# EDGAR Filing Document

**Accession Number:** 0001413032
**File Stem:** 0001410368-26-018862
**Filing Date:** 2026-2
**Character Count:** 1001470
**Document Hash:** 9a45687984330263788f448048638f07
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-018862.hdr.sgml**: 20260226

**ACCESSION NUMBER**: 0001410368-26-018862

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260226

**DATE AS OF CHANGE**: 20260226

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Columbia Funds Variable Series Trust II
- **CENTRAL INDEX KEY:** 0001413032

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22127
- **FILM NUMBER:** 26684843

**BUSINESS ADDRESS:**
- **STREET 1:** 290 CONGRESS STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210
- **BUSINESS PHONE:** 800-345-6611

**MAIL ADDRESS:**
- **STREET 1:** 290 CONGRESS STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** RiverSource Variable Series Trust
- **DATE OF NAME CHANGE:** 20070920

## Series and Classes Contracts Data

### Variable Portfolio - Partners Core Bond Fund (Series ID: S000028690)

| Class ID   | Class Name                                           | Ticker Symbol   |
|:---|:---|:---|
| C000087798 | Variable Portfolio - Partners Core Bond Fund Class 1 |  |
| C000087799 | Variable Portfolio - Partners Core Bond Fund Class 2 |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Columbia Funds Variable Series Trust II

- **b. Investment Company Act file number:** 811-22127

- **c. CIK number of Registrant:** 0001413032

- **d. LEI of Registrant:** 54930017CSZ4UCL7G406

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

  - **Street Address 1:** 290 Congress Street

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02210

  - **Telephone number:** 800-345-6611

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

- **a. Name of Series:** Variable Portfolio - Partners Core Bond Fund

- **b. EDGAR series identifier (if any):** S000028690

- **c. LEI of Series:** 549300GHOJ3FWRULCJ38

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

- **a. Date of fiscal year-end:** 2025-12-31

- **b. Date as of which information is reported:** 2025-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $3902633174.59

**Total Liabilities:** $92729910.04

**Net Assets:** $3809903264.55

**Delayed Delivery Securities:** $91516393.85

**Cash Not Reported:** $449.86

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 36350.72000000 | **1-Year:** 24768.61000000 | **5-Year:** 250079.02000000 | **10-Year:** 311033.33000000 | **30-Year:** 691852.68000000

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

- **3-Month:** 3127.49000000 | **1-Year:** 18758.55000000 | **5-Year:** 31970.68000000 | **10-Year:** 40601.38000000 | **30-Year:** 62034.52000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000087798 | 0.62%                | 0.72%                | -0.20%               |
| Class ID C000087799 | 0.52%                | 0.72%                | -0.31%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $3241938.95              | $6050018.76                                |
| Month 2  | $48694.23                | $11729590.60                               |
| Month 3  | $3582954.94              | $-24775418.22                              |

