.22%             | 2034-06-08      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                            | Capital One Financial Corp.                                                      | CUSIP: 14040HDF9<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |  16122000 | PA      | $16716448.29  | 0.20%             | 2035-02-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| Carmax Select Receivables Trust                        | Carmax Select Receivables Trust, Series 2025-B, Class A2                         | CUSIP: 14320BAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9779669 | PA      | $9784597.84   | 0.12%             | 2029-03-15      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                   | Charter Communications Operating LLC                                             | CUSIP: 161175AZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6428000 | PA      | $6494722.77   | 0.08%             | 2035-10-23      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Cheniere Energy Partners LP                            | Cheniere Energy Partners LP                                                      | CUSIP: 16411QAW1<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |  44143000 | PA      | $45054299.13  | 0.55%             | 2035-10-30      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Cheniere Corpus Christi Holdings LLC                   | Cheniere Corpus Christi Holdings LLC                                             | CUSIP: 16412XAL9<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |   8291000 | PA      | $7018838.66   | 0.08%             | 2039-12-31      | Fixed         | 2.74%                 | No            |                  2 | On Loan: No      |
| Chesapeake Funding II LLC                              | Chesapeake Funding II LLC, Series 2023-1A, Class A1                              | CUSIP: 165183CU6<br>LEI: 5493000HT7H4OFOD6Z12 | Long             | ABS-O            | CORP              | US        |   1053732 | PA      | $1054370.37   | 0.01%             | 2035-05-15      | Fixed         | 5.65%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                    | Citigroup Commercial Mortgage Trust, Series 2016-P6, Class A5                    | CUSIP: 17291EAW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5948000 | PA      | $5888440.30   | 0.07%             | 2049-12-10      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| C-BASS Mortgage Loan Trust                             | C-BASS Mortgage Loan Trust, Series 2007-CB3, Class A3                            | CUSIP: 17311YAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1055304 | PA      | $373424.54    | 0.00%             | 2037-03-25      | Variable      | 2.03%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                        | Citigroup, Inc., Series GG                                                       | CUSIP: 17327CBC6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  13201000 | PA      | $13403001.70  | 0.16%             | 2030-08-15      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                               | COLT Mortgage Loan Trust, Series 2024-5, Class A1                                | CUSIP: 19685AAA7<br>LEI: 213800AWBXHFGYDU9Q16 | Long             | ABS-MBS          | CORP              | US        |  11920068 | PA      | $11919646.90  | 0.14%             | 2069-08-25      | Variable      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Columbia Cent CLO 30 Ltd.                              | Columbia Cent CLO 30 Ltd., Series 2020-30A, Class B1R2                           | CUSIP: 19736WBL3<br>LEI: 549300EPPYTG18BLNK44 | Long             | ABS-CBDO         | CORP              | KY        |  12863116 | PA      | $12862897.33  | 0.16%             | 2034-01-20      | Floating      | 5.23%                 | Yes           |                  2 | On Loan: No      |
| Columbia Cent CLO 30 Ltd.                              | Columbia Cent CLO 30 Ltd., Series 2020-30A, Class CR2                            | CUSIP: 19736WBQ2<br>LEI: 549300EPPYTG18BLNK44 | Long             | ABS-CBDO         | CORP              | KY        |  17216327 | PA      | $17045437.74  | 0.21%             | 2034-01-20      | Floating      | 5.58%                 | Yes           |                  2 | On Loan: No      |
| Columbia Cent CLO 31 Ltd.                              | Columbia Cent CLO 31 Ltd., Series 2021-31A, Class CR                             | CUSIP: 19737LAW3<br>LEI: 5493007YZPNOMQEILE23 | Long             | ABS-CBDO         | CORP              | KY        |  13263241 | PA      | $13177215.62  | 0.16%             | 2034-04-20      | Floating      | 5.53%                 | Yes           |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                    | Constellation Energy Generation LLC                                              | CUSIP: 210385AL4<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |  19925000 | PA      | $19030793.30  | 0.23%             | 2031-03-01      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Consumers 2023 Securitization Funding LLC              | Consumers 2023 Securitization Funding LLC, Series A1                             | CUSIP: 21071BAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3148193 | PA      | $3170207.48   | 0.04%             | 2028-03-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Corebridge Financial, Inc.                             | Corebridge Financial, Inc.                                                       | CUSIP: 21871XAH2<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |  15987000 | PA      | $15029362.39  | 0.18%             | 2032-04-05      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Corebridge Financial, Inc.                             | Corebridge Financial, Inc.                                                       | CUSIP: 21871XAK5<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |   1846000 | PA      | $1537904.67   | 0.02%             | 2042-04-05      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Corebridge Financial, Inc.                             | Corebridge Financial, Inc.                                                       | CUSIP: 21871XAM1<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |   5568000 | PA      | $4412167.83   | 0.05%             | 2052-04-05      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Corebridge Financial, Inc.                             | Corebridge Financial, Inc.                                                       | CUSIP: 21871XAS8<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |  13944000 | PA      | $14353600.40  | 0.17%             | 2034-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 21H032654<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  27700000 | PA      | $25034956.96  | 0.30%             | 2056-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust                   | Deephaven Residential Mortgage Trust, Series 2024-1, Class A1                    | CUSIP: 24380QAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  23863077 | PA      | $24049070.83  | 0.29%             | 2069-07-25      | Variable      | 5.74%                 | Yes           |                  2 | On Loan: No      |
| Dell International LLC                                 | Dell International LLC                                                           | CUSIP: 24703TAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  24675000 | PA      | $25211309.64  | 0.31%             | 2029-10-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                       | Deutsche Bank AG                                                                 | CUSIP: 251526CP2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |  23182000 | PA      | $22906677.35  | 0.28%             | 2027-11-16      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                       | Deutsche Bank AG                                                                 | CUSIP: 251526CS6<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |  24629000 | PA      | $25455249.01  | 0.31%             | 2029-01-18      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| Dick's Sporting Goods, Inc.                            | Dick's Sporting Goods, Inc.                                                      | CUSIP: 253393AF9<br>LEI: 529900SSBV5I4LWSK313 | Long             | DBT              | CORP              | US        |  23293000 | PA      | $21227245.85  | 0.26%             | 2032-01-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                            | Capital One Financial Corp.                                                      | CUSIP: 254709AS7<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |  34164000 | PA      | $37253517.82  | 0.45%             | 2032-11-29      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| Dryden 49 Senior Loan Fund                             | Dryden 49 Senior Loan Fund, Series 2017-49A, Class CR                            | CUSIP: 26244QAS2<br>LEI: 549300VCB8LYR1RGV869 | Long             | ABS-CBDO         | CORP              | KY        |  16500000 | PA      | $16546761.00  | 0.20%             | 2030-07-18      | Floating      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| Dryden 98 CLO Ltd.                                     | Dryden 98 CLO Ltd., Series 2022-98A, Class CR                                    | CUSIP: 26248AAQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  10576923 | PA      | $10489346.08  | 0.13%             | 2035-04-20      | Floating      | 5.58%                 | Yes           |                  2 | On Loan: No      |
| ELM Trust                                              | ELM Trust, Series 2024-ELM, Class C15                                            | CUSIP: 26860XAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5182790 | PA      | $5187085.50   | 0.06%             | 2039-06-10      | Variable      | 6.40%                 | Yes           |                  2 | On Loan: No      |
| ELM Trust                                              | ELM Trust, Series 2024-ELM, Class C10                                            | CUSIP: 26860XBC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3802054 | PA      | $3802320.90   | 0.05%             | 2039-06-10      | Variable      | 6.40%                 | Yes           |                  2 | On Loan: No      |
| Eni SpA                                                | Eni SpA                                                                          | CUSIP: 26874RAJ7<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |  13598000 | PA      | $13516721.90  | 0.16%             | 2029-05-09      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Eni SpA                                                | Eni SpA                                                                          | CUSIP: 26874RAN8<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |  27138000 | PA      | $27781469.93  | 0.34%             | 2034-05-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| ERAC USA Finance LLC                                   | ERAC USA Finance LLC                                                             | CUSIP: 26882PBE1<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |   9094000 | PA      | $10346530.08  | 0.13%             | 2037-10-15      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| EQT Corp.                                              | EQT Corp.                                                                        | CUSIP: 26884LAF6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |   3059000 | PA      | $3027922.55   | 0.04%             | 2027-10-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| EQT Corp.                                              | EQT Corp.                                                                        | CUSIP: 26884LAL3<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |   5901000 | PA      | $5941842.83   | 0.07%             | 2029-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EQT Corp.                                              | EQT Corp.                                                                        | CUSIP: 26884LAN9<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |   6884000 | PA      | $6476516.21   | 0.08%             | 2031-05-15      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                                    | Kinder Morgan, Inc.                                                              | CUSIP: 28368EAE6<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |   7347000 | PA      | $8414685.44   | 0.10%             | 2032-01-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Electricite de France SA                               | Electricite de France SA                                                         | CUSIP: 28504DAD5<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | NUSS              | FR        |   8776000 | PA      | $9333125.58   | 0.11%             | 2053-05-23      | Fixed         | 6.90%                 | Yes           |                  2 | On Loan: No      |
| Empire District Bondco LLC                             | Empire District Bondco LLC, Series A-1                                           | CUSIP: 291918AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6660599 | PA      | $6729237.09   | 0.08%             | 2033-01-01      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| Enbridge, Inc.                                         | Enbridge, Inc.                                                                   | CUSIP: 29250NAL9<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |   9961000 | PA      | $9962695.56   | 0.12%             | 2026-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Enbridge, Inc.                                         | Enbridge, Inc.                                                                   | CUSIP: 29250NBR5<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |   8233000 | PA      | $8526108.55   | 0.10%             | 2033-03-08      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                     | Energy Transfer LP                                                               | CUSIP: 29273VAP5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   5763000 | PA      | $5865688.48   | 0.07%             | 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        |  26373000 | PA      | $27463787.81  | 0.33%             | 2033-02-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                     | Energy Transfer LP                                                               | CUSIP: 29273VBK5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   5960000 | PA      | $5925049.37   | 0.07%             | 2036-01-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| ENEL Finance International NV                          | ENEL Finance International NV                                                    | CUSIP: 29278GAF5<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |  30284000 | PA      | $29717611.07  | 0.36%             | 2028-04-06      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| ENEL Finance International NV                          | ENEL Finance International NV                                                    | CUSIP: 29278GBA5<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |   3444000 | PA      | $3883233.02   | 0.05%             | 2032-10-14      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC                         | Enterprise Fleet Financing LLC, Series 2025-4, Class A2                          | CUSIP: 29373NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9773000 | PA      | $9765707.39   | 0.12%             | 2028-08-20      | Fixed         | 4.05%                 | Yes           |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC                         | Enterprise Fleet Financing LLC, Series 2023-3, Class A2                          | CUSIP: 29374LAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3395789 | PA      | $3425410.13   | 0.04%             | 2030-03-20      | Fixed         | 6.40%                 | Yes           |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC                         | Enterprise Fleet Financing LLC, Series 2024-4, Class A2                          | CUSIP: 29374MAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3055087 | PA      | $3061361.28   | 0.04%             | 2027-07-20      | Fixed         | 4.69%                 | Yes           |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC                         | Enterprise Fleet Financing LLC, Series 2026-1, Class A2                          | CUSIP: 29376JAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  18885000 | PA      | $18867223.55  | 0.23%             | 2028-10-20      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Equinix, Inc.                                          | Equinix, Inc.                                                                    | CUSIP: 29444UBG0<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |   9219000 | PA      | $8942131.21   | 0.11%             | 2027-07-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Equinix, Inc.                                          | Equinix, Inc.                                                                    | CUSIP: 29444UBH8<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |  21402000 | PA      | $19286921.24  | 0.23%             | 2030-07-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Escambia County Health Facilities Authority            | Escambia County Health Facilities Authority                                      | CUSIP: 296110GG8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   4565000 | PA      | $3690965.01   | 0.04%             | 2040-08-15      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| Fortescue Treasury Pty. Ltd.                           | Fortescue Treasury Pty. Ltd.                                                     | CUSIP: 30251GBC0<br>LEI: 549300EFD6S2NFE9D745 | Long             | DBT              | CORP              | AU        |  15339000 | PA      | $14656998.76  | 0.18%             | 2031-04-01      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Fairfax Financial Holdings Ltd.                        | Fairfax Financial Holdings Ltd.                                                  | CUSIP: 303901BB7<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |  15409000 | PA      | $15495581.48  | 0.19%             | 2028-04-17      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Fairfax Financial Holdings Ltd.                        | Fairfax Financial Holdings Ltd.                                                  | CUSIP: 303901BJ0<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |   7257000 | PA      | $6791775.86   | 0.08%             | 2031-03-03      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Fairfax Financial Holdings Ltd.                        | Fairfax Financial Holdings Ltd.                                                  | CUSIP: 303901BL5<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |  16523000 | PA      | $17025378.35  | 0.21%             | 2032-08-16      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128KQ6Y7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    159966 | PA      | $166081.00    | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128KYA33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       678 | PA      | $710.22       | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128LXJN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46881 | PA      | $48401.45     | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128LXMK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29691 | PA      | $30654.96     | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128M4GZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    174467 | PA      | $176272.76    | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128M4W66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     82163 | PA      | $84514.54     | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128M4XV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32367 | PA      | $33418.28     | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128M6JU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74670 | PA      | $75671.47     | 0.00%             | 2036-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128M6K49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53460 | PA      | $55505.80     | 0.00%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128M72C9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    113473 | PA      | $117153.99    | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128M73V6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    158819 | PA      | $160948.68    | 0.00%             | 2036-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128M7U38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27227 | PA      | $27570.64     | 0.00%             | 2037-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128M7XB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    138293 | PA      | $140152.13    | 0.00%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128M8RP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    248629 | PA      | $252090.25    | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128M9BH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    437845 | PA      | $444477.23    | 0.01%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128M9T51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1153812 | PA      | $1112049.05   | 0.01%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128MAAK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1097716 | PA      | $1089778.79   | 0.01%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128MJBX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14716 | PA      | $15442.68     | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128MJXK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2111346 | PA      | $1969956.59   | 0.02%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128MJYY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4675 | PA      | $4206.79      | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128P8E23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    306235 | PA      | $299660.35    | 0.00%             | 2037-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128P8FJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1600526 | PA      | $1505570.10   | 0.02%             | 2038-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31292LLA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    572248 | PA      | $539193.36    | 0.01%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31292SBD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    960081 | PA      | $901340.75    | 0.01%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 312934RV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    165026 | PA      | $167244.04    | 0.00%             | 2039-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 312940BC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86456 | PA      | $86977.74     | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 312941LZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    420444 | PA      | $414966.05    | 0.01%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 312943ZX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    353389 | PA      | $340598.83    | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31296L3U3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15429 | PA      | $15528.49     | 0.00%             | 2033-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31296QKB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     81932 | PA      | $83750.50     | 0.00%             | 2033-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31297C5V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27350 | PA      | $27931.89     | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31297CWY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37182 | PA      | $37457.97     | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31297HN70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28841 | PA      | $29454.61     | 0.00%             | 2035-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31297LBG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29993 | PA      | $30254.86     | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31297TE33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55080 | PA      | $55735.98     | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31297UKW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1783 | PA      | $1804.20      | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31297VPS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     99107 | PA      | $100436.61    | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3131XVRK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2172330 | PA      | $2017092.79   | 0.02%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 31329QWH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    817236 | PA      | $752870.08    | 0.01%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132A5H32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    700933 | PA      | $626905.73    | 0.01%             | 2048-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132A5H73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77445 | PA      | $69092.68     | 0.00%             | 2048-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132A5HP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    