**Designated Index Information**

- **Index Name:** BBG U.S. Aggregate Index

- **Index Identifier:** LEH_AGG

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| ACCO BRANDS CORP                                         | ACCO Brands Corp                                                                | CUSIP: 00081TAK4<br>LEI: JCT8P4Y190IH4I1NX328 | Long             | DBT              | CORP              | US        |    645000 | PA      | $597727.60    | 0.02%             | 2029-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                                         | ABN AMRO Bank NV                                                                | CUSIP: 00084DAV2<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |    800000 | PA      | $731437.00    | 0.02%             | 2037-03-13      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                                         | ABN AMRO Bank NV                                                                | CUSIP: 00084DAW0<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |    500000 | PA      | $476287.45    | 0.01%             | 2029-12-13      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                                         | ABN AMRO Bank NV                                                                | CUSIP: 00084DBD1<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |    700000 | PA      | $711757.67    | 0.02%             | 2028-12-03      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| ACC TRUST ACC_21-1                                       | ACC TRUST ACC_21-1                                                              | CUSIP: 00091KAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1828558 | PA      | $320534.07    | 0.01%             | 2027-03-22      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ASSET BASED LENDING LLC ABL_25-RTL1                      | ASSET BASED LENDING LLC ABL_25-RTL1                                             | CUSIP: 00092RAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2155000 | PA      | $2172785.86   | 0.06%             | 2030-06-25      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| AEP TRANSMISSION CO LLC                                  | AEP Transmission Co LLC                                                         | CUSIP: 00115AAL3<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |    257000 | PA      | $174238.75    | 0.00%             | 2049-09-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| AEP TRANSMISSION CO LLC                                  | AEP Transmission Co LLC                                                         | CUSIP: 00115AAN9<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |    336000 | PA      | $207217.00    | 0.01%             | 2051-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| AIB GROUP PLC                                            | AIB Group PLC                                                                   | CUSIP: 00135TAD6<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |    265000 | PA      | $281391.26    | 0.01%             | 2029-09-13      | Fixed         | 6.61%                 | No            |                  2 | On Loan: No      |
| AIB GROUP PLC                                            | AIB Group PLC                                                                   | CUSIP: 00135TAF1<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |    200000 | PA      | $206427.27    | 0.01%             | 2031-05-15      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE GLOB FUNDING                                  | Corebridge Global Funding                                                       | CUSIP: 00138CBH0<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |    284000 | PA      | $285815.74    | 0.01%             | 2032-08-21      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                               | AMSR 2021-SFR1 Trust                                                            | CUSIP: 00179DAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2250000 | PA      | $2129765.40   | 0.06%             | 2038-06-17      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| AMSR TRUST AMSR_21-SFR1                                  | AMSR TRUST AMSR_21-SFR1                                                         | CUSIP: 00179DAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2250000 | PA      | $2132405.33   | 0.06%             | 2038-06-17      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| AMSR TRUST AMSR_21-SFR3                                  | AMSR TRUST AMSR_21-SFR3                                                         | CUSIP: 00180UAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3845000 | PA      | $3764378.42   | 0.10%             | 2038-10-17      | Fixed         | 2.43%                 | No            |                  2 | On Loan: No      |
| ANZ NEW ZEALAND INTL/LDN                                 | ANZ New Zealand Int'l Ltd/London                                                | CUSIP: 00182EBM0<br>LEI: 213800VD256NU2D97H12 | Long             | DBT              | CORP              | NZ        |    298000 | PA      | $279432.47    | 0.01%             | 2030-02-13      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                 | AT&T Inc                                                                        | CUSIP: 00206RJX1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    558000 | PA      | $545467.66    | 0.01%             | 2027-06-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                 | AT&T Inc                                                                        | CUSIP: 00206RJZ6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    741000 | PA      | $582156.83    | 0.02%             | 2041-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                 | AT&T Inc                                                                        | CUSIP: 00206RKJ0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   2523000 | PA      | $1690590.71   | 0.04%             | 2053-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                 | AT&T Inc                                                                        | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   2378000 | PA      | $1584600.50   | 0.04%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                 | AT&T Inc                                                                        | CUSIP: 00206RLV2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    726000 | PA      | $479743.47    | 0.01%             | 2059-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                 | AT&T Inc                                                                        | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1012000 | PA      | $696576.74    | 0.02%             | 2057-12-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                 | AT&T Inc                                                                        | CUSIP: 00206RMZ2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    510000 | PA      | $512894.75    | 0.01%             | 2056-08-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                 | AT&T Inc                                                                        | CUSIP: 00206RNC2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   3380000 | PA      | $3338578.00   | 0.09%             | 2035-11-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                 | AT&T Inc                                                                        | CUSIP: 00206RND0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1088000 | PA      | $1048002.61   | 0.03%             | 2045-11-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                 | AT&T Inc                                                                        | CUSIP: 00206RNE8<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   2088000 | PA      | $2003403.14   | 0.05%             | 2054-11-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES/AADVAN                                 | American Airlines Inc/AAdvantage Loyalty IP Ltd                                 | CUSIP: 00253XAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    239167 | PA      | $239504.16    | 0.01%             | 2026-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES/AADVAN                                 | American Airlines Inc/AAdvantage Loyalty IP Ltd                                 | CUSIP: 00253XAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |   1100000 | PA      | $1120026.56   | 0.03%             | 2029-04-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                               | AbbVie Inc                                                                      | CUSIP: 00287YBX6<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   2885000 | PA      | $2798303.62   | 0.07%             | 2029-11-21      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                               | AbbVie Inc                                                                      | CUSIP: 00287YCA5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   3483000 | PA      | $3109746.01   | 0.08%             | 2039-11-21      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                               | AbbVie Inc                                                                      | CUSIP: 00287YCB3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   3452000 | PA      | $2846899.11   | 0.07%             | 2049-11-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                               | AbbVie Inc                                                                      | CUSIP: 00287YCY3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    540000 | PA      | $532295.79    | 0.01%             | 2035-03-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                               | AbbVie Inc                                                                      | CUSIP: 00287YDR7<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   1957000 | PA      | $1977825.86   | 0.05%             | 2027-03-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                               | AbbVie Inc                                                                      | CUSIP: 00287YDT3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   1174000 | PA      | $1214648.42   | 0.03%             | 2031-03-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                               | AbbVie Inc                                                                      | CUSIP: 00287YDU0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   1809000 | PA      | $1858744.87   | 0.05%             | 2034-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                               | AbbVie Inc                                                                      | CUSIP: 00287YDZ9<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   1574000 | PA      | $1621366.13   | 0.04%             | 2030-03-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                               | AbbVie Inc                                                                      | CUSIP: 00287YEA3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    942000 | PA      | $974349.06    | 0.03%             | 2035-03-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Academic Loan Funding Trust                              | Academic Loan Funding Trust 2013-1                                              | CUSIP: 00389VAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    315011 | PA      | $306655.48    | 0.01%             | 2044-12-26      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| ACUSHNET CO                                              | Acushnet Co                                                                     | CUSIP: 005095AB0<br>LEI: 549300H805O14KEFES79 | Long             | DBT              | CORP              | US        |     30000 | PA      | $30394.51     | 0.00%             | 2033-12-01      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| ADAPTHEALTH LLC                                          | AdaptHealth LLC                                                                 | CUSIP: 00653VAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    210000 | PA      | $203770.03    | 0.01%             | 2029-08-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| ADIENT GLOBAL HOLDINGS                                   | Adient Global Holdings Ltd                                                      | CUSIP: 00687YAB1<br>LEI: 213800VA38VCKE6M8790 | Long             | DBT              | CORP              | JE        |    500000 | PA      | $513869.11    | 0.01%             | 2028-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| AECOM                                                    | AECOM                                                                           | CUSIP: 00766TAE0<br>LEI: 0EEB8GF0W0NPCIHZX097 | Long             | DBT              | CORP              | US        |    250000 | PA      | $256149.90    | 0.01%             | 2033-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                 | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    150000 | PA      | $138795.16    | 0.00%             | 2032-01-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                 | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MBK0<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    410000 | PA      | $430054.23    | 0.01%             | 2055-03-10      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                 | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MBL8<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    265000 | PA      | $267670.32    | 0.01%             | 2029-09-10      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                 | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MBS3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    340000 | PA      | $336393.75    | 0.01%             | 2035-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AGREE LP                                                 | Agree LP                                                                        | CUSIP: 008513AB9<br>LEI: 549300DXY3G299V1BO77 | Long             | DBT              |  | US        |   1206000 | PA      | $1149585.55   | 0.03%             | 2028-06-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AGREE LP                                                 | Agree LP                                                                        | CUSIP: 008513AC7<br>LEI: 549300DXY3G299V1BO77 | Long             | DBT              |  | US        |    329000 | PA      | $284090.30    | 0.01%             | 2033-06-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| AGREE LP                                                 | Agree LP                                                                        | CUSIP: 008513AD5<br>LEI: 549300DXY3G299V1BO77 | Long             | DBT              |  | US        |    725000 | PA      | $730402.73    | 0.02%             | 2032-10-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| AGREE LP                                                 | Agree LP                                                                        | CUSIP: 008513AF0<br>LEI: 549300DXY3G299V1BO77 | Long             | DBT              |  | US        |   1181000 | PA      | $1236782.78   | 0.03%             | 2035-06-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2017-1AA PTT                                  | Air Canada 2017-1 Class AA Pass Through Trust                                   | CUSIP: 00908PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    167458 | PA      | $159160.25    | 0.00%             | 2030-01-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2017-1A PTT                                   | Air Canada 2017-1 Class A Pass Through Trust                                    | CUSIP: 00908PAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    233542 | PA      | $218178.79    | 0.01%             | 2030-01-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| AKER BP ASA                                              | Aker BP ASA                                                                     | CUSIP: 00973RAP8<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |    366000 | PA      | $332982.08    | 0.01%             | 2054-10-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| AKER BP ASA                                              | Aker BP ASA                                                                     | CUSIP: 00973RAQ6<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |   2760000 | PA      | $2698356.32   | 0.07%             | 2035-10-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS/SAFEWAY                                   | Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC           | CUSIP: 013092AC5<br>LEI: 549300YKWOC0AOR16R51 | Long             | DBT              | CORP              | US        |    750000 | PA      | $750011.41    | 0.02%             | 2027-01-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS/SAFEWAY                                   | Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC           | CUSIP: 01309QAD0<br>LEI: 549300YKWOC0AOR16R51 | Long             | DBT              | CORP              | US        |     85000 | PA      | $85319.20     | 0.00%             | 2034-03-31      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ALCON FINANCE CORP                                       | Alcon Finance Corp                                                              | CUSIP: 01400EAE3<br>LEI: 549300CUZUI9VU7XNK42 | Long             | DBT              | CORP              | US        |   2327000 | PA      | $2428821.12   | 0.06%             | 2032-12-06      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE E                                 | Alexandria Real Estate Equities Inc                                             | CUSIP: 015271AR0<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              |  | US        |    170000 | PA      | $158875.01    | 0.00%             | 2031-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE E                                 | Alexandria Real Estate Equities Inc                                             | CUSIP: 015271AU3<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              |  | US        |    199000 | PA      | $201684.56    | 0.01%             | 2030-12-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE E                                 | Alexandria Real Estate Equities Inc                                             | CUSIP: 015271AV1<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              |  | US        |    102000 | PA      | $83498.84     | 0.00%             | 2033-02-01      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| ATI INC                                                  | ATI Inc                                                                         | CUSIP: 01741RAH5<br>LEI: ZW1LRE7C3H17O2ZN9B45 | Long             | DBT              | CORP              | US        |    480000 | PA      | $480855.96    | 0.01%             | 2027-12-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| ALLIANZ SE                                               | Allianz SE                                                                      | CUSIP: 018820AD2<br>LEI: 529900K9B0N5BT694847 | Long             | DBT              | CORP              | DE        |    800000 | PA      | $819149.55    | 0.02%             | 2054-09-03      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| ATLAS LUXCO 4 / ALL UNI                                  | Allied Universal Holdco LLC/Allied Universal Finance Corp/Atlas Luxco 4 Sarl    | CUSIP: 019579AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    235000 | PA      | $231752.63    | 0.01%             | 2028-06-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| ALLISON TRANSMISSION INC                                 | Allison Transmission Inc                                                        | CUSIP: 019736AF4<br>LEI: MWKQ3I0U1GXP2YDSZW75 | Long             | DBT              | CORP              | US        |    515000 | PA      | $523110.06    | 0.01%             | 2029-06-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7700000 | PA      | $7678343.75   | 0.20%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F052615<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  67700000 | PA      | $68646621.34  | 1.80%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ally Auto Receivables Trust                              | Ally Auto Receivables Trust 2022-3                                              | CUSIP: 02008DAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1013000 | PA      | $1017047.24   | 0.03%             | 2028-10-16      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                             | Alphabet Inc                                                                    | CUSIP: 02079KAM9<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |   1114000 | PA      | $1067636.55   | 0.03%             | 2055-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                             | Alphabet Inc                                                                    | CUSIP: 02079KAN7<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |   1114000 | PA      | $1048172.55   | 0.03%             | 2065-05-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                             | Alphabet Inc                                                                    | CUSIP: 02079KAX5<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |   1006000 | PA      | $1009143.45   | 0.03%             | 2032-11-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                             | Alphabet Inc                                                                    | CUSIP: 02079KAY3<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |   2346000 | PA      | $2347493.29   | 0.06%             | 2035-11-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                             | Alphabet Inc                                                                    | CUSIP: 02079KBA4<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    871000 | PA      | $855153.19    | 0.02%             | 2055-11-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                         | Altria Group Inc                                                                | CUSIP: 02209SAV5<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    639000 | PA      | $480621.56    | 0.01%             | 2046-09-16      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| ALUMINA PTY LTD                                          | Alumina Pty Ltd                                                                 | CUSIP: 02220AAB3<br>LEI: 2138002VD9MW2WT8HR38 | Long             | DBT              | CORP              | AU        |    200000 | PA      | $207564.90    | 0.01%             | 2032-09-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                           | Amazon.com Inc                                                                  | CUSIP: 023135CS3<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   1575000 | PA      | $1579739.13   | 0.04%             | 2028-11-20      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                           | Amazon.com Inc                                                                  | CUSIP: 023135CT1<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   1575000 | PA      | $1576653.86   | 0.04%             | 2030-11-20      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                           | Amazon.com Inc                                                                  | CUSIP: 023135CU8<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   1969000 | PA      | $1963079.71   | 0.05%             | 2033-03-20      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                           | Amazon.com Inc                                                                  | CUSIP: 023135CV6<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   2704000 | PA      | $2692705.71   | 0.07%             | 2035-11-20      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                           | Amazon.com Inc                                                                  | CUSIP: 023135CW4<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   1142000 | PA      | $1116030.37   | 0.03%             | 2055-11-20      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                           | Amazon.com Inc                                                                  | CUSIP: 023135CY0<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   1142000 | PA      | $1107945.15   | 0.03%             | 2065-11-20      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| AMCOR FLEXIBLES NORTH AM                                 | Amcor Flexibles North America Inc                                               | CUSIP: 02344AAG3<br>LEI: PTVU09TE3QPJPL7K4E13 | Long             | DBT              | CORP              | US        |    428000 | PA      | $439297.17    | 0.01%             | 2030-03-17      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| AMER SPORTS COMPANY                                      | Amer Sports Co                                                                  | CUSIP: 02352NAA7<br>LEI: 549300NRKH9WF70VFC95 | Long             | DBT              | CORP              | US        |    395000 | PA      | $414396.64    | 0.01%             | 2031-02-16      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| AMEREN ILLINOIS CO                                       | Ameren Illinois Co                                                              | CUSIP: 02361DBB5<br>LEI: RC71E2BZ6UOMFPDJSE79 | Long             | DBT              | CORP              | US        |    369000 | PA      | $363046.74    | 0.01%             | 2054-07-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 16-3 AA PTT                                 | American Airlines 2016-3 Class AA Pass Through Trust                            | CUSIP: 023771R91<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    722262 | PA      | $699615.37    | 0.02%             | 2028-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                      | American Express Co                                                             | CUSIP: 025816DZ9<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   1399000 | PA      | $1452656.13   | 0.04%             | 2036-01-30      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                      | American Express Co                                                             | CUSIP: 025816EF2<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    949000 | PA      | $977565.32    | 0.03%             | 2031-04-25      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                      | American Express Co                                                             | CUSIP: 025816EH8<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    280000 | PA      | $295839.21    | 0.01%             | 2036-04-25      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                      | American Express Co                                                             | CUSIP: 025816EK1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   2626000 | PA      | $2672543.19   | 0.07%             | 2033-07-20      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| American Express Credit Account Master Trust             | American Express Credit Account Master Trust                                    | CUSIP: 02582JKP4<br>LEI: 549300Y4SA5G3GIJTP18 | Long             | ABS-O            | CORP              | US        |   1645000 | PA      | $1663868.15   | 0.04%             | 2030-04-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| American Express Credit Account Master Trust             | American Express Credit Account Master Trust                                    | CUSIP: 02582JKV1<br>LEI: 549300Y4SA5G3GIJTP18 | Long             | ABS-O            | CORP              | US        |   3083000 | PA      | $3123997.73   | 0.08%             | 2030-07-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| American Express Credit Account Master Trust             | American Express Credit Account Master Trust                                    | CUSIP: 02589BAC4<br>LEI: 549300Y4SA5G3GIJTP18 | Long             | ABS-O            | CORP              | US        |   2188000 | PA      | $2261329.94   | 0.06%             | 2030-09-16      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT                                    | American Homes 4 Rent LP                                                        | CUSIP: 02666TAE7<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              |  | US        |   1331000 | PA      | $1258239.16   | 0.03%             | 2032-04-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT                                    | American Homes 4 Rent LP                                                        | CUSIP: 02666TAF4<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              |  | US        |    597000 | PA      | $474571.04    | 0.01%             | 2052-04-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT                                    | American Homes 4 Rent LP                                                        | CUSIP: 02666TAH0<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              |  | US        |    542000 | PA      | $560080.33    | 0.01%             | 2034-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT                                    | American Homes 4 Rent LP                                                        | CUSIP: 02666TAK3<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              |  | US        |   1017000 | PA      | $1037567.93   | 0.03%             | 2030-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| AMERICAN TRANSMISSION SY                                 | American Transmission Systems Inc                                               | CUSIP: 030288AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    481000 | PA      | $432759.78    | 0.01%             | 2032-01-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| AMERICAN WATER CAPITAL C                                 | American Water Capital Corp                                                     | CUSIP: 03040WAP0<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |    251000 | PA      | $202059.63    | 0.01%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust                 | AmeriCredit Automobile Receivables Trust 2023-2                                 | CUSIP: 03065UAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1293453 | PA      | $1303481.17   | 0.03%             | 2028-05-18      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust                 | Americredit Automobile Receivables Trust 2023-1                                 | CUSIP: 03067BAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    276232 | PA      | $276958.08    | 0.01%             | 2027-11-18      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                | Amgen Inc                                                                       | CUSIP: 031162CF5<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    439000 | PA      | $376214.81    | 0.01%             | 2051-06-15      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                | Amgen Inc                                                                       | CUSIP: 031162DK3<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   1848000 | PA      | $1626160.95   | 0.04%             | 2053-03-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                | Amgen Inc                                                                       | CUSIP: 031162DS6<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   1129000 | PA      | $1135269.15   | 0.03%             | 2043-03-02      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                | Amgen Inc                                                                       | CUSIP: 031162DT4<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    356000 | PA      | $349196.85    | 0.01%             | 2053-03-02      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| AMKOR TECHNOLOGY INC                                     | Amkor Technology Inc                                                            | CUSIP: 031652BL3<br>LEI: 529900VHLRTKPWZJBM84 | Long             | DBT              | CORP              | US        |    145000 | PA      | $148346.19    | 0.00%             | 2033-10-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| AMS-OSRAM AG                                             | ams-OSRAM AG                                                                    | CUSIP: 03217CAB2<br>LEI: 5299001JPPT2QFTV5D76 | Long             | DBT              | CORP              | AT        |    385000 | PA      | $410173.97    | 0.01%             | 2029-03-30      | Fixed         | 12.25%                | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                 | Angel Oak Mortgage Trust 2021-6                                                 | CUSIP: 03465JAA8<br>LEI: 2549003MM0537Y3QHI22 | Long             | ABS-MBS          | CORP              | US        |   1116940 | PA      | $957430.26    | 0.03%             | 2066-09-25      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH CO/INBEV                                  | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc                     | CUSIP: 03522AAH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5280000 | PA      | $5228815.59   | 0.14%             | 2036-02-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                                 | Anheuser-Busch InBev Worldwide Inc                                              | CUSIP: 03523TBU1<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    790000 | PA      | $817321.03    | 0.02%             | 2039-01-23      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| ANTERO MIDSTREAM PART/FI                                 | Antero Midstream Partners LP / Antero Midstream Finance Corp                    | CUSIP: 03690AAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    730000 | PA      | $730368.32    | 0.02%             | 2029-06-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                | Apple Inc                                                                       | CUSIP: 037833DW7<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |   1086000 | PA      | $679877.63    | 0.02%             | 2050-05-11      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                | Apple Inc                                                                       | CUSIP: 037833EE6<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    563000 | PA      | $405728.76    | 0.01%             | 2041-02-08      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                | Apple Inc                                                                       | CUSIP: 037833EL0<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |   1643000 | PA      | $971140.84    | 0.03%             | 2061-08-05      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                | Apple Inc                                                                       | CUSIP: 037833EQ9<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |   1480000 | PA      | $1174614.56   | 0.03%             | 2052-08-08      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                | Apple Inc                                                                       | CUSIP: 037833EY2<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |   1183000 | PA      | $1191759.67   | 0.03%             | 2028-05-12      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                | Apple Inc                                                                       | CUSIP: 037833EZ9<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |   2033000 | PA      | $2055339.61   | 0.05%             | 2030-05-12      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| ARAB REPUBLIC OF EGYPT                                   | Egypt Government International Bond                                             | CUSIP: 038461AM1<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    500000 | PA      | $491032.08    | 0.01%             | 2047-01-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| ARAB REPUBLIC OF EGYPT                                   | Egypt Government International Bond                                             | CUSIP: 03846JAE0<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    400000 | PA      | $411038.41    | 0.01%             | 2033-09-30      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| ARAB REPUBLIC OF EGYPT                                   | Egypt Government International Bond                                             | CUSIP: 03846JAG5<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    200000 | PA      | $228942.21    | 0.01%             | 2033-02-04      | Fixed         | 9.45%                 | No            |                  2 | On Loan: No      |
| ARAB REPUBLIC OF EGYPT                                   | Egypt Government International Bond                                             | CUSIP: 03846JAH3<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    200000 | PA      | $222046.42    | 0.01%             | 2030-02-04      | Fixed         | 8.63%                 | No            |                  2 | On Loan: No      |
| ARAB REPUBLIC OF EGYPT                                   | Egypt Government International Bond                                             | CUSIP: 03846JW71<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    200000 | PA      | $212728.72    | 0.01%             | 2029-03-01      | Fixed         | 7.60%                 | No            |                  2 | On Loan: No      |
| ARBOR REALTY SR INC                                      | ARBOR REALTY SR INC                                                             | CUSIP: 03881NAG2<br>LEI: 549300TW7RTL2CI3CN08 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3107116.37   | 0.08%             | 2027-10-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| ARBOR REALTY TRUST INC                                   | Arbor Realty Trust Inc                                                          | CUSIP: 038923AX6<br>LEI: 549300ASFUWYQO0RW077 | Long             | DBT              |  | US        |   6000000 | PA      | $5958780.21   | 0.16%             | 2026-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ARDAGH GROUP SA                                          | Ardagh Group SA                                                                 | CUSIP: 03969UAA4<br>LEI: 6354006L1NWUUOPYX274 | Long             | DBT              | CORP              | LU        |    405000 | PA      | $370380.85    | 0.01%             | 2030-12-01      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| ARES MANAGEMENT CORP                                     | Ares Management Corp                                                            | CUSIP: 03990BAB7<br>LEI: 529900JUV61FH7B8VW38 | Long             | DBT              | CORP              | US        |   1178000 | PA      | $1114208.36   | 0.03%             | 2054-10-11      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| ARDAGH GROUP SA                                          | Ardagh Group SA                                                                 | CUSIP: 039959AA9<br>LEI: 6354006L1NWUUOPYX274 | Long             | DBT              | CORP              | LU        |    257000 | PA      | $278438.45    | 0.01%             | 2030-12-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| Argentina Republic Government International Bonds        | Argentina Republic Government International Bonds                               | CUSIP: 040114HT0<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |   1490000 | PA      | $1108507.58   | 0.03%             | 2035-07-09      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| ARIZONA PUBLIC SERVICE                                   | Arizona Public Service Co                                                       | CUSIP: 040555DJ0<br>LEI: YG6VT0TPHRH4TFVAQV64 | Long             | DBT              | CORP              | US        |   1344000 | PA      | $1369073.67   | 0.04%             | 2055-08-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| ASBURY AUTOMOTIVE GROUP                                  | Asbury Automotive Group Inc                                                     | CUSIP: 043436AU8<br>LEI: 549300JH4DTA7U42GL91 | Long             | DBT              | CORP              | US        |    300000 | PA      | $298946.27    | 0.01%             | 2028-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ATMOS ENERGY CORP                                        | Atmos Energy Corp                                                               | CUSIP: 049560AW5<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |    298000 | PA      | $185065.77    | 0.00%             | 2052-02-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| AutoNation Finance Trust 2025-1                          | AutoNation Finance Trust 2025-1                                                 | CUSIP: 05330QAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1578000 | PA      | $1592661.36   | 0.04%             | 2029-11-13      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| AVANTOR FUNDING INC                                      | Avantor Funding Inc                                                             | CUSIP: 05352TAA7<br>LEI: 5493003VM0XB4U8YD238 | Long             | DBT              | CORP              | US        |    345000 | PA      | $343047.81    | 0.01%             | 2028-07-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| AVIENT CORP                                              | Avient Corp                                                                     | CUSIP: 05368VAA4<br>LEI: SM8L9RZYIB34LNTWO040 | Long             | DBT              | CORP              | US        |    470000 | PA      | $483279.20    | 0.01%             | 2030-08-01      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET CAR/FINANCE                                  | Avis Budget Car Rental LLC / Avis Budget Finance Inc                            | CUSIP: 053773BC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    390000 | PA      | $389701.22    | 0.01%             | 2027-07-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                                 | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401AAU5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    932000 | PA      | $964011.11    | 0.03%             | 2029-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                                 | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401AAV3<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   2517000 | PA      | $2614268.76   | 0.07%             | 2029-11-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                                 | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401AAX9<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    396000 | PA      | $402934.23    | 0.01%             | 2030-01-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                                 | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401ABA8<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    900000 | PA      | $905648.16    | 0.02%             | 2030-10-10      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                                 | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401ABC4<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    220000 | PA      | $217872.93    | 0.01%             | 2032-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| AXALTA COAT/DUTCH HLD BV                                 | Axalta Coating Systems LLC / Axalta Coating Systems Dutch Holding B BV          | CUSIP: 05454NAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    371000 | PA      | $370605.53    | 0.01%             | 2027-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| AXON ENTERPRISE INC                                      | Axon Enterprise Inc                                                             | CUSIP: 05464CAC5<br>LEI: 549300QP2IEEGFE16681 | Long             | DBT              | CORP              | US        |    150000 | PA      | $155349.99    | 0.00%             | 2030-03-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| BARCLAYS COMMERCIAL MORTGAGE SEC                         | BARCLAYS COMMERCIAL MORTGAGE SEC                                                | CUSIP: 05491LAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8000000 | PA      | $7545014.40   | 0.20%             | 2036-08-14      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC              | BBCMS Mortgage Trust 2018-C2                                                    | CUSIP: 05491UBA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    336647 | PA      | $336876.88    | 0.01%             | 2051-12-15      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC              | BBCMS Mortgage Trust 2025-5C37                                                  | CUSIP: 05494NAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    377000 | PA      | $385441.11    | 0.01%             | 2058-09-15      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| Bank5                                                    | BANK5 2025-5YR19                                                                | CUSIP: 05494RBL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1603000 | PA      | $1655913.43   | 0.04%             | 2058-12-15      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC              | BBCMS Mortgage Trust 2022-C17                                                   | CUSIP: 054976AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    763000 | PA      | $752577.80    | 0.02%             | 2055-09-15      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                         | BAT Capital Corp                                                                | CUSIP: 054989AD0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    428000 | PA      | $485768.43    | 0.01%             | 2053-08-02      | Fixed         | 7.08%                 | No            |                  2 | On Loan: No      |