320514 | PA      | $287210.38    | 0.00%             | 2047-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132A5HX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    473250 | PA      | $423000.08    | 0.01%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132A5J48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    138687 | PA      | $123650.90    | 0.00%             | 2048-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132A5JL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    395513 | PA      | $352957.61    | 0.00%             | 2048-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132ACYL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    677454 | PA      | $602464.65    | 0.01%             | 2048-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132ADPG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    118343 | PA      | $105848.95    | 0.00%             | 2048-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132ADWH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    192839 | PA      | $171493.05    | 0.00%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132CWY81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    177079 | PA      | $167021.52    | 0.00%             | 2037-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132D6AV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     89723 | PA      | $84666.95     | 0.00%             | 2036-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132D6BS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28607 | PA      | $26928.59     | 0.00%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132D6CE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3588979 | PA      | $3418733.07   | 0.04%             | 2037-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132D6CT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3797696 | PA      | $3617525.61   | 0.04%             | 2037-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DM5N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    175096 | PA      | $146785.30    | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DM5P6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47484 | PA      | $39807.12     | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DM5R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    105129 | PA      | $84593.04     | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DNGG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39186 | PA      | $33290.30     | 0.00%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DNSF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2280005 | PA      | $2200921.83   | 0.03%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DNXJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    904614 | PA      | $763381.15    | 0.01%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DP3G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    166198 | PA      | $133637.86    | 0.00%             | 2052-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DPJE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69103 | PA      | $66766.97     | 0.00%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DQDZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2722725 | PA      | $2782241.31   | 0.03%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DQK88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    894092 | PA      | $783719.68    | 0.01%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DQSQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53783 | PA      | $45086.94     | 0.00%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DQYN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    437097 | PA      | $367903.82    | 0.00%             | 2053-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWBU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46079 | PA      | $38920.88     | 0.00%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWC27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67617 | PA      | $56992.20     | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWC68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17644575 | PA      | $14164223.92  | 0.17%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWCN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     84031 | PA      | $67557.58     | 0.00%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWCP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32996 | PA      | $27831.43     | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWCQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26797 | PA      | $23594.47     | 0.00%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWCT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1116388 | PA      | $897855.34    | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWCZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    163857 | PA      | $131765.00    | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWD67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    260172 | PA      | $227943.81    | 0.00%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 110943982 | PA      | $89192327.33  | 1.08%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWDJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    641752 | PA      | $540957.61    | 0.01%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWDQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    721443 | PA      | $579566.60    | 0.01%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWDR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6184505 | PA      | $5207706.60   | 0.06%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWDS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1949943 | PA      | $1711202.97   | 0.02%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWDY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2229395 | PA      | $1878562.52   | 0.02%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWDZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5139384 | PA      | $4510148.44   | 0.05%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWE66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4733356 | PA      | $4573328.94   | 0.06%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWEF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8991664 | PA      | $7573845.50   | 0.09%             | 2052-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWES8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    808971 | PA      | $781500.59    | 0.01%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWF40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    818883 | PA      | $790944.42    | 0.01%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWFM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    817984 | PA      | $716973.68    | 0.01%             | 2052-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWHD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    350819 | PA      | $338740.17    | 0.00%             | 2053-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWJD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    160930 | PA      | $155140.39    | 0.00%             | 2053-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWJG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12733502 | PA      | $13061830.10  | 0.16%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWK69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    891912 | PA      | $859547.12    | 0.01%             | 2054-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWL43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8419331 | PA      | $8590726.71   | 0.10%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWLA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46293 | PA      | $47312.51     | 0.00%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWLK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    758993 | PA      | $748611.79    | 0.01%             | 2054-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWMB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2510218 | PA      | $2562779.88   | 0.03%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWMS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5978489 | PA      | $6011256.43   | 0.07%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWMX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    771106 | PA      | $760332.01    | 0.01%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWMY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    447596 | PA      | $450140.85    | 0.01%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWN66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1010833 | PA      | $972900.00    | 0.01%             | 2055-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWPS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  21126122 | PA      | $21241873.27  | 0.26%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132E0Q62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    656421 | PA      | $552915.70    | 0.01%             | 2053-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132E0VU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    337729 | PA      | $326241.74    | 0.00%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3132GETS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    147118 | PA      | $145926.24    | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3132GRL58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    862758 | PA      | $812655.10    | 0.01%             | 2042-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3132GVCM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1314928 | PA      | $1237749.99   | 0.01%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3132HNK57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    118283 | PA      | $108021.14    | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3132J4MM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1124513 | PA      | $1081985.56   | 0.01%             | 2037-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3132J7RK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     73485 | PA      | $67301.82     | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3132J93Z9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    356566 | PA      | $325225.01    | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3132J9KC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    830441 | PA      | $758188.74    | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3132L5AD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    711181 | PA      | $650598.48    | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3132L6HF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    958839 | PA      | $919799.22    | 0.01%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3132WHJY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10973849 | PA      | $9913942.20   | 0.12%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3132WJEF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3174635 | PA      | $2952064.72   | 0.04%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3132WJUV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2013583 | PA      | $1871571.10   | 0.02%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3132WKQ84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4297 | PA      | $3855.69      | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3132XVEW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    346038 | PA      | $309480.01    | 0.00%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3132Y3NK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    321306 | PA      | $286822.72    | 0.00%             | 2048-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31335ALX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1830762 | PA      | $1817519.62   | 0.02%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31335BC38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    672632 | PA      | $595902.75    | 0.01%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133A2EK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2870925 | PA      | $2565077.88   | 0.03%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133A67D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1687224 | PA      | $1505477.60   | 0.02%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133AER55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16690 | PA      | $13488.34     | 0.00%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133AQHG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1932814 | PA      | $1696646.92   | 0.02%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133AYUA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    367944 | PA      | $309986.30    | 0.00%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133B0SP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2974954 | PA      | $2493980.52   | 0.03%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133B0SS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2770842 | PA      | $2227444.87   | 0.03%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133B1AU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    940775 | PA      | $790603.51    | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133B3G50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19151 | PA      | $15562.27     | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133B4H99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3457246 | PA      | $2807585.13   | 0.03%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133B4ZX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    393647 | PA      | $345555.97    | 0.00%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133B76S2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47418 | PA      | $41618.35     | 0.00%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133B77K8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7836810 | PA      | $6875252.55   | 0.08%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133B7LG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    677845 | PA      | $594556.66    | 0.01%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133B7QV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77002 | PA      | $70789.95     | 0.00%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133B7UB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11862187 | PA      | $9999082.02   | 0.12%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133B9AA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    110443 | PA      | $97581.21     | 0.00%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133B9LB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38647 | PA      | $32469.08     | 0.00%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133B9Y57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    358611 | PA      | $302443.00    | 0.00%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133B9Z56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5350129 | PA      | $4687919.27   | 0.06%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133BAC58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36596 | PA      | $32125.12     | 0.00%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133BB3C1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1512234 | PA      | $1390867.05   | 0.02%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133BBTH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    445540 | PA      | $375011.96    | 0.00%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133BDPX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    723746 | PA      | $635229.62    | 0.01%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133BEBZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67197 | PA      | $62065.31     | 0.00%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133BELF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20464 | PA      | $19741.79     | 0.00%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133BFTH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    707484 | PA      | $646373.50    | 0.01%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133BHQL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    358404 | PA      | $355537.35    | 0.00%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133BQYH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    262568 | PA      | $264974.59    | 0.00%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133C0RG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    354458 | PA      | $359316.94    | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133C1B90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2334008 | PA      | $2309438.57   | 0.03%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133C5AM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    989450 | PA      | $999833.20    | 0.01%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133C6X38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1571784 | PA      | $1552290.27   | 0.02%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133C8UN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    854853 | PA      | $864307.34    | 0.01%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133CABL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    570884 | PA      | $550492.31    | 0.01%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133CDKN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    197467 | PA      | $205476.99    | 0.00%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133CF3W7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    323135 | PA      | $339486.36    | 0.00%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133CFFR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40493 | PA      | $39035.99     | 0.00%             | 2053-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133CMP40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1359457 | PA      | $1390419.92   | 0.02%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133CXL99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    291978 | PA      | $293608.60    | 0.00%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133D16K0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4087543 | PA      | $4032273.86   | 0.05%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133D1C72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    134636 | PA      | $130016.92    | 0.00%             | 2054-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133G66N0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    641772 | PA      | $612975.43    | 0.01%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133GEX45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24175 | PA      | $22188.19     | 0.00%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133KMP25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    767752 | PA      | $672754.91    | 0.01%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133KMSR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1457574 | PA      | $1171486.78   | 0.01%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133KMY58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    732266 | PA      | $618062.19    | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133KMZB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4774769 | PA      | $4086560.67   | 0.05%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133KNEG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6247907 | PA      | $5338260.57   | 0.06%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133KNKS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41399 | PA      | $36277.00     | 0.00%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133KNMZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    111984 | PA      | $90025.96     | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133KNZ63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    189695 | PA      | $152364.80    | 0.00%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133KQSM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    540589 | PA      | $477875.44    | 0.01%             | 2052-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133KYWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8229361 | PA      | $7115387.91   | 0.09%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133USK34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1195982 | PA      | $1004173.99   | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133WGZ40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    112423 | PA      | $117783.18    | 0.00%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133WJPG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    109318 | PA      | $102960.03    | 0.00%             | 2037-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133WJVP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29284 | PA      | $29534.83     | 0.00%             | 2037-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31368HMH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57095 | PA      | $57790.64     | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2013-1, Class YI                                                    | CUSIP: 3136ABC35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    498029 | PA      | $31807.06     | 0.00%             | 2033-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2013-64, Class KI                                                   | CUSIP: 3136AEXM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104059 | PA      | $5309.25      | 0.00%             | 2033-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2014-10, Class KM                                                   | CUSIP: 3136AJEW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    427411 | PA      | $417244.25    | 0.01%             | 2043-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2014-35, Class CA                                                   | CUSIP: 3136AKFL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    282049 | PA      | $276152.79    | 0.00%             | 2044-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2016-19, Class AD                                                   | CUSIP: 3136ARB31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    414142 | PA      | $385335.04    | 0.00%             | 2046-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2016-40, Class IQ                                                   | CUSIP: 3136ASG67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    915580 | PA      | $163792.07    | 0.00%             | 2046-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA ACES, Series 2017-M4, Class A2                                              | CUSIP: 3136AVY52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6220204 | PA      | $6158378.72   | 0.07%             | 2026-12-25      | Variable      | 2.