| BAE SYSTEMS PLC                                          | BAE Systems PLC                                                                 | CUSIP: 05523RAF4<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |    217000 | PA      | $192649.62    | 0.01%             | 2031-02-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                         | BAT Capital Corp                                                                | CUSIP: 05526DBD6<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   2525000 | PA      | $2323204.99   | 0.06%             | 2037-08-15      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                         | BAT Capital Corp                                                                | CUSIP: 05526DBF1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   1639000 | PA      | $1361099.47   | 0.04%             | 2047-08-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                         | BAT Capital Corp                                                                | CUSIP: 05526DCD5<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   1161000 | PA      | $1198770.10   | 0.03%             | 2055-08-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC              | BBCMS Mortgage Trust 2021-C12                                                   | CUSIP: 05552XBG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $537804.60    | 0.01%             | 2054-11-15      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC              | BBCMS Mortgage Trust 2025-5C38                                                  | CUSIP: 05556RAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2261000 | PA      | $2325965.77   | 0.06%             | 2058-11-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| BMD2_19-FRR1                                             | BMD2_19-FRR1                                                                    | CUSIP: 055631BY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6739000 | PA      | $5094247.31   | 0.13%             | 2052-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BMD2_19-FRR1                                             | BMD2_19-FRR1                                                                    | CUSIP: 055631CJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8685000 | PA      | $6736019.99   | 0.18%             | 2052-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                  | BPCE SA                                                                         | CUSIP: 05571AAQ8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    630000 | PA      | $641776.05    | 0.02%             | 2027-10-19      | Fixed         | 6.61%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                  | BPCE SA                                                                         | CUSIP: 05571AAR6<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    804000 | PA      | $853117.31    | 0.02%             | 2029-10-19      | Fixed         | 6.71%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                  | BPCE SA                                                                         | CUSIP: 05571AAS4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   1044000 | PA      | $1162273.26   | 0.03%             | 2034-10-19      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                  | BPCE SA                                                                         | CUSIP: 05571AAY1<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    330000 | PA      | $344575.46    | 0.01%             | 2035-05-30      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                  | BPCE SA                                                                         | CUSIP: 05571ABA2<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    280000 | PA      | $298952.31    | 0.01%             | 2036-01-14      | Fixed         | 6.29%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                  | BPCE SA                                                                         | CUSIP: 05578AAY4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   1622000 | PA      | $1653207.32   | 0.04%             | 2028-01-18      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                  | BPCE SA                                                                         | CUSIP: 05578AE46<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    250000 | PA      | $252799.87    | 0.01%             | 2027-07-19      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                  | BPCE SA                                                                         | CUSIP: 05578QAF0<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    900000 | PA      | $807468.82    | 0.02%             | 2032-10-19      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                              | BNP Paribas SA                                                                  | CUSIP: 05581KAH4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   1320000 | PA      | $1352176.67   | 0.04%             | 2030-01-09      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                  | BPCE SA                                                                         | CUSIP: 05583JAJ1<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    605000 | PA      | $536431.18    | 0.01%             | 2032-01-20      | Fixed         | 2.28%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                              | BNP Paribas SA                                                                  | CUSIP: 05602XJC3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    270000 | PA      | $281591.23    | 0.01%             | 2034-09-10      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                       | BMO 2025-C11 Mortgage Trust                                                     | CUSIP: 05613XAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1142000 | PA      | $1205266.00   | 0.03%             | 2058-02-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                       | BMO 2025-C12 Mortgage Trust                                                     | CUSIP: 05615DAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    761000 | PA      | $813307.87    | 0.02%             | 2058-06-15      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                 | BX Commercial Mortgage Trust 2025-COPT                                          | CUSIP: 05618XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1190000 | PA      | $1192212.92   | 0.03%             | 2042-08-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                 | BX Trust 2025-VOLT                                                              | CUSIP: 05619PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2638000 | PA      | $2634704.61   | 0.07%             | 2044-12-15      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH OF BAHAMAS                                  | Bahamas Government International Bond                                           | CUSIP: 056732AP5<br>LEI: 549300W13SXC7EKNJC20 | Long             | DBT              | NUSS              | BS        |    301000 | PA      | $335567.43    | 0.01%             | 2036-06-24      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| BALL CORP                                                | Ball Corp                                                                       | CUSIP: 058498AZ9<br>LEI: 0BGI85ALH27ZJP15DY16 | Long             | DBT              | CORP              | US        |    435000 | PA      | $447624.21    | 0.01%             | 2029-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BALTIMORE GAS & ELECTRIC                                 | Baltimore Gas and Electric Co                                                   | CUSIP: 059165EH9<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |    221000 | PA      | $163916.24    | 0.00%             | 2046-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BALTIMORE GAS & ELECTRIC                                 | Baltimore Gas and Electric Co                                                   | CUSIP: 059165EN6<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |   1032000 | PA      | $932597.46    | 0.02%             | 2031-06-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| BALTIMORE GAS & ELECTRIC                                 | Baltimore Gas and Electric Co                                                   | CUSIP: 059165ET3<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |   1821000 | PA      | $1888938.19   | 0.05%             | 2035-06-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| BANCO BILBAO VIZCAYA ARG                                 | Banco Bilbao Vizcaya Argentaria SA                                              | CUSIP: 05946KAQ4<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |   1600000 | PA      | $1658698.46   | 0.04%             | 2029-03-13      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                      | BANC OF AMERICA FUNDING CORPORATION BAFC_04-3                                   | CUSIP: 05946XGP2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     20457 | PA      | $20530.66     | 0.00%             | 2034-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                       | Banco Santander SA                                                              | CUSIP: 05964HAU9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   2400000 | PA      | $2487565.86   | 0.07%             | 2028-08-08      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                       | Banco Santander SA                                                              | CUSIP: 05964HBG9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    200000 | PA      | $210317.79    | 0.01%             | 2031-07-15      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                       | Banco Santander SA                                                              | CUSIP: 05971KAP4<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   1000000 | PA      | $1109705.29   | 0.03%             | 2028-11-21      | Fixed         | 9.63%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                       | Banco Santander SA                                                              | CUSIP: 05971KAR0<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   3400000 | PA      | $3404908.27   | 0.09%             | 2030-11-06      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                       | Banco Santander SA                                                              | CUSIP: 05971KAS8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   1800000 | PA      | $1804119.36   | 0.05%             | 2035-11-06      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| BANCO NACIONAL COM EXT                                   | Banco Nacional de Comercio Exterior SNC/Cayman Islands                          | CUSIP: 05973JAA8<br>LEI: 4469000001BL6VG3DH44 | Long             | DBT              | CORP              | MX        |    520000 | PA      | $509860.89    | 0.01%             | 2031-08-11      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| FIEMEX ENERGIA - BANC AC                                 | FIEMEX Energia - Banco Actinver SA Institucion de Banca Multiple                | CUSIP: 05974EAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |    396203 | PA      | $415831.10    | 0.01%             | 2041-01-31      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                     | Bank of America Corp                                                            | CUSIP: 06051GGL7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    365000 | PA      | $363332.98    | 0.01%             | 2028-04-24      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                     | Bank of America Corp                                                            | CUSIP: 06051GHD4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    210000 | PA      | $207544.14    | 0.01%             | 2028-12-20      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                     | Bank of America Corp                                                            | CUSIP: 06051GHZ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1024000 | PA      | $953759.17    | 0.03%             | 2031-02-13      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                     | Bank of America Corp                                                            | CUSIP: 06051GJE0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2902000 | PA      | $2138903.23   | 0.06%             | 2041-06-19      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                     | Bank of America Corp                                                            | CUSIP: 06051GJF7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    431000 | PA      | $387152.12    | 0.01%             | 2031-07-23      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                     | Bank of America Corp                                                            | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   3144000 | PA      | $3103481.38   | 0.08%             | 2027-07-22      | Fixed         | 1.73%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                     | Bank of America Corp                                                            | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1280000 | PA      | $1170050.76   | 0.03%             | 2033-02-04      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                     | Bank of America Corp                                                            | CUSIP: 06051GKL2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1091000 | PA      | $1029592.02   | 0.03%             | 2037-03-08      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                     | Bank of America Corp                                                            | CUSIP: 06051GKQ1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    911000 | PA      | $908984.14    | 0.02%             | 2033-04-27      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                     | Bank of America Corp                                                            | CUSIP: 06051GLS6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    688000 | PA      | $717336.15    | 0.02%             | 2029-09-15      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                     | Bank of America Corp                                                            | CUSIP: 06051GMA4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    547000 | PA      | $569772.63    | 0.01%             | 2035-01-23      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                     | Bank of America Corp                                                            | CUSIP: 06051GMB2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    701000 | PA      | $716976.32    | 0.02%             | 2035-08-15      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                     | Bank of America Corp                                                            | CUSIP: 06051GML0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1088000 | PA      | $1123681.25   | 0.03%             | 2031-01-24      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                     | Bank of America Corp                                                            | CUSIP: 06055HAH6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    682000 | PA      | $709927.15    | 0.02%             | 2030-05-01      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                     | Bank of America Corp                                                            | CUSIP: 06055HAK9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    787000 | PA      | $797651.33    | 0.02%             | 2030-07-26      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BANK OF IRELAND GROUP                                    | Bank of Ireland Group PLC                                                       | CUSIP: 06279JAD1<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |    350000 | PA      | $363289.59    | 0.01%             | 2030-03-20      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                         | Bank of Montreal                                                                | CUSIP: 06368L3L8<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |    263000 | PA      | $276689.37    | 0.01%             | 2031-06-04      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                                   | Bank of New York Mellon Corp/The                                                | CUSIP: 06406RBT3<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |    202000 | PA      | $214447.38    | 0.01%             | 2029-10-25      | Fixed         | 6.32%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                                   | Bank of New York Mellon Corp/The                                                | CUSIP: 06406RCB1<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |   2223000 | PA      | $2286476.39   | 0.06%             | 2031-02-11      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                                      | Bank of Nova Scotia/The                                                         | CUSIP: 06418GAN7<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    473000 | PA      | $478646.56    | 0.01%             | 2032-11-10      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| Bank                                                     | BANK 2022-BNK44                                                                 | CUSIP: 06540KAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    705000 | PA      | $749773.63    | 0.02%             | 2055-11-15      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| Bank                                                     | BANK 2025-BNK51                                                                 | CUSIP: 06541HAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1908000 | PA      | $1970889.59   | 0.05%             | 2067-12-25      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| BANQUE FED CRED MUTUEL                                   | Banque Federative du Credit Mutuel SA                                           | CUSIP: 06675FAY3<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |    545000 | PA      | $535292.57    | 0.01%             | 2026-10-04      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| BANQUE FED CRED MUTUEL                                   | Banque Federative du Credit Mutuel SA                                           | CUSIP: 06675FBB2<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |    737000 | PA      | $765738.15    | 0.02%             | 2028-07-13      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                             | Barclays PLC                                                                    | CUSIP: 06738ECE3<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1195000 | PA      | $1366802.37   | 0.04%             | 2033-11-02      | Fixed         | 7.44%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                             | Barclays PLC                                                                    | CUSIP: 06738ECU7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    929000 | PA      | $946746.47    | 0.02%             | 2030-09-10      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                             | Barclays PLC                                                                    | CUSIP: 06738EDD4<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    305000 | PA      | $306652.04    | 0.01%             | 2029-11-11      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| Barclays Dryrock Issuance Trust                          | Barclays Dryrock Issuance Trust                                                 | CUSIP: 06742LBF9<br>LEI: 213800R4G3N2G68CHU37 | Long             | ABS-O            | CORP              | US        |   3608000 | PA      | $3615543.61   | 0.09%             | 2031-07-15      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Bastion Funding LLC                                      | Bastion Funding I LLC                                                           | CUSIP: 07030UAA0<br>LEI: 549300NX3WVP5ASDEU57 | Long             | ABS-O            | CORP              | US        |   1977080 | PA      | $1993917.20   | 0.05%             | 2038-04-25      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| BAUSCH + LOMB CORP                                       | Bausch + Lomb Corp                                                              | CUSIP: 071705AA5<br>LEI: 549300NY6OZM39SO6475 | Long             | DBT              | CORP              | CA        |     55000 | PA      | $57314.10     | 0.00%             | 2028-10-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                                    | Bausch Health Cos Inc                                                           | CUSIP: 071734AN7<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |    140000 | PA      | $125348.78    | 0.00%             | 2028-06-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC              | BBCMS Mortgage Trust 2025-5C33                                                  | CUSIP: 072924AD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1496000 | PA      | $1574516.66   | 0.04%             | 2058-03-15      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC              | BBCMS Mortgage Trust 2025-C35                                                   | CUSIP: 07337DAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    569000 | PA      | $599202.06    | 0.02%             | 2058-07-15      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust              | BSARM_03-4                                                                      | CUSIP: 07384MVR0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     11721 | PA      | $11308.78     | 0.00%             | 2033-07-25      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust              | Bear Stearns ARM Trust 2003-7                                                   | CUSIP: 07384MYW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42612 | PA      | $41366.84     | 0.00%             | 2033-10-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust               | Bear Stearns Asset Backed Securities Trust 2003-SD1                             | CUSIP: 07384YKL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    166426 | PA      | $173757.00    | 0.00%             | 2033-12-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| BSCMS_07-T26                                             | BSCMS_07-T26                                                                    | CUSIP: 07388VAY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25734 | PA      | $0.26         | 0.00%             | 2045-01-12      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                 | Benchmark 2021-B25 Mortgage Trust                                               | CUSIP: 08163DAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    760000 | PA      | $694378.18    | 0.02%             | 2054-04-15      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| BENIN INTL GOV BOND                                      | Benin Government International Bond                                             | CUSIP: 08205QAA6<br>LEI: 635400Q11P6AE5A5Y230 | Long             | DBT              | NUSS              | BJ        |    310000 | PA      | $321337.99    | 0.01%             | 2038-02-13      | Fixed         | 7.96%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                         | Berry Global Inc                                                                | CUSIP: 08576BAB8<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |   1939000 | PA      | $2048093.68   | 0.05%             | 2031-06-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| BIG RIVER STEEL/BRS FIN                                  | Big River Steel LLC / BRS Finance Corp                                          | CUSIP: 08949LAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    320000 | PA      | $321060.91    | 0.01%             | 2029-01-31      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| BIOGEN INC                                               | Biogen Inc                                                                      | CUSIP: 09062XAH6<br>LEI: W8J5WZB5IY3K0NDQT671 | Long             | DBT              | CORP              | US        |    930000 | PA      | $854325.63    | 0.02%             | 2030-05-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| BIOCEANICO SOVEREIGN                                     | Bioceanico Sovereign Certificate Ltd                                            | CUSIP: 09076AAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    275639 | PA      | $224081.11    | 0.01%             | 2034-06-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE REG FINANCE                                   | Blackstone Reg Finance Co LLC                                                   | CUSIP: 092914AB6<br>LEI: 254900S2G1V55FTA4590 | Long             | DBT              | CORP              | US        |   1426000 | PA      | $1426326.87   | 0.04%             | 2030-11-03      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE REG FINANCE                                   | Blackstone Reg Finance Co LLC                                                   | CUSIP: 092914AC4<br>LEI: 254900S2G1V55FTA4590 | Long             | DBT              | CORP              | US        |    846000 | PA      | $840276.45    | 0.02%             | 2036-02-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| BLUE RACER MID LLC/FINAN                                 | Blue Racer Midstream LLC / Blue Racer Finance Corp                              | CUSIP: 095796AE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    475000 | PA      | $475729.33    | 0.01%             | 2026-07-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                              | BNP Paribas SA                                                                  | CUSIP: 09659T2D2<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    930000 | PA      | $967771.18    | 0.03%             | 2035-11-19      | Fixed         | 5.91%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                              | BNP Paribas SA                                                                  | CUSIP: 09659W2U7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    341000 | PA      | $311119.73    | 0.01%             | 2033-01-20      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                | Boeing Co/The                                                                   | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1365000 | PA      | $1344530.04   | 0.04%             | 2050-05-01      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                            | Boeing Co/The                                                                   | CUSIP: 097023DT9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    816000 | PA      | $915762.46    | 0.02%             | 2054-05-01      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| BOMBARDIER INC                                           | Bombardier Inc                                                                  | CUSIP: 097751BX8<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | CORP              | CA        |    580000 | PA      | $581605.51    | 0.02%             | 2028-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BOYNE USA INC                                            | Boyne USA Inc                                                                   | CUSIP: 103557AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    595000 | PA      | $586777.95    | 0.02%             | 2029-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                   | BP Capital Markets America Inc                                                  | CUSIP: 10373QBN9<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    412000 | PA      | $254215.93    | 0.01%             | 2050-11-10      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                   | BP Capital Markets America Inc                                                  | CUSIP: 10373QBS8<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |   1572000 | PA      | $1006759.10   | 0.03%             | 2052-03-17      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                   | BP Capital Markets America Inc                                                  | CUSIP: 10373QBU3<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    541000 | PA      | $548520.83    | 0.01%             | 2033-02-13      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                   | BP Capital Markets America Inc                                                  | CUSIP: 10373QBV1<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    517000 | PA      | $526095.50    | 0.01%             | 2033-09-11      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                   | BP Capital Markets America Inc                                                  | CUSIP: 10373QCA6<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    855000 | PA      | $882706.43    | 0.02%             | 2034-11-17      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| BRASKEM NETHERLANDS                                      | Braskem Netherlands Finance BV                                                  | CUSIP: 10554TAD7<br>LEI: 2549000TLMHFQ74DS330 | Long             | DBT              | CORP              | NL        |    500000 | PA      | $194380.72    | 0.01%             | 2030-01-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Brazil Government International Bonds                    | Brazil Government International Bonds                                           | CUSIP: 105756CJ7<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    400000 | PA      | $396734.63    | 0.01%             | 2054-05-13      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| BRIDGECREST LENDING AUTO SECURITIZATION TRUST BLAST_24-1 | BRIDGECREST LENDING AUTO SECURITIZATION TRUST BLAST_24-1                        | CUSIP: 107933AG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2275000 | PA      | $2352218.96   | 0.06%             | 2030-10-15      | Fixed         | 8.43%                 | No            |                  2 | On Loan: No      |
| BRIDGECREST LENDING AUTO SECURITIZATION TRUST BLAST_24-3 | BRIDGECREST LENDING AUTO SECURITIZATION TRUST BLAST_24-3                        | CUSIP: 10805NAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $3062750.40   | 0.08%             | 2031-04-15      | Fixed         | 7.70%                 | No            |                  2 | On Loan: No      |
| BRIDGECREST LENDING AUTO SECURITIZATION TRUST BLAST_24-4 | BRIDGECREST LENDING AUTO SECURITIZATION TRUST BLAST_24-4                        | CUSIP: 10806EAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1100000 | PA      | $1126606.58   | 0.03%             | 2031-08-15      | Fixed         | 7.47%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                  | Bristol-Myers Squibb Co                                                         | CUSIP: 110122DW5<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    875000 | PA      | $643304.74    | 0.02%             | 2052-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                  | Bristol-Myers Squibb Co                                                         | CUSIP: 110122DX3<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    257000 | PA      | $186535.83    | 0.00%             | 2062-03-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                  | Bristol-Myers Squibb Co                                                         | CUSIP: 110122EK0<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |   2300000 | PA      | $2260892.11   | 0.06%             | 2054-02-22      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| BRITISH AIR 18-1 AA PTT                                  | British Airways 2018-1 Class AA Pass Through Trust                              | CUSIP: 11042TAA1<br>LEI: 635400GSHSFIWYIDXC76 | Long             | DBT              | CORP              | US        |    163072 | PA      | $159461.15    | 0.00%             | 2031-09-20      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| BRITISH AIR 18-1 A PTT                                   | British Airways 2018-1 Class A Pass Through Trust                               | CUSIP: 11043HAA6<br>LEI: 635400GSHSFIWYIDXC76 | Long             | DBT              | CORP              | US        |    255463 | PA      | $248012.39    | 0.01%             | 2031-09-20      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| BRITISH AIR 19-1 AA PTT                                  | British Airways 2019-1 Class AA Pass Through Trust                              | CUSIP: 11043XAA1<br>LEI: 635400GSHSFIWYIDXC76 | Long             | DBT              | CORP              | US        |    301436 | PA      | $285542.26    | 0.01%             | 2032-12-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PART                                   | Brixmor Operating Partnership LP                                                | CUSIP: 11120VAK9<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              |  | US        |    173000 | PA      | $166018.32    | 0.00%             | 2028-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PART                                   | Brixmor Operating Partnership LP                                                | CUSIP: 11120VAL7<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              |  | US        |   1274000 | PA      | $1144742.08   | 0.03%             | 2031-08-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PART                                   | Brixmor Operating Partnership LP                                                | CUSIP: 11120VAP8<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              |  | US        |    558000 | PA      | $559468.28    | 0.01%             | 2033-02-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                             | Broadcom Inc                                                                    | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   1996000 | PA      | $1720458.84   | 0.05%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                             | Broadcom Inc                                                                    | CUSIP: 11135FBV2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   1105000 | PA      | $1090546.99   | 0.03%             | 2037-05-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                             | Broadcom Inc                                                                    | CUSIP: 11135FBX8<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   2821000 | PA      | $2904596.17   | 0.08%             | 2029-07-12      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                             | Broadcom Inc                                                                    | CUSIP: 11135FBY6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   2632000 | PA      | $2728374.69   | 0.07%             | 2031-11-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                             | Broadcom Inc                                                                    | CUSIP: 11135FCA7<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   1925000 | PA      | $1932368.54   | 0.05%             | 2028-02-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                             | Broadcom Inc                                                                    | CUSIP: 11135FCC3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   1961000 | PA      | $1966427.30   | 0.05%             | 2032-02-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                             | Broadcom Inc                                                                    | CUSIP: 11135FCD1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   2746000 | PA      | $2748710.43   | 0.07%             | 2034-10-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                             | Broadcom Inc                                                                    | CUSIP: 11135FCK5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   2550000 | PA      | $2591027.04   | 0.07%             | 2030-07-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                             | Broadcom Inc                                                                    | CUSIP: 11135FCL3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   2212000 | PA      | $2257632.77   | 0.06%             | 2032-07-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                             | Broadcom Inc                                                                    | CUSIP: 11135FCM1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    839000 | PA      | $859789.94    | 0.02%             | 2035-07-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                             | Broadcom Inc                                                                    | CUSIP: 11135FCY5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    849000 | PA      | $837287.43    | 0.02%             | 2036-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD ASSET MANAGEM                                 | Brookfield Asset Management Ltd                                                 | CUSIP: 112586AB8<br>LEI: 549300CZ84WPNJZKY093 | Long             | DBT              | CORP              | CA        |    796000 | PA      | $815156.90    | 0.02%             | 2055-09-15      | Fixed         | 6.08%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD ASSET MANAGEM                                 | Brookfield Asset Management Ltd                                                 | CUSIP: 113004AB1<br>LEI: 549300CZ84WPNJZKY093 | Long             | DBT              | CORP              | CA        |   2025000 | PA      | $2040447.34   | 0.05%             | 2030-11-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD ASSET MANAGEM                                 | Brookfield Asset Management Ltd                                                 | CUSIP: 113004AC9<br>LEI: 549300CZ84WPNJZKY093 | Long             | DBT              | CORP              | CA        |   1351000 | PA      | $1349051.28   | 0.04%             | 2036-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| BROOKLYN UNION GAS CO                                    | Brooklyn Union Gas Co/The                                                       | CUSIP: 114259AQ7<br>LEI: 83BQ1DXS6VA5GZFK8S35 | Long             | DBT              | CORP              | US        |    193000 | PA      | $154261.66    | 0.00%             | 2048-03-15      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| BUCKEYE PARTNERS LP                                      | Buckeye Partners LP                                                             | CUSIP: 118230AM3<br>LEI: 549300C1PQJLVEIUBK50 | Long             | DBT              | CORP              | US        |    400000 | PA      | $375420.47    | 0.01%             | 2043-11-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| BUCKEYE PARTNERS LP                                      | Buckeye Partners LP                                                             | CUSIP: 118230AR2<br>LEI: 549300C1PQJLVEIUBK50 | Long             | DBT              | CORP              | US        |    280000 | PA      | $276826.62    | 0.01%             | 2027-12-01      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| BUILDERS FIRSTSOURCE INC                                 | Builders FirstSource Inc                                                        | CUSIP: 12008RAP2<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |    800000 | PA      | $761645.09    | 0.02%             | 2032-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BUNGE LTD FINANCE CORP                                   | Bunge Ltd Finance Corp                                                          | CUSIP: 120568BR0<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |   2028000 | PA      | $2060738.21   | 0.05%             | 2035-08-04      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Bunker Hill Loan Depositary Trust                        | Bunker Hill Loan Depositary Trust 2019-2                                        | CUSIP: 12061RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    311250 | PA      | $307289.84    | 0.01%             | 2049-07-25      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| BURLINGTN NORTH SANTA FE                                 | Burlington Northern Santa Fe LLC                                                | CUSIP: 12189LBF7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    456000 | PA      | $301097.49    | 0.01%             | 2051-02-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| BURLINGTN NORTH SANTA FE                                 | Burlington Northern Santa Fe LLC                                                | CUSIP: 12189LBK6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    525000 | PA      | $494479.98    | 0.01%             | 2054-04-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| BURLINGTN NORTH SANTA FE                                 | Burlington Northern Santa Fe LLC                                                | CUSIP: 12189LBL4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1265000 | PA      | $1244617.31   | 0.03%             | 2055-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BUSINESS JET SECURITIES LLC BJETS_22-1                   | BUSINESS JET SECURITIES LLC BJETS_22-1                                          | CUSIP: 12327AAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1551878 | PA      | $1551995.00   | 0.04%             | 2037-06-15      | Fixed         | 6.41%                 | No            |                  2 | On Loan: No      |