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31371LDH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3542 | PA      | $3607.85      | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31371LTU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71008 | PA      | $72424.72     | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31371M7K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56024 | PA      | $58728.95     | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31371MBH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46411 | PA      | $47859.81     | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31371MCF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29992 | PA      | $30928.49     | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31371MEQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18079 | PA      | $18643.20     | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31371MMG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83996 | PA      | $86619.55     | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 3845, Class AI                                                     | CUSIP: 3137A9RJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    146951 | PA      | $22206.44     | 0.00%             | 2036-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4474, Class HJ                                                     | CUSIP: 3137BJF65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    276522 | PA      | $265187.43    | 0.00%             | 2039-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4471, Class PI                                                     | CUSIP: 3137BJGN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49961 | PA      | $4582.80      | 0.00%             | 2040-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4623, Class WI                                                     | CUSIP: 3137BSLS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    136172 | PA      | $10998.45     | 0.00%             | 2044-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K060, Class A2    | CUSIP: 3137BTAC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4957000 | PA      | $4933707.55   | 0.06%             | 2026-10-25      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K066, Class A2    | CUSIP: 3137F2LJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16969867 | PA      | $16806854.90  | 0.20%             | 2027-06-25      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K085, Class A2    | CUSIP: 3137FK4M5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5001000 | PA      | $4979214.64   | 0.06%             | 2028-10-25      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K097, Class X1    | CUSIP: 3137FNX70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12196762 | PA      | $371087.70    | 0.00%             | 2029-07-25      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K098, Class X1    | CUSIP: 3137FPHM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  21650753 | PA      | $713004.77    | 0.01%             | 2029-08-25      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K110, Class XAM   | CUSIP: 3137FTZU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6415004 | PA      | $418280.07    | 0.01%             | 2030-04-25      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                             | CUSIP: 31381TQQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    527789 | PA      | $526978.01    | 0.01%             | 2027-01-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31385HZC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12582 | PA      | $13044.86     | 0.00%             | 2031-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31385W2A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12083 | PA      | $12527.89     | 0.00%             | 2033-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31385XF85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25696 | PA      | $26108.06     | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138A2AX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    498962 | PA      | $475194.60    | 0.01%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138A36S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2145239 | PA      | $2026231.69   | 0.02%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138ABYR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1301836 | PA      | $1290846.16   | 0.02%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138AEEF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    834390 | PA      | $843831.70    | 0.01%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138AM6S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98799 | PA      | $93149.74     | 0.00%             | 2041-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138E2LH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1276494 | PA      | $1203280.09   | 0.01%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138EH3F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1039886 | PA      | $1001035.67   | 0.01%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138EHGM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    505113 | PA      | $486239.57    | 0.01%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138EJQT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1380396 | PA      | $1368741.46   | 0.02%             | 2042-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138EKBW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    547454 | PA      | $554152.19    | 0.01%             | 2042-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138EKET8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    677251 | PA      | $671533.82    | 0.01%             | 2042-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138ELKS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        48 | PA      | $48.14        | 0.00%             | 2028-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138ENAA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1378081 | PA      | $1366447.49   | 0.02%             | 2043-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138ENEK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    690459 | PA      | $684630.29    | 0.01%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138EPLN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7368 | PA      | $7268.03      | 0.00%             | 2030-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138EPN91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    977112 | PA      | $935681.10    | 0.01%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138EPPA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    225985 | PA      | $229947.89    | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138EQ5E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1969590 | PA      | $1952963.22   | 0.02%             | 2042-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138EQ7L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    931428 | PA      | $896618.87    | 0.01%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138EQTZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1366676 | PA      | $1352845.89   | 0.02%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138ER5E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92897 | PA      | $89424.02     | 0.00%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138ERCZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    545269 | PA      | $524884.64    | 0.01%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138ETDS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1509219 | PA      | $1449483.91   | 0.02%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138ETEE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1673342 | PA      | $1659218.98   | 0.02%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138ETZD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1411367 | PA      | $1393790.57   | 0.02%             | 2043-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138LQ2S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    598078 | PA      | $575905.18    | 0.01%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138MBH82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1039856 | PA      | $1001303.06   | 0.01%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138MTKH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1868115 | PA      | $1798009.80   | 0.02%             | 2055-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138W9A75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    456466 | PA      | $439607.90    | 0.01%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138WAFE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    191350 | PA      | $188879.93    | 0.00%             | 2028-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138WCA86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    950397 | PA      | $934736.34    | 0.01%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138WDKV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    549124 | PA      | $525782.39    | 0.01%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138WEXT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    816194 | PA      | $761242.07    | 0.01%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138WGSS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    403708 | PA      | $375189.02    | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138WHBP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1269549 | PA      | $1181285.77   | 0.01%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138WHNH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2095102 | PA      | $1949175.24   | 0.02%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138WHVK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1423748 | PA      | $1225710.95   | 0.01%             | 2046-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138WJFL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1937765 | PA      | $1672635.03   | 0.02%             | 2046-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138WJMB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1012968 | PA      | $909832.35    | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138X13A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    726636 | PA      | $681801.87    | 0.01%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2010-43, Class AH                                                   | CUSIP: 31398RDA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    202305 | PA      | $192235.37    | 0.00%             | 2040-05-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2010-113, Class GB                                                  | CUSIP: 31398T7G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    260114 | PA      | $257238.78    | 0.00%             | 2040-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31400HC43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2873 | PA      | $2888.48      | 0.00%             | 2033-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31402QYZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       576 | PA      | $587.65       | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31402RCV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    195966 | PA      | $196973.47    | 0.00%             | 2035-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31403C6S5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74255 | PA      | $77803.02     | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31403CXQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21072 | PA      | $21729.89     | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31403DBX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35953 | PA      | $37075.63     | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31403DBY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91231 | PA      | $92678.51     | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31403DD97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    662584 | PA      | $683269.92    | 0.01%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31404JT88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89809 | PA      | $90586.89     | 0.00%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31404W5H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2201 | PA      | $2271.79      | 0.00%             | 2034-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31405GT91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2138 | PA      | $2181.34      | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31405TS94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3592 | PA      | $3664.51      | 0.00%             | 2035-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31406NYG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80569 | PA      | $81001.01     | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31406XKB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51133 | PA      | $51407.30     | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31407FJ92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37302 | PA      | $38371.64     | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31407KRH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    190532 | PA      | $192854.84    | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31408DV50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58369 | PA      | $60870.95     | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31408ENZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    213919 | PA      | $219956.55    | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31408H3H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74596 | PA      | $78196.78     | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31409CA70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79638 | PA      | $82586.62     | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31409VYW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46125 | PA      | $48000.48     | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140A1FW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    825915 | PA      | $848797.10    | 0.01%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140A1FZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3397735 | PA      | $3488633.59   | 0.04%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140A1GG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151931 | PA      | $157637.05    | 0.00%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140A8VZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    565724 | PA      | $579626.60    | 0.01%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140A9B74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    540088 | PA      | $552378.12    | 0.01%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140AAG92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93771 | PA      | $96151.14     | 0.00%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140ANGE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1221406 | PA      | $1175570.85   | 0.01%             | 2054-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140APG57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    574114 | PA      | $586617.12    | 0.01%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140ASB98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    381838 | PA      | $367789.32    | 0.00%             | 2054-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140ASQ43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47171 | PA      | $45400.55     | 0.00%             | 2054-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140B04P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1765210 | PA      | $1810409.54   | 0.02%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140B8CY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72725 | PA      | $71705.07     | 0.00%             | 2055-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140B9NV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1797413 | PA      | $1835098.45   | 0.02%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140BGLP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    414405 | PA      | $408600.19    | 0.00%             | 2055-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140E0E35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    696463 | PA      | $649567.07    | 0.01%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140E0X91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    988791 | PA      | $951846.16    | 0.01%             | 2041-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140E7F70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4568 | PA      | $4321.81      | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140EVGP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    613118 | PA      | $570253.34    | 0.01%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140EWZG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42476 | PA      | $40554.04     | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140F0JJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1161461 | PA      | $1043190.86   | 0.01%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140F5A45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7191311 | PA      | $6488834.28   | 0.08%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140F5BK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134920 | PA      | $129790.87    | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140F5DA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4048178 | PA      | $3723609.48   | 0.05%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140FDVW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2081298 | PA      | $1877765.32   | 0.02%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140FE4G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2832 | PA      | $2697.34      | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140FRN92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    588310 | PA      | $527184.31    | 0.01%             | 2047-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140FS5L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12604 | PA      | $12336.62     | 0.00%             | 2032-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140FTG21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    282736 | PA      | $277042.20    | 0.00%             | 2032-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140GNKM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28358 | PA      | $27034.71     | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140GQ3F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4923 | PA      | $4688.95      | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140GRC69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71702 | PA      | $63803.30     | 0.00%             | 2047-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140GTTZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    280013 | PA      | $250281.26    | 0.00%             | 2047-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140GXBY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    400287 | PA      | $358013.23    | 0.00%             | 2047-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140GY6V6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    517762 | PA      | $461315.19    | 0.01%             | 2047-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140H13W8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79455 | PA      | $70791.90     | 0.00%             | 2047-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140H2B64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44935 | PA      | $40062.05     | 0.00%             | 2047-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140H2BM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    329440 | PA      | $294088.58    | 0.00%             | 2047-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140H2BN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    383414 | PA      | $344771.45    | 0.00%             | 2047-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140H2DA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4931 | PA      | $4383.30      | 0.00%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140H3DS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108763 | PA      | $96718.44     | 0.00%             | 2047-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140H3P59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    263470 | PA      | $234294.40    | 0.00%             | 2047-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140H3ZK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4780 | PA      | $4285.95      | 0.00%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140H3ZU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47921 | PA      | $42750.56     | 0.00%             | 2047-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140H9KU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2690 | PA      | $2560.99      | 0.00%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140HF7H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    454978 | PA      | $390967.43    | 0.00%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140HJR94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37852 | PA      | $36002.20     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140HMJY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10616 | PA      | $10107.29     | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140J5UB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96533 | PA      | $94837.44     | 0.00%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140J8CA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22277 | PA      | $20350.47     | 0.00%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140J8CF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3396068 | PA      | $3269618.24   | 0.04%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140J9SN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2116896 | PA      | $1892216.45   | 0.02%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140JHKQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3682 | PA      | $3500.59      | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140JPLF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1828558 | PA      | $1702934.21   | 0.02%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140K4M64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1106731 | PA      | $948769.31    | 0.01%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140K4M72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    670629 | PA      | $573437.86    | 0.01%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140K5AX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    802457 | PA      | $685325.08    | 0.01%             | 2050-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140KDB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92475 | PA      | $79060.93     | 0.00%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140KE2N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    443254 | PA      | $381551.83    | 0.00%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140KFYV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    483606 | PA      | $416461.71    | 0.01%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140KGJG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    857752 | PA      | $735366.26    | 0.01%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140L1Y41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1137845 | PA      | $930495.25    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140M1EP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1305261 | PA      | $1051650.57   | 0.01%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140M2P22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19649 | PA      | $15760.63     | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140M3BL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    575466 | PA      | $461903.19    | 0.01%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140M4MG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1212545 | PA      | $1018479.32   | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140M83M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1802048 | PA      | $1445162.33   | 0.02%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140MGE98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    660989 | PA      | $583431.19    | 0.01%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140MGNT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    628693 | PA      | $504178.38    | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140MHS34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7505477 | PA      | $6390147.26   | 0.08%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140MHS42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3415700 | PA      | $2905904.04   | 0.04%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140ML3E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23638 | PA      | $19878.91     | 0.00%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140MM5M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    524481 | PA      | $460096.99    | 0.01%             | 2052-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140MMAA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    558379 | PA      | $489882.50    | 0.01%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140MMLJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    225600 | PA      | $198050.76    | 0.00%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140MMU55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    996698 | PA      | $874675.73    | 0.01%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140MNMH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    364864 | PA      | $320239.32    | 0.00%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140MSRA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4209535 | PA      | $4065486.62   | 0.05%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140MXEA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124943 | PA      | $106566.16    | 0.00%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140N24Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2518620 | PA      | $2446141.11   | 0.03%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140N5FK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3844877 | PA      | $3876845.41   | 0.05%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140N6W73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    767903 | PA      | $773409.98    | 0.01%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140N7TQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38189 | PA      | $36889.80     | 0.00%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140N8NW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    543217 | PA      | $547890.21    | 0.01%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140NBYA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2143646 | PA      | $2128921.05   | 0.03%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140NDKV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2055173 | PA      | $2028736.50   | 0.02%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140NDN86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2671664 | PA      | $2694166.05   | 0.03%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140NEEH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1086333 | PA      | $1072956.30   | 0.01%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140NEPE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10112366 | PA      | $10025210.56  | 0.12%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140NFCX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1238875 | PA      | $1229600.77   | 0.01%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140NGAH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3898804 | PA      | $3936851.08   | 0.05%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140NHEJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1791443 | PA      | $1773063.26   | 0.02%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140NHFB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2778433 | PA      | $2746927.18   | 0.03%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140NHNU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    703398 | PA      | $680853.43    | 0.01%             | 2054-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140NKMM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3013286 | PA      | $2979117.40   | 0.04%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140NP5Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78047 | PA      | $81185.57     | 0.00%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140NPVN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    549384 | PA      | $569992.03    | 0.01%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140Q8AF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1885676 | PA      | $1758903.00   | 0.02%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140Q8DV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    252955 | PA      | $241551.89    | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QEAV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1924810 | PA      | $1647183.84   | 0.02%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QEWL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1303197 | PA      | $1117394.04   | 0.01%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QFA66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6005645 | PA      | $5148748.86   | 0.06%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QKQL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2529189 | PA      | $2140268.58   | 0.03%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QKSJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5201679 | PA      | $4360837.81   | 0.05%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QKSZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    756482 | PA      | $662888.71    | 0.01%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QKY77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1990612 | PA      | $1784817.34   | 0.02%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QKZC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    388139 | PA      | $340131.76    | 0.00%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QL4Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86096 | PA      | $81100.89     | 0.00%             | 2036-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QL6B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    598250 | PA      | $571366.37    | 0.01%             | 2036-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QM3Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65074 | PA      | $52348.52     | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QM5A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    840483 | PA      | $708550.95    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QM5E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    494196 | PA      | $414297.89    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QMCE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1364648 | PA      | $1144027.85   | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QMKE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    991177 | PA      | $830930.77    | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QMU77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98140 | PA      | $82273.03     | 0.00%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QMZC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7600552 | PA      | $6480547.47   | 0.08%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QMZY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1434855 | PA      | $1227183.36   | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QN3Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60235 | PA      | $55043.63     | 0.00%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QN6Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    715618 | PA      | $628104.43    | 0.01%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QNCA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    175052 | PA      | $140593.00    | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QNDF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    809445 | PA      | $650726.86    | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QNEW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168306 | PA      | $136785.42    | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QNL83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    370722 | PA      | $311547.46    | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QNLM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    940232 | PA      | $792855.50    | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QNQ21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76465 | PA      | $67123.24     | 0.00%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QNUG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75942 | PA      | $69229.62     | 0.00%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QNWE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    277191 | PA      | $222306.80    | 0.00%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QNYG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7996058 | PA      | $7017067.77   | 0.08%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QP4V6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    284479 | PA      | $261092.99    | 0.00%             | 2037-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QPKC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7193811 | PA      | $6312186.09   | 0.08%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QRQH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    682529 | PA      | $676544.53    | 0.01%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QSEC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    769416 | PA      | $778270.03    | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QTS26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16766 | PA      | $17188.08     | 0.00%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QTX95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    538480 | PA      | $519523.63    | 0.01%             | 2053-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QUMP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    638727 | PA      | $614759.60    | 0.01%             | 2054-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QVGH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    977922 | PA      | $942131.94    | 0.01%             | 2054-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QVGK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1668317 | PA      | $1606522.19   | 0.02%             | 2054-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140X54P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3969852 | PA      | $3387939.53   | 0.04%             | 2050-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140X5XN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2617970 | PA      | $2235085.56   | 0.03%             | 2050-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140X6EF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1179687 | PA      | $1216354.44   | 0.01%             | 2044-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140X83T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1129745 | PA      | $949925.74    | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XCAK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2062594 | PA      | $1764270.73   | 0.02%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XDRB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    930983 | PA      | $780478.72    | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XDXX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93954 | PA      | $78763.87     | 0.00%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XDY67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6341626 | PA      | $5418360.89   | 0.07%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XDYN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5188692 | PA      | $4447667.41   | 0.05%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XEAU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7615078 | PA      | $6750446.26   | 0.08%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XECV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1165206 | PA      | $1097010.30   | 0.01%             | 2036-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XFA92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22670227 | PA      | $19008507.05  | 0.23%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XFGA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6289934 | PA      | $5386850.70   | 0.07%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XFLN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5407811 | PA      | $4823296.70   | 0.06%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XFMA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73137 | PA      | $59209.29     | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XFMU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    172928 | PA      | $144970.28    | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XGAS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114805 | PA      | $100653.61    | 0.00%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XGJS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105478 | PA      | $93165.53     | 0.00%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XGQ69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5661167 | PA      | $5009685.88   | 0.06%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XGR35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33950 | PA      | $29789.14     | 0.00%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XGY45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52280 | PA      | $43827.68     | 0.00%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XH7M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1510745 | PA      | $1495653.19   | 0.02%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XHGD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1500128 | PA      | $1257576.68   | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XHHS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8189953 | PA      | $6607899.29   | 0.08%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XHY50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72288 | PA      | $58109.45     | 0.00%             | 2052-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XHY92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33846 | PA      | $28540.41     | 0.00%             | 2052-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XJD67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15011757 | PA      | $12584732.06  | 0.15%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XJJ61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    190289 | PA      | $179278.69    | 0.00%             | 2037-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XJQN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    399758 | PA      | $352854.28    | 0.00%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XKGQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    331631 | PA      | $279192.20    | 0.00%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XKH60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73972 | PA      | $64907.60     | 0.00%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XKU32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62629 | PA      | $50342.29     | 0.00%             | 2052-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XKU57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    426964 | PA      | $357936.47    | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XLPD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    296576 | PA      | $249996.28    | 0.00%             | 2053-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XLSJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62277 | PA      | $60216.45     | 0.00%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XMWM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9385648 | PA      | $9468726.09   | 0.11%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XNZ49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1791368 | PA      | $1569670.61   | 0.02%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XNZ72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31625 | PA      | $27761.17     | 0.00%             | 2053-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XP2R9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    496923 | PA      | $435579.75    | 0.01%             | 2053-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XQ2G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46322 | PA      | $40603.84     | 0.00%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140Y65R7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    211437 | PA      | $212595.27    | 0.00%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31410F2Z7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41984 | PA      | $44011.99     | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31410F5D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    202567 | PA      | $205034.91    | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31410GBE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    165998 | PA      | $171181.38    | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31410GFF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125033 | PA      | $128938.04    | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31410KGB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75087 | PA      | $77430.51     | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31410KJU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44623 | PA      | $46779.66     | 0.00%             | 2038-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31410KQ64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42841 | PA      | $44178.58     | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31410LDU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    440371 | PA      | $436654.47    | 0.01%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31410LK35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    454691 | PA      | $437833.06    | 0.01%             | 2042-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31411CKK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56242 | PA      | $58238.05     | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31411LSY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42181 | PA      | $44103.53     | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31412AWH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1047 | PA      | $1078.36      | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31412LGN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48917 | PA      | $51278.17     | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31412QSX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61809 | PA      | $62565.06     | 0.00%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31412QXG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125913 | PA      | $127452.09    | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31412V6B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16570 | PA      | $16975.14     | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31412XFD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119377 | PA      | $125142.14    | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31412XZL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33228 | PA      | $34460.77     | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31414JRK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27224 | PA      | $27978.98     | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31414QTQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29866 | PA      | $30549.35     | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31414ST29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       508 | PA      | $521.91       | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31415MM51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    269385 | PA      | $282403.98    | 0.00%             | 2038-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31415PNH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29890 | PA      | $30622.09     | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31415VYC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44597 | PA      | $45497.58     | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31416BLD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    588960 | PA      | $607069.88    | 0.01%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31416BW87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    295562 | PA      | $292417.98    | 0.00%             | 2034-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31416BZK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29625 | PA      | $30976.51     | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31416WEW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108903 | PA      | $107983.87    | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31417AVY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    191524 | PA      | $180123.24    | 0.00%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31417AYE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2090182 | PA      | $2012064.02   | 0.02%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31417AYG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    975635 | PA      | $939170.92    | 0.01%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31417AYK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1071002 | PA      | $1030970.93   | 0.01%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31417F3J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1280906 | PA      | $1201338.94   | 0.01%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31417G2Y1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    905794 | PA      | $848215.03    | 0.01%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31417G5A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    965766 | PA      | $904575.61    | 0.01%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31417MLN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93895 | PA      | $94659.37     | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31417SBP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138320 | PA      | $140010.34    | 0.00%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31417TNK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    938697 | PA      | $929017.25    | 0.01%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418CFV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    165620 | PA      | $157817.06    | 0.00%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418CM43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    477402 | PA      | $449889.18    | 0.01%             | 2037-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418CM84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43175 | PA      | $38744.83     | 0.00%             | 2047-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418CP57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17391 | PA      | $15495.77     | 0.00%             | 2047-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418CP99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25209 | PA      | $22575.39     | 0.00%             | 2047-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418CQ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15877 | PA      | $14231.79     | 0.00%             | 2047-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418CR71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71779 | PA      | $63898.51     | 0.00%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418CR97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28062 | PA      | $26785.90     | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418CRF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    837446 | PA      | $784341.70    | 0.01%             | 2037-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418CU69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    220528 | PA      | $196870.47    | 0.00%             | 2048-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418CUB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3259 | PA      | $3079.84      | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418CV68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    788572 | PA      | $756129.73    | 0.01%             | 2038-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418CWT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    167892 | PA      | $159509.41    | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418CXN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5517 | PA      | $5218.00      | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418CZB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1310241 | PA      | $1267676.40   | 0.02%             | 2033-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418CZH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    751781 | PA      | $715061.95    | 0.01%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418D2L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    233245 | PA      | $188046.47    | 0.00%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418D2S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7354287 | PA      | $6922738.69   | 0.08%             | 2036-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418D4F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    209303 | PA      | $175993.79    | 0.00%             | 2041-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418D4X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1133978 | PA      | $912796.63    | 0.01%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418D6B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2640125 | PA      | $2123856.30   | 0.03%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418D7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    932531 | PA      | $750174.52    | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418DKQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7818532 | PA      | $6629900.05   | 0.08%             | 2050-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3607971 | PA      | $2907893.27   | 0.04%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418DYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1694938 | PA      | $1365046.01   | 0.02%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418DYY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23293 | PA      | $19688.93     | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418E3B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    717312 | PA      | $690950.27    | 0.01%             | 2054-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418E5Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3041576 | PA      | $3109256.77   | 0.04%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418E7B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1148548 | PA      | $1172596.85   | 0.01%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418EAM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87612 | PA      | $70409.55     | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418EAN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3060695 | PA      | $2582857.72   | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418EB90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    766404 | PA      | $645740.00    | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418EBH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    632589 | PA      | $538064.82    | 0.01%             | 2042-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11861527 | PA      | $10254511.43  | 0.12%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418EBR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14512776 | PA      | $11658831.51  | 0.14%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418EBS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1516515 | PA      | $1277756.45   | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418EBT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    206934 | PA      | $181652.93    | 0.00%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418ECG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7514236 | PA      | $6490607.35   | 0.08%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418ECH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5902461 | PA      | $5289193.06   | 0.06%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418ECQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12547619 | PA      | $10565846.43  | 0.13%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418ECY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12993255 | PA      | $11227108.55  | 0.14%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418ECZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9124846 | PA      | $8175382.93   | 