| Business Jet Securities, LLC                             | Business Jet Securities 2024-1 LLC                                              | CUSIP: 12327CAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2128831 | PA      | $2204083.12   | 0.06%             | 2039-05-15      | Fixed         | 9.13%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                 | BX Trust 2025-VLT7                                                              | CUSIP: 123913AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1442000 | PA      | $1441016.99   | 0.04%             | 2044-07-15      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                   | CCO Holdings LLC / CCO Holdings Capital Corp                                    | CUSIP: 1248EPCB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    200000 | PA      | $197761.27    | 0.01%             | 2029-06-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                   | CCO Holdings LLC / CCO Holdings Capital Corp                                    | CUSIP: 1248EPCD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3150000 | PA      | $3013398.86   | 0.08%             | 2030-03-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                   | CCO Holdings LLC / CCO Holdings Capital Corp                                    | CUSIP: 1248EPCK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1160000 | PA      | $1065991.87   | 0.03%             | 2031-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CBRE SERVICES INC                                        | CBRE Services Inc                                                               | CUSIP: 12505BAK6<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |   1024000 | PA      | $1058169.57   | 0.03%             | 2035-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CBRE SERVICES INC                                        | CBRE Services Inc                                                               | CUSIP: 12505BAL4<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |   1180000 | PA      | $1185512.79   | 0.03%             | 2033-01-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                         | CSC Holdings LLC                                                                | CUSIP: 126307AZ0<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |    700000 | PA      | $462482.87    | 0.01%             | 2029-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COOF Securitization Trust                                | COOF Securitization Trust 2014-1 Ltd                                            | CUSIP: 12631UAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    128743 | PA      | $8860.35      | 0.00%             | 2040-06-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                             | CSMC 2014-USA OA LLC                                                            | CUSIP: 12649AAN9<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4246708.50   | 0.11%             | 2037-09-15      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                                   | CVS Pass-Through Trust                                                          | CUSIP: 126650BY5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    375070 | PA      | $384402.60    | 0.01%             | 2034-01-10      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                          | CVS Health Corp                                                                 | CUSIP: 126650CX6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   1607000 | PA      | $1612944.74   | 0.04%             | 2028-03-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                          | CVS Health Corp                                                                 | CUSIP: 126650CY4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   1252000 | PA      | $1182457.09   | 0.03%             | 2038-03-25      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                          | CVS Health Corp                                                                 | CUSIP: 126650CZ1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   3396000 | PA      | $2997577.16   | 0.08%             | 2048-03-25      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                          | CVS Health Corp                                                                 | CUSIP: 126650EC0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   1552000 | PA      | $1624997.64   | 0.04%             | 2031-06-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                          | CVS Health Corp                                                                 | CUSIP: 126650ED8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   1594000 | PA      | $1672087.20   | 0.04%             | 2034-06-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TR 2013                                 | CVS Pass-Through Trust Series 2013                                              | CUSIP: 12665UAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    933986 | PA      | $878973.72    | 0.02%             | 2036-01-10      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| CWHL_04-13                                               | CWHL_04-13                                                                      | CUSIP: 12669FJ38<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     73973 | PA      | $74322.99     | 0.00%             | 2034-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                   | CHL Mortgage Pass-Through Trust 2004-3                                          | CUSIP: 12669FQA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35475 | PA      | $35547.53     | 0.00%             | 2034-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                   | CWHL_04-5                                                                       | CUSIP: 12669FVR1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     74231 | PA      | $73611.96     | 0.00%             | 2034-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                                       | Coterra Energy Inc                                                              | CUSIP: 127097AM5<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |    332000 | PA      | $337064.29    | 0.01%             | 2035-02-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                                       | Coterra Energy Inc                                                              | CUSIP: 127097AN3<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |    844000 | PA      | $811399.31    | 0.02%             | 2055-02-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| CADENCE DESIGN SYS INC                                   | Cadence Design Systems Inc                                                      | CUSIP: 127387AM0<br>LEI: GCT7RXJOGLXPV0NXZY22 | Long             | DBT              | CORP              | US        |    674000 | PA      | $678146.62    | 0.02%             | 2027-09-10      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| CADENCE DESIGN SYS INC                                   | Cadence Design Systems Inc                                                      | CUSIP: 127387AN8<br>LEI: GCT7RXJOGLXPV0NXZY22 | Long             | DBT              | CORP              | US        |   3271000 | PA      | $3286676.01   | 0.09%             | 2029-09-10      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAIN INC                                    | Caesars Entertainment Inc                                                       | CUSIP: 12769GAC4<br>LEI: 549300FA4CTCW903Y781 | Long             | DBT              | CORP              | US        |    915000 | PA      | $937456.22    | 0.02%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                             | CaixaBank SA                                                                    | CUSIP: 12803RAB0<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |    330000 | PA      | $335730.60    | 0.01%             | 2027-09-13      | Fixed         | 6.68%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                             | CaixaBank SA                                                                    | CUSIP: 12803RAK0<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |   2600000 | PA      | $2625362.82   | 0.07%             | 2029-07-03      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                             | CaixaBank SA                                                                    | CUSIP: 12803RAL8<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |   2600000 | PA      | $2636518.25   | 0.07%             | 2031-07-03      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                             | CaixaBank SA                                                                    | CUSIP: 12803RAM6<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |   1766000 | PA      | $1815052.01   | 0.05%             | 2036-07-03      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| CALPINE CORP                                             | Calpine Corp                                                                    | CUSIP: 131347CM6<br>LEI: 43R4VPJBXTU2O15HEF41 | Long             | DBT              | CORP              | US        |    640000 | PA      | $640347.80    | 0.02%             | 2028-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CALPINE CORP                                             | Calpine Corp                                                                    | CUSIP: 131347CN4<br>LEI: 43R4VPJBXTU2O15HEF41 | Long             | DBT              | CORP              | US        |   1110000 | PA      | $1110199.34   | 0.03%             | 2028-03-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| CALPINE CORP                                             | Calpine Corp                                                                    | CUSIP: 131347CP9<br>LEI: 43R4VPJBXTU2O15HEF41 | Long             | DBT              | CORP              | US        |    649000 | PA      | $648487.16    | 0.02%             | 2029-02-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK                                   | Canadian Imperial Bank of Commerce                                              | CUSIP: 13607QFD9<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |   2386000 | PA      | $2395142.48   | 0.06%             | 2028-09-08      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK                                   | Canadian Imperial Bank of Commerce                                              | CUSIP: 13607QFE7<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |   2554000 | PA      | $2574084.41   | 0.07%             | 2031-09-08      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                                 | Capital One Financial Corp                                                      | CUSIP: 14040HCH6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    254000 | PA      | $249230.95    | 0.01%             | 2027-11-02      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                                 | Capital One Financial Corp                                                      | CUSIP: 14040HDF9<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   3025000 | PA      | $3215491.24   | 0.08%             | 2035-02-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                                 | Capital One Financial Corp                                                      | CUSIP: 14040HDN2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1990399.62   | 0.05%             | 2036-09-11      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Capital One Multi-Asset Execution Trust                  | Capital One Multi-Asset Execution Trust                                         | CUSIP: 14041NGG0<br>LEI: R42WS16M9R97TJJKGU15 | Long             | ABS-O            | CORP              | US        |    801000 | PA      | $803039.11    | 0.02%             | 2032-09-15      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| Capital One Prime Auto Receivables Trust                 | Capital One Prime Auto Receivables Trust 2025-1                                 | CUSIP: 14043YAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1409000 | PA      | $1410139.74   | 0.04%             | 2030-07-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Capital One Prime Auto Receivables Trust                 | Capital One Prime Auto Receivables Trust 2025-1                                 | CUSIP: 14043YAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1388000 | PA      | $1383650.70   | 0.04%             | 2031-02-18      | Fixed         | 3.92%                 | No            |                  2 | On Loan: No      |
| CARGILL INC                                              | CARGILL INC                                                                     | CUSIP: 141781AF1<br>LEI: QXZYQNMR4JZ5RIRN4T31 | Long             | DBT              | CORP              | US        |    300000 | PA      | $347913.07    | 0.01%             | 2036-11-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                                  | Carmax Auto Owner Trust 2025-3                                                  | CUSIP: 14290FAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2181000 | PA      | $2199558.35   | 0.06%             | 2030-07-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                                  | Carmax Auto Owner Trust 2025-3                                                  | CUSIP: 14290FAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1487000 | PA      | $1507495.32   | 0.04%             | 2031-01-15      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                                  | Carmax Auto Owner Trust 2025-2                                                  | CUSIP: 14320AAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3726000 | PA      | $3770046.91   | 0.10%             | 2030-03-15      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                            | Carnival Corp                                                                   | CUSIP: 143658BX9<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |   1320000 | PA      | $1362669.12   | 0.04%             | 2033-02-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS INC                                 | Duke Energy Progress LLC                                                        | CUSIP: 144141CV8<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    174000 | PA      | $182568.11    | 0.00%             | 2035-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Capital Automotive LP                                    | Cars Net Lease Mortgage Notes Series 2020-1                                     | CUSIP: 14576AAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    838500 | PA      | $809113.87    | 0.02%             | 2050-12-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                           | Carvana Auto Receivables Trust 2024-N3                                          | CUSIP: 14687WAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4989689.50   | 0.13%             | 2030-12-10      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| CATERPILLAR FINL SERVICE                                 | Caterpillar Financial Services Corp                                             | CUSIP: 14913UAL4<br>LEI: EDBQKYOPJUCJKLOJDE72 | Long             | DBT              | CORP              | US        |   2353000 | PA      | $2392075.59   | 0.06%             | 2027-05-14      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CATERPILLAR FINL SERVICE                                 | Caterpillar Financial Services Corp                                             | CUSIP: 14913UAQ3<br>LEI: EDBQKYOPJUCJKLOJDE72 | Long             | DBT              | CORP              | US        |    885000 | PA      | $897555.05    | 0.02%             | 2029-08-16      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                                 | Celanese US Holdings LLC                                                        | CUSIP: 15089QBC7<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    300000 | PA      | $307056.94    | 0.01%             | 2031-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                                 | Celanese US Holdings LLC                                                        | CUSIP: 15089QBD5<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    560000 | PA      | $569528.08    | 0.01%             | 2034-02-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENER HOUSTON                                 | CenterPoint Energy Houston Electric LLC                                         | CUSIP: 15189XAY4<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |    762000 | PA      | $557466.72    | 0.01%             | 2052-03-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENER HOUSTON                                 | CenterPoint Energy Houston Electric LLC                                         | CUSIP: 15189XBH0<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |   1623000 | PA      | $1635969.12   | 0.04%             | 2035-08-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| CHART INDUSTRIES INC                                     | Chart Industries Inc                                                            | CUSIP: 16115QAF7<br>LEI: EM7QGKC1GYOF3LSZSL80 | Long             | DBT              | CORP              | US        |    685000 | PA      | $714735.64    | 0.02%             | 2030-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                 | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    205000 | PA      | $192836.50    | 0.01%             | 2045-10-23      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                 | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    167000 | PA      | $153740.07    | 0.00%             | 2038-04-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                 | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    231000 | PA      | $173690.19    | 0.00%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                 | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BV5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    255000 | PA      | $160603.95    | 0.00%             | 2051-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                 | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BZ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    399000 | PA      | $283647.51    | 0.01%             | 2041-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                 | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1132000 | PA      | $730881.10    | 0.02%             | 2052-06-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                 | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2970000 | PA      | $2055229.25   | 0.05%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                 | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CK8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    953000 | PA      | $753831.48    | 0.02%             | 2053-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                 | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CL6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    406000 | PA      | $320469.35    | 0.01%             | 2063-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                 | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    779000 | PA      | $819828.56    | 0.02%             | 2034-06-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                 | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CS1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1544000 | PA      | $1542170.00   | 0.04%             | 2035-12-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                 | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CT9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1442000 | PA      | $1384437.93   | 0.04%             | 2055-12-01      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| Chase Auto Owner Trust                                   | Chase Auto Owner Trust 2022-A                                                   | CUSIP: 16144JAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1236702 | PA      | $1236525.13   | 0.03%             | 2028-03-27      | Fixed         | 3.99%                 | No            |                  2 | On Loan: No      |
| Chase Funding Mortgage Loan Asset-Backed CTFS            | Chase Funding Trust Series 2003-2                                               | CUSIP: 161546EW2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    275727 | PA      | $273999.46    | 0.01%             | 2033-02-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| CHASE FUNDING MORTGAGE LOAN ASSE                         | CHASE FUNDING MORTGAGE LOAN ASSE                                                | CUSIP: 161546FV3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    118970 | PA      | $117237.19    | 0.00%             | 2033-05-25      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| Chase Funding Mortgage Loan Asset-Backed CTFS            | Chase Funding Trust Series 2003-6                                               | CUSIP: 161546HA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     95365 | PA      | $94769.84     | 0.00%             | 2034-11-25      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                       | Chase Mortgage Finance Trust Series 2007-A1                                     | CUSIP: 161630AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40833 | PA      | $40987.86     | 0.00%             | 2037-02-25      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                       | Chase Mortgage Finance Trust Series 2007-A1                                     | CUSIP: 161630AG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27318 | PA      | $26292.79     | 0.00%             | 2037-02-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                       | Chase Mortgage Finance Trust Series 2007-A1                                     | CUSIP: 161630AU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2473 | PA      | $2481.36      | 0.00%             | 2037-02-25      | Variable      | 6.87%                 | No            |                  2 | On Loan: No      |