0.10%             | 2042-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418ED56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132475 | PA      | $111474.68    | 0.00%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418ED64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103235 | PA      | $90616.82     | 0.00%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418EDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5618161 | PA      | $4729721.23   | 0.06%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418EDD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    171175 | PA      | $150021.46    | 0.00%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418EE63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    139426 | PA      | $134553.95    | 0.00%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418EGK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    230006 | PA      | $222370.88    | 0.00%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418EHG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    675542 | PA      | $592661.06    | 0.01%             | 2052-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418EJ76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    732936 | PA      | $726093.89    | 0.01%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418EKT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    144182 | PA      | $139277.99    | 0.00%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418ELW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    485270 | PA      | $468765.17    | 0.01%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418ELX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19727 | PA      | $19535.33     | 0.00%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418EMR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122018 | PA      | $117817.02    | 0.00%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418EMS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4625659 | PA      | $4582717.59   | 0.06%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418EQ78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    832724 | PA      | $804055.31    | 0.01%             | 2053-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418EQL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    807756 | PA      | $780113.44    | 0.01%             | 2053-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418ER69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    535251 | PA      | $516822.84    | 0.01%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418FDC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1264691 | PA      | $1292061.42   | 0.02%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418FE29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1785922 | PA      | $1761081.66   | 0.02%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418FHW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    398170 | PA      | $383227.44    | 0.00%             | 2055-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418FKN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    221810 | PA      | $223048.03    | 0.00%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418FMK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    823824 | PA      | $841075.81    | 0.01%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418FU54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3649998 | PA      | $3623168.18   | 0.04%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418MUR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104995 | PA      | $105502.75    | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418NX21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    219530 | PA      | $222213.71    | 0.00%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418TC54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124214 | PA      | $125732.90    | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31419ANB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1671828 | PA      | $1610409.57   | 0.02%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31419AT49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59370 | PA      | $59540.27     | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31419B5X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    730787 | PA      | $703940.93    | 0.01%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31419BBT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1619201 | PA      | $1547386.84   | 0.02%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31419BBY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    577425 | PA      | $572551.54    | 0.01%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31419FG83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    961484 | PA      | $926360.08    | 0.01%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31419GP24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148989 | PA      | $147731.49    | 0.00%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31419JSM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2409762 | PA      | $2319738.24   | 0.03%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 31425VNS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4052395 | PA      | $4012820.56   | 0.05%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 31425VXX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2671636 | PA      | $2771181.78   | 0.03%             | 2054-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 31425WAH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31140 | PA      | $29971.00     | 0.00%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 31426MQP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    499043 | PA      | $492044.70    | 0.01%             | 2055-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 31426NFQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    761136 | PA      | $777075.02    | 0.01%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 31426PSS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    856389 | PA      | $874711.65    | 0.01%             | 2055-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 31427N6D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5511936 | PA      | $5542134.75   | 0.07%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 31427NMZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3244881 | PA      | $3391114.97   | 0.04%             | 2054-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 31427NSH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    448510 | PA      | $450990.66    | 0.01%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3142J6A45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78307 | PA      | $77213.72     | 0.00%             | 2055-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3142J6BT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    870647 | PA      | $875417.40    | 0.01%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fiserv, Inc.                                           | Fiserv, Inc.                                                                     | CUSIP: 337738AU2<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |  17324000 | PA      | $16655949.66  | 0.20%             | 2029-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fiserv, Inc.                                           | Fiserv, Inc.                                                                     | CUSIP: 337738BE7<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |  10033000 | PA      | $10173591.12  | 0.12%             | 2033-03-02      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| State Board of Administration Finance Corp.            | State Board of Administration Finance Corp.                                      | CUSIP: 341271AF1<br>LEI: 549300S34SOJ0RULXM35 | Long             | DBT              | MUN               | US        |  21024000 | PA      | $19304241.00  | 0.23%             | 2030-07-01      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust              | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-3, Class MV               | CUSIP: 35563PLK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1130275 | PA      | $1070785.72   | 0.01%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust              | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-4, Class MV               | CUSIP: 35563PMN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1248126 | PA      | $1114551.38   | 0.01%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36177MPD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    364793 | PA      | $338137.03    | 0.00%             | 2042-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36177PCJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    412167 | PA      | $383202.70    | 0.00%             | 2042-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36177T4M6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    207189 | PA      | $191984.33    | 0.00%             | 2042-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179QT35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    792089 | PA      | $717667.12    | 0.01%             | 2044-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179R4E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10469 | PA      | $9667.44      | 0.00%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179R7H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    220267 | PA      | $198394.48    | 0.00%             | 2046-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179R7J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     82308 | PA      | $76409.34     | 0.00%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179RBW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    867235 | PA      | $783990.11    | 0.01%             | 2045-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179SB89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2251288 | PA      | $2077484.67   | 0.03%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179SJS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    420716 | PA      | $376812.17    | 0.00%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179SLR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1003275 | PA      | $905650.37    | 0.01%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179SWX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9641 | PA      | $8943.16      | 0.00%             | 2047-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179T4N2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1771358 | PA      | $1632746.71   | 0.02%             | 2048-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179TG33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1828186 | PA      | $1645313.45   | 0.02%             | 2047-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179TLR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3970735 | PA      | $3572512.55   | 0.04%             | 2047-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179TLS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2908996 | PA      | $2682521.01   | 0.03%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179TQN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6922890 | PA      | $6190446.39   | 0.07%             | 2048-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179TV51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37631 | PA      | $34782.83     | 0.00%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179UCA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    455454 | PA      | $420579.76    | 0.01%             | 2048-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179UQ62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1238687 | PA      | $1221837.99   | 0.01%             | 2049-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179UWA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    957953 | PA      | $938907.28    | 0.01%             | 2049-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179W2U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  30657065 | PA      | $26285046.21  | 0.32%             | 2052-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179W2V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63444 | PA      | $56550.19     | 0.00%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179W7J1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    110198 | PA      | $94482.24     | 0.00%             | 2052-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179W7K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  28487158 | PA      | $25395881.06  | 0.31%             | 2052-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3978093 | PA      | $3409179.71   | 0.04%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9763101 | PA      | $8371677.05   | 0.10%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179WR34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2797440 | PA      | $2493561.70   | 0.03%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179WVT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17075779 | PA      | $14055255.63  | 0.17%             | 2052-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179WXH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  22535108 | PA      | $18548886.77  | 0.22%             | 2052-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179WXK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5046775 | PA      | $4498961.45   | 0.05%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179WY85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6641199 | PA      | $5466441.35   | 0.07%             | 2052-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179WY93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  20569683 | PA      | $17636273.62  | 0.21%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179X2K1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7824234 | PA      | $7806937.98   | 0.09%             | 2053-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179XBT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5848595 | PA      | $5519965.50   | 0.07%             | 2052-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                 | CUSIP: 36179XDE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    943942 | PA      | $917949.49    | 0.01%             | 2052-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179XFC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19492 | PA      | $16081.71     | 0.00%             | 2052-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179XFG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9372040 | PA      | $8841712.39   | 0.11%             | 2052-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179XFH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  26638649 | PA      | $25889361.49  | 0.31%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179XHV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1096306 | PA      | $979388.28    | 0.01%             | 2052-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179XHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16121529 | PA      | $15204501.13  | 0.18%             | 2052-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179XLD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57875 | PA      | $51675.98     | 0.00%             | 2052-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179XLG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11859830 | PA      | $11526243.88  | 0.14%             | 2052-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179XNE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5495331 | PA      | $5339676.79   | 0.06%             | 2052-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179XNF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    175484 | PA      | $175003.10    | 0.00%             | 2052-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                 | CUSIP: 36179XQW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5562153 | PA      | $5546575.03   | 0.07%             | 2053-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                 | CUSIP: 36179XQX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30507 | PA      | $30984.83     | 0.00%             | 2053-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179XTD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7329656 | PA      | $7425452.73   | 0.09%             | 2053-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179XVS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     73416 | PA      | $73241.08     | 0.00%             | 2053-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179XX50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8350365 | PA      | $8321484.09   | 0.10%             | 2053-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179YDK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    500449 | PA      | $507208.69    | 0.01%             | 2053-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179YHK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    154438 | PA      | $127308.82    | 0.00%             | 2053-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179YPG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    400293 | PA      | $405348.08    | 0.00%             | 2054-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179YRH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    445953 | PA      | $451584.42    | 0.01%             | 2054-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179YS62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1162816 | PA      | $1176817.26   | 0.01%             | 2054-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179YU69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    466015 | PA      | $471444.06    | 0.01%             | 2054-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179YW59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    528108 | PA      | $534182.61    | 0.01%             | 2054-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36180AAE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17321191 | PA      | $17194368.17  | 0.21%             | 2054-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 3618N5EV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10851688 | PA      | $10945866.71  | 0.13%             | 2055-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 3618N5KW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11363385 | PA      | $11462745.21  | 0.14%             | 2055-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36200ENN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8700 | PA      | $8776.52      | 0.00%             | 2032-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36200NE23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1782 | PA      | $1805.85      | 0.00%             | 2034-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36202EGR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     94181 | PA      | $98690.36     | 0.00%             | 2036-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36202ESB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    283412 | PA      | $292353.31    | 0.00%             | 2038-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36202F2V7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17468 | PA      | $18019.21     | 0.00%             | 2042-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36202F3P9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4992 | PA      | $4934.62      | 0.00%             | 2042-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36202FLN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    897353 | PA      | $864660.92    | 0.01%             | 2040-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    277771 | PA      | $267650.78    | 0.00%             | 2041-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36202FPG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    584657 | PA      | $578210.53    | 0.01%             | 2041-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36202FTL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58837 | PA      | $58178.87     | 0.00%             | 2041-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36202FUF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    225668 | PA      | $221873.83    | 0.00%             | 2041-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36202FV94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    148812 | PA      | $147117.21    | 0.00%             | 2041-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36202FXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    299527 | PA      | $296116.48    | 0.00%             | 2041-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36205FWS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    100235 | PA      | $104340.53    | 0.00%             | 2037-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 3620A2UH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    169970 | PA      | $167563.21    | 0.00%             | 2039-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 3620A8GZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    104920 | PA      | $104287.38    | 0.00%             | 2040-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 3620A9SS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    309207 | PA      | $307342.66    | 0.00%             | 2039-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 3620AFPN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68937 | PA      | $68414.89     | 0.00%             | 2040-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 3620AKNL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63212 | PA      | $62414.23     | 0.00%             | 2040-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 3620ALND2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    141209 | PA      | $139685.22    | 0.00%             | 2040-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 3620ALQ49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    227850 | PA      | $224386.32    | 0.00%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 3620AMD58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    189418 | PA      | $186406.84    | 0.00%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 3620AMF80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    215655 | PA      | $213467.78    | 0.00%             | 2040-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36230RVV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    343644 | PA      | $319714.73    | 0.00%             | 2040-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36241L4N3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    527292 | PA      | $517518.89    | 0.01%             | 2040-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36241LXE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5839 | PA      | $5773.47      | 0.00%             | 2041-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Haleon US Capital LLC                                  | Haleon US Capital LLC                                                            | CUSIP: 36264FAM3<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |  15416000 | PA      | $14517383.01  | 0.18%             | 2032-03-24      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                      | GLS Auto Select Receivables Trust, Series 2023-2A, Class A2                      | CUSIP: 36269EAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    176734 | PA      | $176912.24    | 0.00%             | 2028-06-15      | Fixed         | 6.37%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36294UUL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    147100 | PA      | $136217.83    | 0.00%             | 2042-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36295KJV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     75004 | PA      | $77818.25     | 0.00%             | 2038-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36295NG27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37661 | PA      | $38878.17     | 0.00%             | 2038-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36295PW99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    191026 | PA      | $197992.49    | 0.00%             | 2038-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36296V7L6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    595698 | PA      | $599450.32    | 0.01%             | 2039-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36296YCL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    150372 | PA      | $149343.82    | 0.00%             | 2040-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36296YGA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    120677 | PA      | $118740.30    | 0.00%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36297GSD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1209360 | PA      | $1121742.78   | 0.01%             | 2041-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36297H6K9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     97952 | PA      | $96517.57     | 0.00%             | 2040-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GENMAB A/S                                             | GENMAB A/S                                                                       | CUSIP: 37230JAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |  24393000 | PA      | $25033316.25  | 0.30%             | 2032-12-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Glencore Funding LLC                                   | Glencore Funding LLC                                                             | CUSIP: 378272BE7<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |  17296000 | PA      | $15761433.33  | 0.19%             | 2031-04-27      | Fixed         | 2.85%                 | Yes           |                  2 | On Loan: No      |
| Global Payments, Inc.                                  | Global Payments, Inc.                                                            | CUSIP: 37940XAD4<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |  23523000 | PA      | $21554536.55  | 0.26%             | 2030-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                  | Global Payments, Inc.                                                            | CUSIP: 37940XAH5<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   6885000 | PA      | $6057596.85   | 0.07%             | 2031-11-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                      | GLS Auto Receivables Issuer Trust, Series 2025-2A, Class A2                      | CUSIP: 37989BAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900748 | PA      | $901782.24    | 0.01%             | 2028-03-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| GMACM Home Equity Loan Trust                           | GMACM Home Equity Loan Trust, Series 2006-HE3, Class A3                          | CUSIP: 38012TAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     45211 | PA      | $45144.46     | 0.00%             | 2036-10-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                        | Goldman Sachs Group, Inc. (The)                                                  | CUSIP: 38141GXG4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  15968000 | PA      | $14879205.31  | 0.18%             | 2030-02-07      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                        | Goldman Sachs Group, Inc. (The)                                                  | CUSIP: 38141GYN8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  26935000 | PA      | $23977859.95  | 0.29%             | 2032-10-21      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2011-123, Class MA                                                  | CUSIP: 38377YEC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    442210 | PA      | $432303.18    | 0.01%             | 2041-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2012-12, Class KN                                                   | CUSIP: 38378CP92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    293167 | PA      | $293619.65    | 0.00%             | 2041-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                              | HCA, Inc.                                                                        | CUSIP: 404119BX6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |  10042000 | PA      | $9906988.22   | 0.12%             | 2029-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                              | HCA, Inc.                                                                        | CUSIP: 404119CS6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |  14385000 | PA      | $12055315.30  | 0.15%             | 2042-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                      | HSBC Holdings plc                                                                | CUSIP: 404280CQ0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  25500000 | PA      | $23850596.25  | 0.29%             | 2031-03-09      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Hilton Domestic Operating Co., Inc.                    | Hilton Domestic Operating Co., Inc.                                              | CUSIP: 432833AR2<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |  20412000 | PA      | $20668742.14  | 0.25%             | 2033-03-15      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| HUB International Ltd.                                 | HUB International Ltd.                                                           | CUSIP: 44332PAH4<br>LEI: 549300JQT6ATTUNS5E06 | Long             | DBT              | CORP              | US        |  22651000 | PA      | $23431802.62  | 0.28%             | 2030-06-15      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| Humana, Inc.                                           | Humana, Inc.                                                                     | CUSIP: 444859BV3<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |  19625000 | PA      | $20130499.97  | 0.24%             | 2033-03-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Lease Securitization Trust                | Hyundai Auto Lease Securitization Trust, Series 2025-B, Class A2A                | CUSIP: 44935DAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7304700 | PA      | $7319703.23   | 0.09%             | 2027-09-15      | Fixed         | 4.58%                 | Yes           |                  2 | On Loan: No      |
| Icon Investments Six DAC                               | Icon Investments Six DAC                                                         | CUSIP: 45115AAC8<br>LEI: 635400FQ1M7J2CHLAS59 | Long             | DBT              | CORP              | IE        |  13573000 | PA      | $13869949.55  | 0.17%             | 2034-05-08      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ILPT Commercial Mortgage Trust                         | ILPT Commercial Mortgage Trust, Series 2025-LPF2, Class A                        | CUSIP: 451955AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  19885000 | PA      | $20079525.01  | 0.24%             | 2042-07-13      | Variable      | 5.47%                 | Yes           |                  2 | On Loan: No      |
| Impac Secured Assets Trust                             | Impac Secured Assets Trust, Series 2006-1, Class 2A1                             | CUSIP: 45254TTN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27155 | PA      | $25834.51     | 0.00%             | 2036-05-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                        | Intercontinental Exchange, Inc.                                                  | CUSIP: 45866FBA1<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |   8977000 | PA      | $9244556.79   | 0.11%             | 2031-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Iron Mountain, Inc.                                    | Iron Mountain, Inc.                                                              | CUSIP: 46284VAN1<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              | CORP              | US        |  35950000 | PA      | $34547062.04  | 0.42%             | 2031-02-15      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                   | JPMorgan Chase & Co.                                                             | CUSIP: 46647PAV8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   9246000 | PA      | $9188435.98   | 0.11%             | 2029-07-23      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                   | JPMorgan Chase & Co.                                                             | CUSIP: 46647PBP0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   7484000 | PA      | $6984287.56   | 0.08%             | 2031-05-13      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                   | JPMorgan Chase & Co.                                                             | CUSIP: 46647PCR5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  29061000 | PA      | $25861228.71  | 0.31%             | 2032-11-08      | Variable      | 2.54%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust             | JPMDB Commercial Mortgage Securities Trust, Series 2017-C7, Class A5             | CUSIP: 46648KAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11500000 | PA      | $11338885.00  | 0.14%             | 2050-10-15      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                             | J.P. Morgan Mortgage Trust, Series 2026-NQM1, Class A1                           | CUSIP: 46660DAE5<br>LEI: 529900PEVYDPZXGGUW77 | Long             | ABS-MBS          | CORP              | US        |   4626392 | PA      | $4589395.49   | 0.06%             | 2066-06-25      | Variable      | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Jane Street Group                                      | Jane Street Group                                                                | CUSIP: 47077WAE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  19750000 | PA      | $20289392.25  | 0.25%             | 2033-05-01      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Jefferies Financial Group, Inc.                        | Jefferies Financial Group, Inc.                                                  | CUSIP: 47233WMK2<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |  21576000 | PA      | $21276424.58  | 0.26%             | 2031-04-28      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Jersey Central Power & Light Co.                       | Jersey Central Power & Light Co.                                                 | CUSIP: 476556DD4<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |  21954000 | PA      | $19726249.68  | 0.24%             | 2032-03-01      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| KKR Static CLO I Ltd.                                  | KKR Static CLO I Ltd., Series 2022-1A, Class BR2                                 | CUSIP: 48255QAW3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  18455587 | PA      | $18455291.71  | 0.22%             | 2031-07-20      | Floating      | 5.13%                 | Yes           |                  2 | On Loan: No      |
| KeySpan Gas East Corp.                                 | KeySpan Gas East Corp.                                                           | CUSIP: 49338CAB9<br>LEI: K8TS3HOE1568DUBUJL44 | Long             | DBT              | CORP              | US        |  13855000 | PA      | $13795325.82  | 0.17%             | 2026-08-15      | Fixed         | 2.74%                 | Yes           |                  2 | On Loan: No      |
| Kinder Morgan Energy Partners LP                       | Kinder Morgan Energy Partners LP                                                 | CUSIP: 494550BH8<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |   6112000 | PA      | $6450714.33   | 0.08%             | 2041-03-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan Energy Partners LP                       | Kinder Morgan Energy Partners LP                                                 | CUSIP: 494550BW5<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |   7661000 | PA      | $7156084.25   | 0.09%             | 2044-09-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| LPL Holdings, Inc.                                     | LPL Holdings, Inc.                                                               | CUSIP: 50212YAD6<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |  21696000 | PA      | $21117888.82  | 0.26%             | 2029-03-15      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| LPL Holdings, Inc.                                     | LPL Holdings, Inc.                                                               | CUSIP: 50212YAH7<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |   6057000 | PA      | $6338345.77   | 0.08%             | 2028-11-17      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| LPL Holdings, Inc.                                     | LPL Holdings, Inc.                                                               | CUSIP: 50212YAK0<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |  13107000 | PA      | $13401253.59  | 0.16%             | 2034-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Liberty Mutual Group, Inc.                             | Liberty Mutual Group, Inc.                                                       | CUSIP: 53079EBJ2<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |   6950000 | PA      | $5032708.23   | 0.06%             | 2050-10-15      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| Lloyds Banking Group plc                               | Lloyds Banking Group plc                                                         | CUSIP: 53944YAD5<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   3975000 | PA      | $3964187.72   | 0.05%             | 2027-01-11      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| LoanCore Issuer LLC                                    | LoanCore Issuer LLC, Series 2025-CRE8, Class AS                                  | CUSIP: 53947FAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  39804000 | PA      | $39817923.44  | 0.48%             | 2042-08-17      | Floating      | 5.26%                 | Yes           |                  2 | On Loan: No      |
| LoanCore Issuer Ltd.                                   | LoanCore Issuer Ltd., Series 2021-CRE6, Class B                                  | CUSIP: 53948HAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  42852000 | PA      | $42901751.17  | 0.52%             | 2038-11-15      | Floating      | 5.67%                 | Yes           |                  2 | On Loan: No      |
| MF1 Ltd.                                               | MF1 Ltd., Series 2021-FL7, Class AS                                              | CUSIP: 55284AAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7000000 | PA      | $6994568.00   | 0.08%             | 2036-10-16      | Floating      | 5.23%                 | Yes           |                  2 | On Loan: No      |
| MF1 Ltd.                                               | MF1 Ltd., Series 2022-FL8, Class C                                               | CUSIP: 55284JAG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  10626099 | PA      | $10579747.96  | 0.13%             | 2037-02-19      | Floating      | 5.86%                 | Yes           |                  2 | On Loan: No      |
| MF1 Ltd.                                               | MF1 Ltd., Series 2022-FL8, Class D                                               | CUSIP: 55284JAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6141972 | PA      | $6142619.98   | 0.07%             | 2037-02-19      | Floating      | 6.31%                 | Yes           |                  2 | On Loan: No      |
| MF1                                                    | MF1, Series 2024-FL16, Class AS                                                  | CUSIP: 55287EAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  22975592 | PA      | $23061975.63  | 0.28%             | 2039-11-18      | Floating      | 5.60%                 | Yes           |                  2 | On Loan: No      |
| LLC                                                    | LLC, Series 2025-FL17, Class A                                                   | CUSIP: 55287HAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9500000 | PA      | $9501577.00   | 0.12%             | 2040-02-18      | Floating      | 4.98%                 | Yes           |                  2 | On Loan: No      |
| LLC                                                    | LLC, Series 2025-FL17, Class AS                                                  | CUSIP: 55287HAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  20396684 | PA      | $20402762.21  | 0.25%             | 2040-02-18      | Floating      | 5.23%                 | Yes           |                  2 | On Loan: No      |
| LLC                                                    | LLC, Series 2025-FL17, Class B                                                   | CUSIP: 55287HAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12903700 | PA      | $12910900.26  | 0.16%             | 2040-02-18      | Floating      | 5.45%                 | Yes           |                  2 | On Loan: No      |
| LLC                                                    | LLC, Series 2025-FL19, Class A                                                   | CUSIP: 55287KAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  20709139 | PA      | $20747947.93  | 0.25%             | 2042-05-18      | Floating      | 5.15%                 | Yes           |                  2 | On Loan: No      |
| LLC                                                    | LLC, Series 2025-FL19, Class AS                                                  | CUSIP: 55287KAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8000000 | PA      | $8020015.20   | 0.10%             | 2042-05-18      | Floating      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| LLC                                                    | LLC, Series 2026-FL21, Class B                                                   | CUSIP: 55287NAG2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5480957 | PA      | $5489151.03   | 0.07%             | 2041-02-18      | Floating      | 5.41%                 | Yes           |                  2 | On Loan: No      |
| MFS Institutional Money Market Portfolio               | MFS Institutional Money Market Portfolio, Class A                                | CUSIP: 55291X109<br>LEI: 5L2W638H85N8T1136O07 | Long             | STIV             | RF                | US        | 126441653 | NS      | $126454297.62 | 1.53%             |  |  |  | No            |                  1 | On Loan: No      |
| MPLX LP                                                | MPLX LP                                                                          | CUSIP: 55336VBT6<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |  27389000 | PA      | $22827846.01  | 0.28%             | 2052-03-14      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| MSWF Commercial Mortgage Trust                         | MSWF Commercial Mortgage Trust, Series 2023-2, Class A5                          | CUSIP: 55361AAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16089120 | PA      | $17079070.68  | 0.21%             | 2056-12-15      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| MF1 LLC                                                | MF1 LLC, Series 2024-FL14, Class AS                                              | CUSIP: 55416AAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  18526119 | PA      | $18544941.54  | 0.22%             | 2039-03-19      | Floating      | 5.89%                 | Yes           |                  2 | On Loan: No      |
| Macquarie Bank Ltd.                                    | Macquarie Bank Ltd.                                                              | CUSIP: 556079AB7<br>LEI: 549300MPRNPO6FWNKN78 | Long             | DBT              | CORP              | AU        |  23323000 | PA      | $23462681.45  | 0.28%             | 2027-03-08      | Variable      | 6.12%                 | Yes           |                  2 | On Loan: No      |
| Macquarie Group Ltd.                                   | Macquarie Group Ltd.                                                             | CUSIP: 55608JBE7<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |  47217000 | PA      | $45815153.24  | 0.55%             | 2033-06-21      | Variable      | 4.44%                 | Yes           |                  2 | On Loan: No      |
| MAN US CLO Ltd.                                        | MAN US CLO Ltd., Series 2023-1A, Class B                                         | CUSIP: 56166RAC6<br>LEI: 254900N9T03W7ZI61W42 | Long             | ABS-CBDO         | CORP              | JE        |  16070750 | PA      | $16134647.30  | 0.20%             | 2035-07-20      | Floating      | 6.68%                 | Yes           |                  2 | On Loan: No      |
| Marathon Petroleum Corp.                               | Marathon Petroleum Corp.                                                         | CUSIP: 56585AAM4<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | DBT              | CORP              | US        |   4349000 | PA      | $4148665.62   | 0.05%             | 2045-12-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Marin General Hospital                                 | Marin General Hospital, Series 2023                                              | CUSIP: 568039AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  10530000 | PA      | $11249451.83  | 0.14%             | 2045-08-01      | Fixed         | 7.24%                 | No            |                  2 | On Loan: No      |
| Marriott International, Inc.                           | Marriott International, Inc., Series GG                                          | CUSIP: 571903BF9<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |  12991000 | PA      | $11974093.75  | 0.14%             | 2032-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Marriott International, Inc.                           | Marriott International, Inc., Series II                                          | CUSIP: 571903BH5<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |  18167000 | PA      | $15760718.72  | 0.19%             | 2033-10-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| MF1                                                    | MF1, Series 2024-FL15, Class AS                                                  | CUSIP: 58003MAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  20521000 | PA      | $20602848.01  | 0.25%             | 2041-08-18      | Floating      | 5.70%                 | Yes           |                  2 | On Loan: No      |
| Medline Borrower LP                                    | Medline Borrower LP                                                              | CUSIP: 58506DAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  13568000 | PA      | $13874921.73  | 0.17%             | 2029-04-01      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                 | Merrill Lynch Mortgage Investors Trust, Series 2006-RM1, Class A2B               | CUSIP: 59020U5D3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1714974 | PA      | $171256.75    | 0.00%             | 2037-02-25      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| MF1 LLC                                                | MF1 LLC, Series 2025-FL20, Class B                                               | CUSIP: 59319CAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  23334433 | PA      | $23412148.33  | 0.28%             | 2043-02-18      | Floating      | 5.61%                 | Yes           |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                   | Mitsubishi UFJ Financial Group, Inc.                                             | CUSIP: 606822BU7<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |  31223000 | PA      | $28169468.97  | 0.34%             | 2030-07-17      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                         | Morgan Stanley                                                                   | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   7037000 | PA      | $6546518.99   | 0.08%             | 2031-01-22      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                         | Morgan Stanley                                                                   | CUSIP: 61747YEH4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  19284000 | PA      | $17100703.12  | 0.21%             | 2032-10-20      | Variable      | 2.51%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                         | Morgan Stanley                                                                   | CUSIP: 61747YFF7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   5819000 | PA      | $5925934.31   | 0.07%             | 2029-07-20      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                         | Morgan Stanley                                                                   | CUSIP: 61747YFG5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  13809000 | PA      | $14073776.11  | 0.17%             | 2034-07-21      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                         | Morgan Stanley                                                                   | CUSIP: 61761J3R8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  12844000 | PA      | $12810498.10  | 0.16%             | 2026-07-27      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust         | Morgan Stanley Residential Mortgage Loan Trust, Series 2024-NQM1, Class A1       | CUSIP: 61775UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8742756 | PA      | $8793558.91   | 0.11%             | 2068-12-25      | Variable      | 6.15%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust         | Morgan Stanley Residential Mortgage Loan Trust, Series 2026-NQM1, Class A1       | CUSIP: 61780XAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5175692 | PA      | $5139235.78   | 0.06%             | 2070-12-25      | Variable      | 4.81%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust         | Morgan Stanley Residential Mortgage Loan Trust, Series 2025-NQM4, Class A1       | CUSIP: 617945AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12752240 | PA      | $12819394.19  | 0.16%             | 2070-06-25      | Variable      | 5.59%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust         | Morgan Stanley Residential Mortgage Loan Trust, Series 2026-NQM2, Class A1       | CUSIP: 617949AC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14825301 | PA      | $14698899.34  | 0.18%             | 2071-01-26      | Variable      | 4.73%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust         | Morgan Stanley Residential Mortgage Loan Trust, Series 2026-NQM3, Class A1       | CUSIP: 617960AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  19312973 | PA      | $19314979.15  | 0.23%             | 2071-03-25      | Variable      | 5.21%                 | Yes           |                  2 | On Loan: No      |