| CHEMOURS CO                                              | Chemours Co/The                                                                 | CUSIP: 163851AF5<br>LEI: 549300M1BOLNXL8DOV14 | Long             | DBT              | CORP              | US        |    505000 | PA      | $491196.28    | 0.01%             | 2028-11-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                                 | Cheniere Energy Partners LP                                                     | CUSIP: 16411QAG6<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |   1080000 | PA      | $1083202.52   | 0.03%             | 2029-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                                 | Cheniere Energy Partners LP                                                     | CUSIP: 16411QAK7<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |    951000 | PA      | $926646.02    | 0.02%             | 2031-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                                 | Cheniere Energy Partners LP                                                     | CUSIP: 16411QAS0<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |   1737000 | PA      | $1814106.77   | 0.05%             | 2034-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY INC                                      | Cheniere Energy Inc                                                             | CUSIP: 16411RAK5<br>LEI: MIHC87W9WTYSYZWV1J40 | Long             | DBT              | CORP              | US        |    690000 | PA      | $689559.97    | 0.02%             | 2028-10-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Cherry Securitization Trust                              | Cherry Securitization Trust 2025-1                                              | CUSIP: 16473RAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $913707.72    | 0.02%             | 2032-11-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| CHEVRON USA INC                                          | Chevron USA Inc                                                                 | CUSIP: 166756BJ4<br>LEI: VA8TZDWPEZYU430RZ444 | Long             | DBT              | CORP              | US        |   1409000 | PA      | $1422841.24   | 0.04%             | 2030-10-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CHILE ELECTRICITY LUX                                    | Chile Electricity Lux Mpc II Sarl                                               | CUSIP: 16882LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    991190 | PA      | $1021363.82   | 0.03%             | 2035-10-20      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| CHILE ELECTRICITY LUX                                    | Chile Electricity Lux Mpc II Sarl                                               | CUSIP: 16882LAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |   1822325 | PA      | $1889522.92   | 0.05%             | 2035-10-20      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| CHURCHILL DOWNS INC                                      | Churchill Downs Inc                                                             | CUSIP: 171484AJ7<br>LEI: 529900FODTBQC8MIS994 | Long             | DBT              | CORP              | US        |    100000 | PA      | $103717.12    | 0.00%             | 2031-05-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CINEMARK USA INC                                         | Cinemark USA Inc                                                                | CUSIP: 172441BF3<br>LEI: 54930008H2137JSCPQ09 | Long             | DBT              | CORP              | US        |    210000 | PA      | $209979.98    | 0.01%             | 2028-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CIPHER COMPUTE LLC                                       | Cipher Compute LLC                                                              | CUSIP: 17253NAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    155000 | PA      | $158104.21    | 0.00%             | 2030-11-15      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| CISCO SYSTEMS INC                                        | Cisco Systems Inc                                                               | CUSIP: 17275RCA8<br>LEI: 549300LKFJ962MZ46593 | Long             | DBT              | CORP              | US        |   1373000 | PA      | $1358144.16   | 0.04%             | 2055-02-24      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                            | Citigroup Inc                                                                   | CUSIP: 172967LP4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    448000 | PA      | $445243.86    | 0.01%             | 2028-07-24      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                            | Citigroup Inc                                                                   | CUSIP: 172967ME8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    745000 | PA      | $738283.64    | 0.02%             | 2030-03-20      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                            | Citigroup Inc                                                                   | CUSIP: 172967MY4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1086000 | PA      | $985722.00    | 0.03%             | 2032-05-01      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                            | Citigroup Inc                                                                   | CUSIP: 172967NE7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1350000 | PA      | $1209220.67   | 0.03%             | 2032-11-03      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                            | Citigroup Inc                                                                   | CUSIP: 172967PA3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1235000 | PA      | $1344734.35   | 0.04%             | 2033-11-17      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                            | Citigroup Inc                                                                   | CUSIP: 172967PF2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    414000 | PA      | $424915.47    | 0.01%             | 2030-02-13      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                            | Citigroup Inc                                                                   | CUSIP: 172967PG0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2296000 | PA      | $2388199.16   | 0.06%             | 2035-02-13      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                            | Citigroup Inc                                                                   | CUSIP: 172967PK1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1425000 | PA      | $1469345.72   | 0.04%             | 2029-08-15      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                            | Citigroup Inc                                                                   | CUSIP: 172967PR6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    957000 | PA      | $969988.85    | 0.03%             | 2030-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                            | Citigroup Inc                                                                   | CUSIP: 172967PU9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2376000 | PA      | $2492680.99   | 0.07%             | 2036-01-24      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                            | Citigroup Inc                                                                   | CUSIP: 172967QA2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2022000 | PA      | $2064462.19   | 0.05%             | 2031-05-07      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                            | Citigroup Inc                                                                   | CUSIP: 172967QF1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   3107000 | PA      | $3115395.22   | 0.08%             | 2031-09-11      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                            | Citigroup Inc                                                                   | CUSIP: 172967QH7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   3032000 | PA      | $3063798.49   | 0.08%             | 2036-09-11      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                        | CITIGROUP MORTGAGE LOAN TRUST INC CMLTI_03-1                                    | CUSIP: 17307GBT4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     17271 | PA      | $17072.33     | 0.00%             | 2033-09-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                        | CMLTI_05-2                                                                      | CUSIP: 17307GRM2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     52663 | PA      | $52738.15     | 0.00%             | 2035-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                        | CITIGROUP MORTGAGE LOAN TRUST INC CMLTI_09-10                                   | CUSIP: 17316AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     20891 | PA      | $20686.05     | 0.00%             | 2033-09-25      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                              | Citibank NA                                                                     | CUSIP: 17325FBK3<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |    335000 | PA      | $342731.33    | 0.01%             | 2029-08-06      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                            | Citigroup Inc                                                                   | CUSIP: 17327CAQ6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1014000 | PA      | $928509.78    | 0.02%             | 2033-01-25      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                            | Citigroup Inc                                                                   | CUSIP: 17327CAT0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   4629000 | PA      | $4664009.64   | 0.12%             | 2030-09-19      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                            | Citigroup Inc                                                                   | CUSIP: 17327CAV5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    532000 | PA      | $547371.63    | 0.01%             | 2030-02-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                            | Citigroup Inc                                                                   | CUSIP: 17327CAW3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2753000 | PA      | $2793339.50   | 0.07%             | 2029-03-04      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                            | Citigroup Inc                                                                   | CUSIP: 17327CAY9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1890000 | PA      | $1883958.19   | 0.05%             | 2056-03-04      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                            | Citigroup Inc                                                                   | CUSIP: 17327CBA0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2775000 | PA      | $2838438.42   | 0.07%             | 2036-03-27      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| CIVITAS RESOURCES INC                                    | Civitas Resources Inc                                                           | CUSIP: 17888HAB9<br>LEI: IIVIHPH28S64K95M2381 | Long             | DBT              | CORP              | US        |    725000 | PA      | $752579.00    | 0.02%             | 2031-07-01      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| CLARIOS GLOBAL LP/US FIN                                 | Clarios Global LP / Clarios US Finance Co                                       | CUSIP: 18060TAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    250000 | PA      | $261172.32    | 0.01%             | 2030-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CLARIV SCI HLD CORP                                      | Clarivate Science Holdings Corp                                                 | CUSIP: 18064PAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    285000 | PA      | $276750.14    | 0.01%             | 2028-07-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HO                                 | Clear Channel Outdoor Holdings Inc                                              | CUSIP: 18453HAG1<br>LEI: 254900XBEE6V1ENYS150 | Long             | DBT              | CORP              | US        |    495000 | PA      | $518075.73    | 0.01%             | 2031-02-15      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| CLEVELAND-CLIFFS INC                                     | Cleveland-Cliffs Inc                                                            | CUSIP: 185899AN1<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |    130000 | PA      | $133826.99    | 0.00%             | 2030-04-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CLEVELAND-CLIFFS INC                                     | Cleveland-Cliffs Inc                                                            | CUSIP: 185899AQ4<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |    335000 | PA      | $346762.02    | 0.01%             | 2029-11-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| CLYDESDALE ACQUISITION                                   | Clydesdale Acquisition Holdings Inc                                             | CUSIP: 18972EAD7<br>LEI: 254900QKSDYFR3K5YD98 | Long             | DBT              | CORP              | US        |    100000 | PA      | $102947.69    | 0.00%             | 2032-04-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CNO GLOBAL FUNDING                                       | CNO Global Funding                                                              | CUSIP: 18977W2D1<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |    467000 | PA      | $477303.64    | 0.01%             | 2027-06-04      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| PERMIAN RESOURC OPTG LLC                                 | Permian Resources Operating LLC                                                 | CUSIP: 19416MAB5<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |    315000 | PA      | $316471.15    | 0.01%             | 2029-07-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                                | College Avenue Student Loans LLC                                                | CUSIP: 194204AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    317147 | PA      | $316063.39    | 0.01%             | 2046-11-26      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                                | College Ave Student Loans 2019-A LLC                                            | CUSIP: 19421UAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    554883 | PA      | $531831.00    | 0.01%             | 2048-12-28      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                                | College Ave Student Loans 2018-A LLC                                            | CUSIP: 19423DAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    209696 | PA      | $207461.13    | 0.01%             | 2047-12-26      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Colombia Government International Bonds                  | Colombia Government International Bonds                                         | CUSIP: 195325EM3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    500000 | PA      | $550033.80    | 0.01%             | 2053-11-14      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Colombia Government International Bonds                  | Colombia Government International Bonds                                         | CUSIP: 195325EP6<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    294000 | PA      | $306502.21    | 0.01%             | 2036-11-07      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                         | COLT 2021-2 Mortgage Loan Trust                                                 | CUSIP: 19685WAA9<br>LEI: 2138001HZNOLT1K3WY73 | Long             | ABS-MBS          | CORP              | US        |   1382661 | PA      | $1191246.72   | 0.03%             | 2066-08-25      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                         | COLT 2021-4 Mortgage Loan Trust                                                 | CUSIP: 19688GAA1<br>LEI: 2138001HZNOLT1K3WY73 | Long             | ABS-MBS          | CORP              | US        |   1562704 | PA      | $1339857.10   | 0.04%             | 2066-10-25      | Variable      | 1.40%                 | No            |                  2 | On Loan: No      |
| COLUMBIA SHORT TERM CASH FUND                            | COLUMBIA SHORT TERM CASH FUND                                                   | CUSIP: 19766H239<br>LEI: N/A                  | Long             | STIV             | RF                | US        | 173559301 | NS      | $173507233.15 | 4.55%             |  |  |  | No            |                  1 | On Loan: No      |
| COLUMBIA PIPELINE HOLDCO                                 | Columbia Pipelines Holding Co LLC                                               | CUSIP: 19828AAD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    255000 | PA      | $259465.04    | 0.01%             | 2031-10-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPCO                                  | Columbia Pipelines Operating Co LLC                                             | CUSIP: 19828TAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1404000 | PA      | $1502935.76   | 0.04%             | 2033-11-15      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                             | Comcast Corp                                                                    | CUSIP: 20030NBM2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    236000 | PA      | $225540.39    | 0.01%             | 2034-08-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                             | Comcast Corp                                                                    | CUSIP: 20030NCG4<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    748000 | PA      | $546910.08    | 0.01%             | 2052-11-01      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                             | Comcast Corp                                                                    | CUSIP: 20030NCJ8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    673000 | PA      | $585860.85    | 0.02%             | 2038-03-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                             | Comcast Corp                                                                    | CUSIP: 20030NDS7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    248000 | PA      | $145177.60    | 0.00%             | 2051-11-01      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                             | Comcast Corp                                                                    | CUSIP: 20030NDU2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   2913000 | PA      | $1638152.87   | 0.04%             | 2056-11-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                             | Comcast Corp                                                                    | CUSIP: 20030NDW8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    868000 | PA      | $469874.11    | 0.01%             | 2063-11-01      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                             | Comcast Corp                                                                    | CUSIP: 20030NEF4<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   2390000 | PA      | $2146292.60   | 0.06%             | 2053-05-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                             | Comcast Corp                                                                    | CUSIP: 20030NEJ6<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    257000 | PA      | $264856.75    | 0.01%             | 2034-06-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH EDISON CO                                   | Commonwealth Edison Co                                                          | CUSIP: 202795KB5<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |    190000 | PA      | $197368.49    | 0.01%             | 2055-06-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| COMMSCOPE TECH LLC                                       | CommScope Technologies LLC                                                      | CUSIP: 20338HAB9<br>LEI: M4TWC4QDOKW45N7T6Y12 | Long             | DBT              | CORP              | US        |    325000 | PA      | $324138.60    | 0.01%             | 2027-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COMSTOCK RESOURCES INC                                   | Comstock Resources Inc                                                          | CUSIP: 205768AS3<br>LEI: I03QQGEA4SS774AURI46 | Long             | DBT              | CORP              | US        |    295000 | PA      | $295761.74    | 0.01%             | 2029-03-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                                   | ConocoPhillips Co                                                               | CUSIP: 20826FBG0<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |   1412000 | PA      | $1361415.38   | 0.04%             | 2054-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                                  | Consolidated Edison Co of New York Inc                                          | CUSIP: 209111FW8<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    393000 | PA      | $274538.99    | 0.01%             | 2059-11-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                                  | Consolidated Edison Co of New York Inc                                          | CUSIP: 209111GC1<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    231000 | PA      | $153608.22    | 0.00%             | 2051-12-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| CONSUMERS ENERGY CO                                      | Consumers Energy Co                                                             | CUSIP: 210518DU7<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |    412000 | PA      | $413659.78    | 0.01%             | 2033-05-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| CONSUMERS ENERGY CO                                      | Consumers Energy Co                                                             | CUSIP: 210518DY9<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |   2025000 | PA      | $2047625.73   | 0.05%             | 2031-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CONSUMERS ENERGY CO                                      | Consumers Energy Co                                                             | CUSIP: 210518DZ6<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |   1497000 | PA      | $1523438.70   | 0.04%             | 2035-05-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| CONSUMERS 23 SECURE FUND                                 | Consumers 2023 Securitization Funding LLC                                       | CUSIP: 21071BAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    897000 | PA      | $922921.94    | 0.02%             | 2030-09-01      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                 | Corebridge Financial Inc                                                        | CUSIP: 21871XAP4<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    270000 | PA      | $276367.94    | 0.01%             | 2052-12-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Colony American Finance Ltd                              | Corevest American Finance 2019-3 Trust                                          | CUSIP: 21872NAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    146317 | PA      | $145721.04    | 0.00%             | 2052-10-15      | Fixed         | 2.71%                 | No            |                  2 | On Loan: No      |