| NTT Finance Corp.                                      | NTT Finance Corp.                                                                | CUSIP: 62954WAV7<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |  24588000 | PA      | $25017727.43  | 0.30%             | 2035-07-16      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| NatWest Group plc                                      | NatWest Group plc                                                                | CUSIP: 639057AH1<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   3536000 | PA      | $3717081.14   | 0.05%             | 2034-03-02      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO XVI-S Ltd.                        | Neuberger Berman CLO XVI-S Ltd., Series 2017-16SA, Class A1R2                    | CUSIP: 64131TAY0<br>LEI: 549300UHUHCR3388B324 | Long             | ABS-CBDO         | CORP              | KY        |   4047000 | PA      | $4045899.22   | 0.05%             | 2039-04-15      | Floating      | 4.85%                 | Yes           |                  2 | On Loan: No      |
| Neuberger Berman CLO XVI-S Ltd.                        | Neuberger Berman CLO XVI-S Ltd., Series 2017-16SA, Class BR2                     | CUSIP: 64131TBC7<br>LEI: 549300UHUHCR3388B324 | Long             | ABS-CBDO         | CORP              | KY        |  20000000 | PA      | $20050980.00  | 0.24%             | 2039-04-15      | Floating      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers CLO 44 Ltd.             | Neuberger Berman Loan Advisers CLO 44 Ltd., Series 2021-44A, Class CR            | CUSIP: 64133VAN7<br>LEI: 549300HMTDFWN3B2DI35 | Long             | ABS-CBDO         | CORP              | KY        |   7678917 | PA      | $7647802.03   | 0.09%             | 2035-10-16      | Floating      | 5.38%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                    | New Residential Mortgage Loan Trust, Series 2026-NQM4, Class A1                  | CUSIP: 64790AAE7<br>LEI: 213800UD7J2W19Q88M79 | Long             | ABS-MBS          | CORP              | US        |  15640548 | PA      | $15586689.49  | 0.19%             | 2066-02-25      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                    | New Residential Mortgage Loan Trust, Series 2025-NQM3, Class A1                  | CUSIP: 64832CAC7<br>LEI: 2138002D8CMDYG7QOU84 | Long             | ABS-MBS          | CORP              | US        |   1877567 | PA      | $1888797.12   | 0.02%             | 2065-05-25      | Variable      | 5.53%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                    | New Residential Mortgage Loan Trust, Series 2025-NQM4, Class A1                  | CUSIP: 64832FAC0<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |  34384046 | PA      | $34485825.79  | 0.42%             | 2065-07-25      | Variable      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                    | New Residential Mortgage Loan Trust, Series 2026-NQM2, Class A1                  | CUSIP: 64832MAE1<br>LEI: 213800ZF5DPBUAR45104 | Long             | ABS-MBS          | CORP              | US        |  14494096 | PA      | $14361595.47  | 0.17%             | 2065-12-25      | Variable      | 4.74%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                    | New Residential Mortgage Loan Trust, Series 2026-NQM3, Class A1                  | CUSIP: 64832PAE4<br>LEI: 213800BXPAJOYIE7S264 | Long             | ABS-MBS          | CORP              | US        |  20750177 | PA      | $20598032.39  | 0.25%             | 2066-02-25      | Variable      | 4.83%                 | Yes           |                  2 | On Loan: No      |
| NiSource, Inc.                                         | NiSource, Inc.                                                                   | CUSIP: 65473PAJ4<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |  16331000 | PA      | $15765454.04  | 0.19%             | 2030-05-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Northwell Healthcare, Inc.                             | Northwell Healthcare, Inc.                                                       | CUSIP: 667274AA2<br>LEI: 54930073NUTKK4QD3P47 | Long             | DBT              | CORP              | US        |   3110000 | PA      | $2401870.66   | 0.03%             | 2046-11-01      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| Northwell Healthcare, Inc.                             | Northwell Healthcare, Inc.                                                       | CUSIP: 667274AC8<br>LEI: 54930073NUTKK4QD3P47 | Long             | DBT              | CORP              | US        |   9132000 | PA      | $7349394.15   | 0.09%             | 2047-11-01      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| Northwoods Capital XIV-B Ltd.                          | Northwoods Capital XIV-B Ltd., Series 2018-14BA, Class BR                        | CUSIP: 66860CAN3<br>LEI: 549300QQDSTCZ860F679 | Long             | ABS-CBDO         | CORP              | KY        |  16960213 | PA      | $16970575.69  | 0.21%             | 2031-11-13      | Floating      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| OBX Trust                                              | OBX Trust, Series 2024-NQM9, Class A1                                            | CUSIP: 67119DAA6<br>LEI: 2549004KB8X0K1PPTU08 | Long             | ABS-MBS          | CORP              | US        |   9331255 | PA      | $9405783.76   | 0.11%             | 2064-01-25      | Variable      | 6.03%                 | Yes           |                  2 | On Loan: No      |
| OBX Trust                                              | OBX Trust, Series 2025-NQM15, Class A1                                           | CUSIP: 67122CAC9<br>LEI: 254900Y3YIZHUWMEGC78 | Long             | ABS-MBS          | CORP              | US        |   6612959 | PA      | $6616227.00   | 0.08%             | 2065-07-27      | Variable      | 5.14%                 | Yes           |                  2 | On Loan: No      |
| OBX Trust                                              | OBX Trust, Series 2025-NQM16, Class A1                                           | CUSIP: 67122DAC7<br>LEI: 254900WI6P4MRT24JH23 | Long             | ABS-MBS          | CORP              | US        |   9386374 | PA      | $9352646.26   | 0.11%             | 2065-08-25      | Variable      | 4.91%                 | Yes           |                  2 | On Loan: No      |
| OBX Trust                                              | OBX Trust, Series 2025-NQM18, Class A1                                           | CUSIP: 673918AC2<br>LEI: 254900JLM1WC0WGYCA96 | Long             | ABS-MBS          | CORP              | US        |   6726105 | PA      | $6716841.57   | 0.08%             | 2065-09-25      | Variable      | 5.06%                 | Yes           |                  2 | On Loan: No      |
| OBX Trust                                              | OBX Trust, Series 2025-NQM14, Class A1                                           | CUSIP: 673924AC0<br>LEI: 254900T4WKE0IYMYAI09 | Long             | ABS-MBS          | CORP              | US        |   6601686 | PA      | $6606804.80   | 0.08%             | 2065-07-25      | Variable      | 5.16%                 | Yes           |                  2 | On Loan: No      |
| OBX Trust                                              | OBX Trust, Series 2024-NQM15, Class A1                                           | CUSIP: 67449DAA7<br>LEI: 254900YXEB756F6RCA13 | Long             | ABS-MBS          | CORP              | US        |   6779695 | PA      | $6794032.26   | 0.08%             | 2064-10-25      | Variable      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Oklahoma Development Finance Authority                 | Oklahoma Development Finance Authority                                           | CUSIP: 67884XCP0<br>LEI: 549300PXGPHUWC32DJ91 | Long             | DBT              | MUN               | US        |   9717000 | PA      | $9655940.32   | 0.12%             | 2028-08-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| 1011778 BC ULC                                         | 1011778 BC ULC                                                                   | CUSIP: 68245XAR0<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |  18567000 | PA      | $18894507.40  | 0.23%             | 2029-06-15      | Fixed         | 6.12%                 | Yes           |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                       | OneMain Financial Issuance Trust, Series 2022-3A, Class A                        | CUSIP: 68269PAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1038619 | PA      | $1039678.13   | 0.01%             | 2034-05-15      | Fixed         | 5.94%                 | Yes           |                  2 | On Loan: No      |
| Oracle Corp.                                           | Oracle Corp.                                                                     | CUSIP: 68389XDM4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |  11041000 | PA      | $10287742.57  | 0.12%             | 2035-09-26      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                           | Oracle Corp.                                                                     | CUSIP: 68389XDR3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   8149000 | PA      | $6825834.97   | 0.08%             | 2055-09-26      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                           | Oracle Corp.                                                                     | CUSIP: 68389XDZ5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |  11378000 | PA      | $10926842.84  | 0.13%             | 2036-02-04      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Ownit Mortgage Loan Trust                              | Ownit Mortgage Loan Trust, Series 2006-1, Class AF2                              | CUSIP: 69121PCH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    397832 | PA      | $217332.31    | 0.00%             | 2035-10-25      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| PFP Ltd.                                               | PFP Ltd., Series 2024-11, Class A                                                | CUSIP: 69291WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |  14026155 | PA      | $14036899.13  | 0.17%             | 2039-09-17      | Floating      | 5.49%                 | Yes           |                  2 | On Loan: No      |
| PLYM Commercial Mortgage Trust                         | PLYM Commercial Mortgage Trust, Series 2026-IND, Class B                         | CUSIP: 69292BAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7436000 | PA      | $7417454.62   | 0.09%             | 2043-03-15      | Floating      | 5.10%                 | Yes           |                  2 | On Loan: No      |
| PFP Ltd.                                               | PFP Ltd., Series 2025-12, Class B                                                | CUSIP: 69382JAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5911000 | PA      | $5911325.11   | 0.07%             | 2042-12-18      | Floating      | 5.70%                 | Yes           |                  2 | On Loan: No      |
| PMT Loan Trust                                         | PMT Loan Trust, Series 2026-INV4, Class A36                                      | CUSIP: 69383UBK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8860422 | PA      | $8860128.72   | 0.11%             | 2057-03-25      | Floating      | 5.11%                 | Yes           |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                           | Pacific Gas and Electric Co.                                                     | CUSIP: 694308JH1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |  34169000 | PA      | $25561681.63  | 0.31%             | 2040-08-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                           | Pacific Gas and Electric Co.                                                     | CUSIP: 694308JW8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |  11170000 | PA      | $10801395.36  | 0.13%             | 2028-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd.                        | Palmer Square Loan Funding Ltd., Series 2025-2A, Class B                         | CUSIP: 69704AAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  11000000 | PA      | $10990562.00  | 0.13%             | 2033-07-15      | Floating      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd.                        | Palmer Square Loan Funding Ltd., Series 2025-1A, Class B                         | CUSIP: 69704CAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  17000000 | PA      | $16881391.00  | 0.20%             | 2033-02-15      | Floating      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                   | JPMorgan Chase & Co.                                                             | CUSIP: 46647PAM8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  18395000 | PA      | $18123564.67  | 0.22%             | 2029-01-23      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| Penske Automotive Group, Inc.                          | Penske Automotive Group, Inc.                                                    | CUSIP: 70959WAK9<br>LEI: 549300W7UTQ0M4C7LB15 | Long             | DBT              | CORP              | US        |  34558000 | PA      | $33128688.03  | 0.40%             | 2029-06-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Performance Food Group, Inc.                           | Performance Food Group, Inc.                                                     | CUSIP: 71376LAF7<br>LEI: 549300OMUOGBYK0FFO76 | Long             | DBT              | CORP              | US        |  19280000 | PA      | $19543557.60  | 0.24%             | 2032-09-15      | Fixed         | 6.12%                 | Yes           |                  2 | On Loan: No      |
| School District of Philadelphia (The)                  | School District of Philadelphia (The)                                            | CUSIP: 717883NM0<br>LEI: 254900HSKDHZKBZCUL90 | Long             | DBT              | MUN               | US        |   6320000 | PA      | $6549500.69   | 0.08%             | 2030-06-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Philip Morris International, Inc.                      | Philip Morris International, Inc.                                                | CUSIP: 718172CV9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   9958000 | PA      | $10073097.45  | 0.12%             | 2027-11-17      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Philip Morris International, Inc.                      | Philip Morris International, Inc.                                                | CUSIP: 718172CW7<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   4291000 | PA      | $4449917.96   | 0.05%             | 2029-11-17      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Philip Morris International, Inc.                      | Philip Morris International, Inc.                                                | CUSIP: 718172DA4<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |  17478000 | PA      | $17850185.80  | 0.22%             | 2030-02-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Plains All American Pipeline LP                        | Plains All American Pipeline LP                                                  | CUSIP: 72650RBM3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  33187000 | PA      | $32131839.91  | 0.39%             | 2029-12-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| PMT Loan Trust                                         | PMT Loan Trust, Series 2025-CNF2, Class A26                                      | CUSIP: 729911BE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14173658 | PA      | $14227004.81  | 0.17%             | 2057-01-25      | Floating      | 5.05%                 | Yes           |                  2 | On Loan: No      |
| Post Holdings, Inc.                                    | Post Holdings, Inc.                                                              | CUSIP: 737446AQ7<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |  10755000 | PA      | $10448850.32  | 0.13%             | 2030-04-15      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Post Holdings, Inc.                                    | Post Holdings, Inc.                                                              | CUSIP: 737446AR5<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |   4815000 | PA      | $4526766.40   | 0.05%             | 2031-09-15      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Preferred Term Securities XIX Ltd.                     | Preferred Term Securities XIX Ltd.                                               | CUSIP: 74042HAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |   1400383 | PA      | $1379377.34   | 0.02%             | 2035-12-22      | Floating      | 4.29%                 | Yes           |                  2 | On Loan: No      |
| Quikrete Holdings, Inc.                                | Quikrete Holdings, Inc.                                                          | CUSIP: 74843PAA8<br>LEI: 5493007KIN86DIZWZT22 | Long             | DBT              | CORP              | US        |  28731000 | PA      | $29184318.58  | 0.35%             | 2032-03-01      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| Rate Mortgage Trust                                    | Rate Mortgage Trust, Series 2025-J3, Class A27                                   | CUSIP: 75410EBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  19471547 | PA      | $19589162.67  | 0.24%             | 2055-11-25      | Floating      | 5.20%                 | Yes           |                  2 | On Loan: No      |
| Regal Rexnord Corp.                                    | Regal Rexnord Corp.                                                              | CUSIP: 758750AM5<br>LEI: QH78R09VCJGQKPBPYU33 | Long             | DBT              | CORP              | US        |   6853000 | PA      | $7024861.59   | 0.09%             | 2028-04-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Regal Rexnord Corp.                                    | Regal Rexnord Corp.                                                              | CUSIP: 758750AN3<br>LEI: QH78R09VCJGQKPBPYU33 | Long             | DBT              | CORP              | US        |  24925000 | PA      | $26081498.81  | 0.32%             | 2030-02-15      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| Regal Rexnord Corp.                                    | Regal Rexnord Corp.                                                              | CUSIP: 758750AP8<br>LEI: QH78R09VCJGQKPBPYU33 | Long             | DBT              | CORP              | US        |  16170000 | PA      | $17193964.93  | 0.21%             | 2033-04-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| Home Equity Loan Trust                                 | Home Equity Loan Trust, Series 2005-HS2, Class AI3                               | CUSIP: 76110VSS8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    137728 | PA      | $1740.56      | 0.00%             | 2035-12-25      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd.                                | Rockford Tower CLO Ltd., Series 2020-1A, Class BRR                               | CUSIP: 77341EBE4<br>LEI: 5493009YDNBJVFWX7747 | Long             | ABS-CBDO         | CORP              | KY        |  16776809 | PA      | $16776523.79  | 0.20%             | 2036-01-20      | Floating      | 5.23%                 | Yes           |                  2 | On Loan: No      |
| Rogers Communications, Inc.                            | Rogers Communications, Inc.                                                      | CUSIP: 775109CJ8<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |  27147000 | PA      | $22923086.15  | 0.28%             | 2042-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Rogers Communications, Inc.                            | Rogers Communications, Inc.                                                      | CUSIP: 775109CK5<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |  27147000 | PA      | $21402428.49  | 0.26%             | 2052-03-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| SBA Communications Corp.                               | SBA Communications Corp.                                                         | CUSIP: 78410GAG9<br>LEI: 5299001HX8ZN8Y8QIT49 | Long             | DBT              | CORP              | US        |  17490000 | PA      | $16836783.48  | 0.20%             | 2029-02-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| SS&C Technologies, Inc.                                | SS&C Technologies, Inc.                                                          | CUSIP: 78466CAC0<br>LEI: 549300KY09TR3J12JU49 | Long             | DBT              | CORP              | US        |  24371000 | PA      | $24349626.63  | 0.29%             | 2027-09-30      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| STWD Ltd.                                              | STWD Ltd., Series 2022-FL3, Class B                                              | CUSIP: 78485KAG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6082500 | PA      | $6075014.88   | 0.07%             | 2038-11-15      | Floating      | 5.59%                 | Yes           |                  2 | On Loan: No      |
| STWD Ltd.                                              | STWD Ltd., Series 2022-FL3, Class C                                              | CUSIP: 78485KAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  11508500 | PA      | $11431876.41  | 0.14%             | 2038-11-15      | Floating      | 5.84%                 | Yes           |                  2 | On Loan: No      |
| STWD Ltd.                                              | STWD Ltd., Series 2021-FL2, Class C                                              | CUSIP: 78486BAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  11255500 | PA      | $11234833.78  | 0.14%             | 2038-04-18      | Floating      | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Salesforce, Inc.                                       | Salesforce, Inc.                                                                 | CUSIP: 79466LAT1<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |  16838000 | PA      | $16807893.82  | 0.20%             | 2033-03-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Salesforce, Inc.                                       | Salesforce, Inc.                                                                 | CUSIP: 79466LAU8<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |  16098000 | PA      | $16053532.17  | 0.19%             | 2036-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Salesforce, Inc.                                       | Salesforce, Inc.                                                                 | CUSIP: 79466LAV6<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |   8419000 | PA      | $8414715.57   | 0.10%             | 2046-03-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| Sammons Financial Group, Inc.                          | Sammons Financial Group, Inc.                                                    | CUSIP: 79588TAF7<br>LEI: 254900SHCOQLVJ21CT59 | Long             | DBT              | CORP              | US        |  26615000 | PA      | $28184388.34  | 0.34%             | 2034-04-15      | Fixed         | 6.88%                 | Yes           |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                 | Santander Drive Auto Receivables Trust, Series 2025-1, Class A3                  | CUSIP: 80288DAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8976676 | PA      | $8991864.01   | 0.11%             | 2029-01-16      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                 | Santander Drive Auto Receivables Trust, Series 2026-1, Class A2                  | CUSIP: 80288FAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13945000 | PA      | $13939060.82  | 0.17%             | 2029-03-15      | Fixed         | 4.04%                 | No            |                  2 | On Loan: No      |
| Santos Finance Ltd.                                    | Santos Finance Ltd.                                                              | CUSIP: 803014AB5<br>LEI: 213800BKUBSWG53XNS94 | Long             | DBT              | CORP              | AU        |  19092000 | PA      | $20820456.04  | 0.25%             | 2033-09-19      | Fixed         | 6.88%                 | Yes           |                  2 | On Loan: No      |
| Santos Finance Ltd.                                    | Santos Finance Ltd.                                                              | CUSIP: 803014AC3<br>LEI: 213800BKUBSWG53XNS94 | Long             | DBT              | CORP              | AU        |   5930000 | PA      | $5999738.34   | 0.07%             | 2035-11-13      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Charles Schwab Corp. (The)                             | Charles Schwab Corp. (The), Series K                                             | CUSIP: 808513CB9<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |  26796000 | PA      | $26629602.20  | 0.32%             | 2027-06-01      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Charles Schwab Corp. (The)                             | Charles Schwab Corp. (The)                                                       | CUSIP: 808513CE3<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |   1452000 | PA      | $1523939.06   | 0.02%             | 2034-05-19      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| Charles Schwab Corp. (The)                             | Charles Schwab Corp. (The)                                                       | CUSIP: 808513CH6<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |  22528000 | PA      | $24046389.00  | 0.29%             | 2034-08-24      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| Charles Schwab Corp. (The)                             | Charles Schwab Corp. (The), Series L                                             | CUSIP: 808513CM5<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |  11696000 | PA      | $11701186.12  | 0.14%             | 2031-06-01      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO 1 Ltd.                                 | Signal Peak CLO 1 Ltd., Series 2014-1A, Class CR4                                | CUSIP: 82666TAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  18500000 | PA      | $18491915.50  | 0.22%             | 2034-04-17      | Floating      | 5.63%                 | Yes           |                  2 | On Loan: No      |
| United States Small Business Administration            | United States Small Business Administration, Series 2010-20K, Class 1            | CUSIP: 83162CTR4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    299375 | PA      | $291969.75    | 0.00%             | 2030-11-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| United States Small Business Administration            | United States Small Business Administration, Series 2011-20I, Class 1            | CUSIP: 83162CUG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    538653 | PA      | $511966.04    | 0.01%             | 2031-09-01      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| United States Small Business Administration            | United States Small Business Administration, Series 2012-20H, Class 1            | CUSIP: 83162CUY7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    371454 | PA      | $350904.75    | 0.00%             | 2032-08-01      | Fixed         | 2.37%                 | No            |                  2 | On Loan: No      |
| United States Small Business Administration            | United States Small Business Administration, Series 2013-20A, Class 1            | CUSIP: 83162CVG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    718506 | PA      | $674365.54    | 0.01%             | 2033-01-01      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| United States Small Business Administration            | United States Small Business Administration, Series 2013-20B, Class 1            | CUSIP: 83162CVH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    173483 | PA      | $162443.46    | 0.00%             | 2033-02-01      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| United States Small Business Administration            | United States Small Business Administration, Series 2013-20C, Class 1            | CUSIP: 83162CVK6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    601426 | PA      | $561455.51    | 0.01%             | 2033-03-01      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| United States Small Business Administration            | United States Small Business Administration, Series 2013-20D, Class 1            | CUSIP: 83162CVL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1194280 | PA      | $1113026.73   | 0.01%             | 2033-04-01      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| United States Small Business Administration            | United States Small Business Administration, Series 2013-20F, Class 1            | CUSIP: 83162CVP5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1347544 | PA      | $1273927.87   | 0.02%             | 2033-06-01      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| United States Small Business Administration            | United States Small Business Administration, Series 2013-20G, Class 1            | CUSIP: 83162CVR1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1574532 | PA      | $1509397.43   | 0.02%             | 2033-07-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| United States Small Business Administration            | United States Small Business Administration, Series 2013-20H, Class 1            | CUSIP: 83162CVS9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1654098 | PA      | $1584306.99   | 0.02%             | 2033-08-01      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| United States Small Business Administration            | United States Small Business Administration, Series 2013-20I, Class 1            | CUSIP: 83162CVU4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    711331 | PA      | $693403.94    | 0.01%             | 2033-09-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Stellantis Finance US, Inc.                            | Stellantis Finance US, Inc.                                                      | CUSIP: 85855CAB6<br>LEI: 549300QZ0AI8Q7LNON33 | Long             | DBT              | CORP              | US        |  14723000 | PA      | $12596687.56  | 0.15%             | 2031-09-15      | Fixed         | 2.69%                 | Yes           |                  2 | On Loan: No      |
| Stellantis Financial Underwritten Enhanced Lease Trust | Stellantis Financial Underwritten Enhanced Lease Trust, Series 2025-AA, Class A2 | CUSIP: 858928AB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10068454 | PA      | $10084784.22  | 0.12%             | 2027-07-20      | Fixed         | 4.63%                 | Yes           |                  2 | On Loan: No      |
| Store Master Funding I-VII XIV XIX XX XXIV XXII        | Store Master Funding I-VII XIV XIX XX XXIV XXII, Series 2024-1A, Class A1        | CUSIP: 86212XAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2190600 | PA      | $2205655.49   | 0.03%             | 2054-05-20      | Fixed         | 5.69%                 | Yes           |                  2 | On Loan: No      |
| Store Master Funding I-VII XIV XIX XX XXIV XXII        | Store Master Funding I-VII XIV XIX XX XXIV XXII, Series 2024-1A, Class A2        | CUSIP: 86212XAM2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4575737 | PA      | $4637754.68   | 0.06%             | 2054-05-20      | Fixed         | 5.70%                 | Yes           |                  2 | On Loan: No      |
| STWD LLC                                               | STWD LLC, Series 2025-FL4, Class AS                                              | CUSIP: 863922AC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  17599555 | PA      | $17621586.12  | 0.21%             | 2042-11-19      | Floating      | 5.36%                 | Yes           |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.                  | Sumitomo Mitsui Financial Group, Inc.                                            | CUSIP: 86562MCB4<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |  38002000 | PA      | $34338242.76  | 0.42%             | 2030-07-08      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                     | T-Mobile USA, Inc.                                                               | CUSIP: 87264AAX3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   2343000 | PA      | $2048897.76   | 0.02%             | 2040-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                     | T-Mobile USA, Inc.                                                               | CUSIP: 87264ACB9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |  28722000 | PA      | $26116100.04  | 0.32%             | 2031-02-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| TRTX Issuer Ltd.                                       | TRTX Issuer Ltd., Series 2025-FL7, Class AS                                      | CUSIP: 87277LAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  13315989 | PA      | $13342883.30  | 0.16%             | 2043-06-18      | Floating      | 5.36%                 | Yes           |                  2 | On Loan: No      |
| Targa Resources Corp.                                  | Targa Resources Corp.                                                            | CUSIP: 87612GAA9<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |   4099000 | PA      | $3893902.68   | 0.05%             | 2033-02-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Targa Resources Corp.                                  | Targa Resources Corp.                                                            | CUSIP: 87612GAB7<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |   8758000 | PA      | $7367920.34   | 0.09%             | 2052-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Targa Resources Corp.                                  | Targa Resources Corp.                                                            | CUSIP: 87612GAC5<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |  24189000 | PA      | $25587258.69  | 0.31%             | 2033-03-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable Enterprises LLC                      | Time Warner Cable Enterprises LLC                                                | CUSIP: 88731EAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4688000 | PA      | $5309067.41   | 0.06%             | 2033-07-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                  | Time Warner Cable LLC                                                            | CUSIP: 88732JBD9<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |   9503000 | PA      | $7137571.30   | 0.09%             | 2042-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Toledo Hospital (The)                                  | Toledo Hospital (The), Series B                                                  | CUSIP: 889184AC1<br>LEI: 5493009DCR7NWV6K4T34 | Long             | DBT              | CORP              | US        |  23983000 | PA      | $24142109.22  | 0.29%             | 2028-11-15      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| Toledo Hospital (The)                                  | Toledo Hospital (The)                                                            | CUSIP: 889184AD9<br>LEI: 5493009DCR7NWV6K4T34 | Long             | DBT              | CORP              | US        |   9026000 | PA      | $8980078.78   | 0.11%             | 2038-11-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Toll Road Investors Partnership II LP                  | Toll Road Investors Partnership II LP                                            | CUSIP: 88948ABE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  15190000 | PA      | $12591302.55  | 0.15%             | 2029-02-15      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Toll Road Investors Partnership II LP                  | Toll Road Investors Partnership II LP                                            | CUSIP: 88948ABG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5237000 | PA      | $3768947.72   | 0.05%             | 2031-02-15      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Toll Road Investors Partnership II LP                  | Toll Road Investors Partnership II LP                                            | CUSIP: 88948ABM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   8302680 | PA      | $2988964.88   | 0.04%             | 2043-02-15      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| TransDigm, Inc.                                        | TransDigm, Inc.                                                                  | CUSIP: 893647BP1<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |  33133000 | PA      | $32694620.59  | 0.40%             | 2029-01-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                  | Bank of America Corp., Series FF                                                 | CUSIP: 060505FL3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  13771000 | PA      | $13817366.96  | 0.17%             | 2028-03-15      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                           | UBS Group AG                                                                     | CUSIP: 902613AD0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |  30010000 | PA      | $27512252.70  | 0.33%             | 2031-02-10      | Variable      | 4.38%                 | Yes           |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                          | UBS Commercial Mortgage Trust, Series 2018-C8, Class A4                          | CUSIP: 90276VAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18388578 | PA      | $18111469.48  | 0.22%             | 2051-02-15      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                          | UBS Commercial Mortgage Trust, Series 2017-C7, Class A4                          | CUSIP: 90276WAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  33000000 | PA      | $32550721.50  | 0.39%             | 2050-12-15      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                           | UBS Group AG                                                                     | CUSIP: 90352JAC7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |  10491000 | PA      | $10465541.18  | 0.13%             | 2028-03-23      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                              | CUSIP: 912810RB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  58777000 | PA      | $44769247.14  | 0.54%             | 2043-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                              | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  29323000 | PA      | $20365739.84  | 0.25%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                              | CUSIP: 912810RT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  36800000 | PA      | $23754687.41  | 0.29%             | 2046-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                              | CUSIP: 912810RU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  27653000 | PA      | $20017099.41  | 0.24%             | 2046-11-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                              | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  19900000 | PA      | $14516117.09  | 0.18%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                              | CUSIP: 912810SQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  27300000 | PA      | $16911070.18  | 0.20%             | 2040-08-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                              | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 132800000 | PA      | $68443874.34  | 0.83%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                              | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  74100000 | PA      | $47395055.06  | 0.57%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                              | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  67500000 | PA      | $44805761.55  | 0.54%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                              | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  61700000 | PA      | $44660195.00  | 0.54%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                              | CUSIP: 912810TU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 101800000 | PA      | $95270484.88  | 1.15%             | 2043-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                              | CUSIP: 912810TV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30800000 | PA      | $29575218.90  | 0.36%             | 2053-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                              | CUSIP: 912810TW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 177950000 | PA      | $174238073.33 | 2.11%             | 2043-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                              | CUSIP: 912810TX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 183300000 | PA      | $162120256.90 | 1.96%             | 2054-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                              | CUSIP: 912810TZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  90700000 | PA      | $85945335.48  | 1.04%             | 2044-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                              | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 100050000 | PA      | $92292217.05  | 1.12%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                              | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  44500000 | PA      | $43950703.13  | 0.53%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                              | CUSIP: 91282CHQ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  64200000 | PA      | $64515984.70  | 0.78%             | 2028-07-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                              | CUSIP: 91282CJF9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  90926000 | PA      | $92996697.81  | 1.13%             | 2028-10-31      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                              | CUSIP: 91282CKA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 270100000 | PA      | $270859656.25 | 3.28%             | 2027-02-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                              | CUSIP: 91282CKP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  38000000 | PA      | $38751093.56  | 0.47%             | 2029-04-30      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                              | CUSIP: 91282CKX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 167000000 | PA      | $168585195.73 | 2.04%             | 2029-06-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                              | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  74000000 | PA      | $71808905.88  | 0.87%             | 2034-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                              | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 102500000 | PA      | $101987500.00 | 1.23%             | 2034-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                              | CUSIP: 91282CNX5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  57000000 | PA      | $56142773.58  | 0.68%             | 2030-08-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                              | CUSIP: 91282CPJ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  51500000 | PA      | $49979140.63  | 0.61%             | 2035-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                              | CUSIP: 91282CPS4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  57200000 | PA      | $56733015.77  | 0.69%             | 2027-12-31      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Venture 43 CLO Ltd.                                    | Venture 43 CLO Ltd., Series 2021-43A, Class BRR                                  | CUSIP: 92290CBD0<br>LEI: 549300OLN5VHTMLSN650 | Long             | ABS-CBDO         | CORP              | KY        |  28707969 | PA      | $28656064.99  | 0.35%             | 2034-04-15      | Floating      | 5.17%                 | Yes           |                  2 | On Loan: No      |
| Venture Global Calcasieu Pass LLC                      | Venture Global Calcasieu Pass LLC                                                | CUSIP: 92328MAE3<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |  24120000 | PA      | $24824279.88  | 0.30%             | 2030-01-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Verus Securitization Trust                             | Verus Securitization Trust, Series 2025-9, Class A1                              | CUSIP: 92490EAA1<br>LEI: 2138002AFCEWDDRL8N22 | Long             | ABS-MBS          | CORP              | US        |   4534321 | PA      | $4523411.17   | 0.05%             | 2070-10-27      | Variable      | 4.93%                 | Yes           |                  2 | On Loan: No      |
| Verus Securitization Trust                             | Verus Securitization Trust, Series 2024-1, Class A1                              | CUSIP: 92540EAA1<br>LEI: 984500A3F1D749452747 | Long             | ABS-MBS          | CORP              | US        |   4472926 | PA      | $4486044.74   | 0.05%             | 2069-01-25      | Variable      | 5.71%                 | Yes           |                  2 | On Loan: No      |
| Verus Securitization Trust                             | Verus Securitization Trust, Series 2024-8, Class A1                              | CUSIP: 92540PAA6<br>LEI: 213800RZ8QGNZ38DSP77 | Long             | ABS-MBS          | CORP              | US        |   4233124 | PA      | $4245830.73   | 0.05%             | 2069-10-25      | Variable      | 5.36%                 | Yes           |                  2 | On Loan: No      |
| Vodafone Group plc                                     | Vodafone Group plc                                                               | CUSIP: 92857WBY5<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |   6121000 | PA      | $5737468.55   | 0.07%             | 2053-02-10      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Vulcan Materials Co.                                   | Vulcan Materials Co.                                                             | CUSIP: 929160AZ2<br>LEI: 549300Q8LSNHAVWBNI21 | Long             | DBT              | CORP              | US        |   9570000 | PA      | $9189890.32   | 0.11%             | 2030-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Voya Ltd.                                              | Voya Ltd., Series 2012-4A, Class A2R3                                            | CUSIP: 92916GBF0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6026057 | PA      | $6031209.06   | 0.07%             | 2030-10-15      | Floating      | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Voya Ltd.                                              | Voya Ltd., Series 2012-4A, Class BR3                                             | CUSIP: 92916GBG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3474736 | PA      | $3489837.20   | 0.04%             | 2030-10-15      | Floating      | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Voya Ltd.                                              | Voya Ltd., Series 2012-4A, Class C1R3                                            | CUSIP: 92916GBH6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4942894 | PA      | $4972931.97   | 0.06%             | 2030-10-15      | Floating      | 7.23%                 | Yes           |                  2 | On Loan: No      |
| WMG Acquisition Corp.                                  | WMG Acquisition Corp.                                                            | CUSIP: 92933BAR5<br>LEI: 549300NAS11NXI33CP80 | Long             | DBT              | CORP              | US        |   9294000 | PA      | $8562467.40   | 0.10%             | 2031-02-15      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2016-LC25, Class A4                | CUSIP: 95000JAV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  25027917 | PA      | $24925805.60  | 0.30%             | 2059-12-15      | Fixed         | 3.64%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                      | Wells Fargo & Co.                                                                | CUSIP: 95000U2J1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  45462000 | PA      | $42175346.99  | 0.51%             | 2031-02-11      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2017-C42, Class A4                 | CUSIP: 95001GAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13470000 | PA      | $13203528.38  | 0.16%             | 2050-12-15      | Fixed         | 3.59%                 | No            |                  2 | On Loan: No      |
| Westinghouse Air Brake Technologies Corp.              | Westinghouse Air Brake Technologies Corp.                                        | CUSIP: 960386AM2<br>LEI: 06BTX5UWZD0GQ5N5Y745 | Long             | DBT              | CORP              | US        |  21336000 | PA      | $21402744.56  | 0.26%             | 2028-09-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                   | JPMorgan Chase & Co.                                                             | CUSIP: 46647PAR7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  28117000 | PA      | $27891035.48  | 0.34%             | 2029-04-23      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | U.S. Treasury 5 Year Note                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      4207 | NC      | $-7081399.09  | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                    | U.S. Treasury 2 Year Note                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      2507 | NC      | $-4350053.34  | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                    | U.S. Treasury 10 Year Ultra Note                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       825 | NC      | $-950422.02   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                    | U.S. Treasury Ultra Bond                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      1737 | NC      | $-8406715.23  | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2026-06-01

**Name of Applicant:** MFS Series Trust IX

**Signature:** James Byrne

**Name of Signer:** James Byrne

**Title:** Assistant Treasurer