| COREWEAVE INC                                            | CoreWeave Inc                                                                   | CUSIP: 21873SAB4<br>LEI: 984500511DP2B6186053 | Long             | DBT              | CORP              | US        |    100000 | PA      | $93011.42     | 0.00%             | 2030-06-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae                                                                      | CUSIP: 21H052611<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7500000 | PA      | $7572722.93   | 0.20%             | 2055-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COPT DEFENSE PROP LP                                     | COPT Defense Properties LP                                                      | CUSIP: 22003BAM8<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              |  | US        |    322000 | PA      | $293845.16    | 0.01%             | 2031-04-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| IVORY COAST                                              | Ivory Coast Government International Bond                                       | CUSIP: 221625AU0<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |    202000 | PA      | $219623.45    | 0.01%             | 2037-01-30      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| IVORY COAST                                              | Ivory Coast Government International Bond                                       | CUSIP: 221625AV8<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |    552000 | PA      | $594837.72    | 0.02%             | 2036-04-01      | Fixed         | 8.08%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                       | Credit Agricole SA                                                              | CUSIP: 22535WAH0<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   1320000 | PA      | $1317245.85   | 0.03%             | 2027-01-26      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                       | Credit Agricole SA                                                              | CUSIP: 22535WAJ6<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    970000 | PA      | $1022226.78   | 0.03%             | 2029-10-03      | Fixed         | 6.32%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                       | Credit Agricole SA                                                              | CUSIP: 22535WAL1<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    380000 | PA      | $383036.06    | 0.01%             | 2028-09-11      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                       | Credit Agricole SA                                                              | CUSIP: 22535WAN7<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    555000 | PA      | $585863.14    | 0.02%             | 2036-01-09      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                       | Credit Agricole SA                                                              | CUSIP: 22535WAS6<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   2009000 | PA      | $2006654.54   | 0.05%             | 2033-09-25      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                        | Credit Acceptance Auto Loan Trust 2024-2                                        | CUSIP: 22536VAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6667000 | PA      | $6811661.90   | 0.18%             | 2034-10-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                             | UBS Group AG                                                                    | CUSIP: 225401AF5<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    250000 | PA      | $248596.81    | 0.01%             | 2029-01-12      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                             | UBS Group AG                                                                    | CUSIP: 225401BK3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1547000 | PA      | $1544988.18   | 0.04%             | 2029-12-23      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                             | UBS Group AG                                                                    | CUSIP: 225401BM9<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1435000 | PA      | $1428338.86   | 0.04%             | 2031-09-23      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                             | UBS Group AG                                                                    | CUSIP: 225401BP2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   2718000 | PA      | $2695130.46   | 0.07%             | 2037-03-23      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities           | Credit Suisse First Boston Mortgage Securities Corp                             | CUSIP: 22541QPB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23544 | PA      | $23578.91     | 0.00%             | 2033-09-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities           | CS FIRST BOSTON MORTGAGE SECURIT                                                | CUSIP: 22541SU55<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     84142 | PA      | $85810.99     | 0.00%             | 2034-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities           | CS FIRST BOSTON MORTGAGE SECURITIES CORP CSFB_04-4                              | CUSIP: 22541SUD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     55142 | PA      | $56094.74     | 0.00%             | 2034-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                       | Energy Transfer LP                                                              | CUSIP: 226373AR9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1432000 | PA      | $1448992.77   | 0.04%             | 2029-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Crowley Conro LLC                                        | Crowley Conro LLC                                                               | CUSIP: 228023AB3<br>LEI: 5493002RTOQUGXZXJJ02 | Long             | DBT              | CORP              | US        |    543612 | PA      | $505320.08    | 0.01%             | 2043-08-15      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| DBWF Mortgage Trust                                      | DBWF Mortgage Trust                                                             | CUSIP: 23306NAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    220484 | PA      | $218512.16    | 0.01%             | 2034-06-10      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DBWF Mortgage Trust                                      | DBWF Mortgage Trust                                                             | CUSIP: 23306NAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3152000 | PA      | $3101446.65   | 0.08%             | 2034-06-10      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| DTE ELECTRIC CO                                          | DTE Electric Co                                                                 | CUSIP: 23338VAA4<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |    453000 | PA      | $377291.81    | 0.01%             | 2043-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DTE ELECTRIC CO                                          | DTE Electric Co                                                                 | CUSIP: 23338VAL0<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |   1205000 | PA      | $794567.35    | 0.02%             | 2050-03-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| DTE ELECTRIC CO                                          | DTE Electric Co                                                                 | CUSIP: 23338VAR7<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |    552000 | PA      | $407480.66    | 0.01%             | 2052-03-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| DT MIDSTREAM INC                                         | DT Midstream Inc                                                                | CUSIP: 23345MAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    250000 | PA      | $246915.24    | 0.01%             | 2029-06-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| DT AUTO OWNER TRUST DTAOT_23-3                           | DT AUTO OWNER TRUST DTAOT_23-3                                                  | CUSIP: 23345WAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1061316.60   | 0.03%             | 2030-05-15      | Fixed         | 10.21%                | No            |                  2 | On Loan: No      |
| DT AUTO OWNER TRUST DTAOT_23-2                           | DT AUTO OWNER TRUST DTAOT_23-2                                                  | CUSIP: 23346CAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $951707.88    | 0.02%             | 2030-04-15      | Fixed         | 11.06%                | No            |                  2 | On Loan: No      |
| DANA INC                                                 | Dana Inc                                                                        | CUSIP: 235825AG1<br>LEI: KVWHW7YLZPFJM8QYNJ51 | Long             | DBT              | CORP              | US        |    250000 | PA      | $249828.76    | 0.01%             | 2028-06-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                          | Danske Bank A/S                                                                 | CUSIP: 23636ABH3<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    320000 | PA      | $332523.12    | 0.01%             | 2030-03-01      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                          | Danske Bank A/S                                                                 | CUSIP: 23636ABJ9<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    524000 | PA      | $527909.95    | 0.01%             | 2030-10-02      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| DARLING INGREDIENTS INC                                  | Darling Ingredients Inc                                                         | CUSIP: 237266AH4<br>LEI: L1N0SPPKS7EXZYUMZ898 | Long             | DBT              | CORP              | US        |    250000 | PA      | $249905.64    | 0.01%             | 2027-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| DataBank Issuer LLC                                      | DataBank Issuer                                                                 | CUSIP: 23802WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2850000 | PA      | $2837116.29   | 0.07%             | 2051-02-27      | Fixed         | 2.06%                 | No            |                  2 | On Loan: No      |
| DAVITA INC                                               | DaVita Inc                                                                      | CUSIP: 23918KAS7<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | DBT              | CORP              | US        |    600000 | PA      | $583864.29    | 0.02%             | 2030-06-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| DEERE & COMPANY                                          | Deere & Co                                                                      | CUSIP: 244199BM6<br>LEI: PWFTNG3EI0Y73OXWDH08 | Long             | DBT              | CORP              | US        |   1634000 | PA      | $1691734.22   | 0.04%             | 2055-01-19      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| JOHN DEERE CAPITAL CORP                                  | John Deere Capital Corp                                                         | CUSIP: 24422EWK1<br>LEI: E0KSF7PFQ210NWI8Z391 | Long             | DBT              | CORP              | US        |   1543000 | PA      | $1554549.72   | 0.04%             | 2027-09-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| JOHN DEERE CAPITAL CORP                                  | John Deere Capital Corp                                                         | CUSIP: 24422EXD6<br>LEI: E0KSF7PFQ210NWI8Z391 | Long             | DBT              | CORP              | US        |   1439000 | PA      | $1451795.61   | 0.04%             | 2026-09-08      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| JOHN DEERE CAPITAL CORP                                  | John Deere Capital Corp                                                         | CUSIP: 24422EXT1<br>LEI: E0KSF7PFQ210NWI8Z391 | Long             | DBT              | CORP              | US        |    255000 | PA      | $262189.09    | 0.01%             | 2029-06-11      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| JOHN DEERE CAPITAL CORP                                  | John Deere Capital Corp                                                         | CUSIP: 24422EXY0<br>LEI: E0KSF7PFQ210NWI8Z391 | Long             | DBT              | CORP              | US        |   1945000 | PA      | $1959378.67   | 0.05%             | 2027-01-08      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JOHN DEERE CAPITAL CORP                                  | John Deere Capital Corp                                                         | CUSIP: 24422EXZ7<br>LEI: E0KSF7PFQ210NWI8Z391 | Long             | DBT              | CORP              | US        |   1370000 | PA      | $1393553.86   | 0.04%             | 2028-01-07      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES INC                                      | Delta Air Lines Inc                                                             | CUSIP: 247361A24<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | DBT              | CORP              | US        |   3146000 | PA      | $3201905.30   | 0.08%             | 2028-07-10      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES INC                                      | Delta Air Lines Inc                                                             | CUSIP: 247361A32<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | DBT              | CORP              | US        |   3539000 | PA      | $3638402.12   | 0.10%             | 2030-07-10      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| DTE ELECTRIC CO                                          | DTE Electric Co                                                                 | CUSIP: 250847EK2<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |    205000 | PA      | $168472.19    | 0.00%             | 2042-06-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                         | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526CT4<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    645000 | PA      | $709129.13    | 0.02%             | 2034-02-10      | Fixed         | 7.08%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                         | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526CV9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    527000 | PA      | $535432.47    | 0.01%             | 2028-02-08      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                         | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526CW7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    290000 | PA      | $301294.75    | 0.01%             | 2029-05-10      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                         | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526DD8<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    450000 | PA      | $448382.13    | 0.01%             | 2031-12-10      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                         | Deutsche Bank AG/New York NY                                                    | CUSIP: 25160PAG2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    315000 | PA      | $292501.73    | 0.01%             | 2033-01-07      | Fixed         | 3.74%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                         | Deutsche Bank AG/New York NY                                                    | CUSIP: 25160PAH0<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    250000 | PA      | $245912.81    | 0.01%             | 2028-01-07      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                         | Deutsche Bank AG/New York NY                                                    | CUSIP: 25160PAN7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    270000 | PA      | $274180.36    | 0.01%             | 2027-07-13      | Fixed         | 7.15%                 | No            |                  2 | On Loan: No      |
| DIAMOND FRGN/DIAMOND FIN                                 | Diamond Foreign Asset Co / Diamond Finance LLC                                  | CUSIP: 25260WAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    295000 | PA      | $313106.65    | 0.01%             | 2030-10-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| DICK'S SPORTING GOODS                                    | Dick's Sporting Goods Inc                                                       | CUSIP: 253393AG7<br>LEI: 529900SSBV5I4LWSK313 | Long             | DBT              | CORP              | US        |   1488000 | PA      | $1087618.38   | 0.03%             | 2052-01-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| DIG INTL FIN/DIFL US LLC                                 | Digicel International Finance Ltd / Difl US LLC                                 | CUSIP: 25381MAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    425000 | PA      | $441175.94    | 0.01%             | 2032-08-01      | Fixed         | 8.63%                 | No            |                  2 | On Loan: No      |
| DIRECTV FIN LLC/COINC                                    | Directv Financing LLC / Directv Financing Co-Obligor Inc                        | CUSIP: 25461LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    375000 | PA      | $377086.16    | 0.01%             | 2027-08-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| DISH NETWORK CORP                                        | DISH Network Corp                                                               | CUSIP: 25470MAG4<br>LEI: 529900U350CWHH15G169 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1040608.67   | 0.03%             | 2027-11-15      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                       | Dominican Republic International Bond                                           | CUSIP: 25714PEE4<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |    450000 | PA      | $400888.24    | 0.01%             | 2060-01-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                                       | Dominican Republic International Bond                                           | CUSIP: 25714PEN4<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |    450000 | PA      | $460919.46    | 0.01%             | 2033-02-22      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                      | Dominion Energy Inc                                                             | CUSIP: 25746UDT3<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    311000 | PA      | $323580.10    | 0.01%             | 2055-02-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                      | Dominion Energy Inc                                                             | CUSIP: 25746UDU0<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    198000 | PA      | $214635.84    | 0.01%             | 2054-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                      | Dominion Energy Inc                                                             | CUSIP: 25746UDV8<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    785000 | PA      | $807862.33    | 0.02%             | 2055-05-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                      | Dominion Energy Inc                                                             | CUSIP: 25746UDZ9<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    508000 | PA      | $511343.35    | 0.01%             | 2056-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                         | Duke Energy Corp                                                                | CUSIP: 26441CBN4<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    639000 | PA      | $443389.83    | 0.01%             | 2051-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                         | Duke Energy Corp                                                                | CUSIP: 26441CCF0<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    234000 | PA      | $231550.40    | 0.01%             | 2054-06-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                         | Duke Energy Corp                                                                | CUSIP: 26441CCJ2<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    787000 | PA      | $780834.23    | 0.02%             | 2035-09-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                                    | Duke Energy Carolinas LLC                                                       | CUSIP: 26442CAM6<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |    183000 | PA      | $161009.71    | 0.00%             | 2041-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                                    | Duke Energy Carolinas LLC                                                       | CUSIP: 26442CBB9<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |    471000 | PA      | $433762.00    | 0.01%             | 2031-04-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                                    | Duke Energy Carolinas LLC                                                       | CUSIP: 26442CBG8<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |   1281000 | PA      | $1173640.50   | 0.03%             | 2032-03-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                                    | Duke Energy Carolinas LLC                                                       | CUSIP: 26442CBH6<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |    933000 | PA      | $671028.15    | 0.02%             | 2052-03-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                                    | Duke Energy Carolinas LLC                                                       | CUSIP: 26442CBK9<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |    904000 | PA      | $867912.41    | 0.02%             | 2053-01-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY OHIO INC                                     | Duke Energy Ohio Inc                                                            | CUSIP: 26442EAJ9<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |    982000 | PA      | $1017398.96   | 0.03%             | 2033-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                                 | Duke Energy Progress LLC                                                        | CUSIP: 26442UAC8<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    236000 | PA      | $179808.93    | 0.00%             | 2046-10-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                                 | Duke Energy Progress LLC                                                        | CUSIP: 26442UAK0<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |   1041000 | PA      | $607456.77    | 0.02%             | 2050-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                                 | Duke Energy Progress LLC                                                        | CUSIP: 26442UAU8<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    614000 | PA      | $625062.54    | 0.02%             | 2035-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY INDIANA LLC                                  | Duke Energy Indiana LLC                                                         | CUSIP: 26443TAC0<br>LEI: 6URPHM2EAWGJ2C6ISB97 | Long             | DBT              | CORP              | US        |   1113000 | PA      | $695514.92    | 0.02%             | 2050-04-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC                                  | Duke Energy Florida LLC                                                         | CUSIP: 26444HAK7<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |   1028000 | PA      | $928973.83    | 0.02%             | 2031-12-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC                                  | Duke Energy Florida LLC                                                         | CUSIP: 26444HAT8<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |    534000 | PA      | $534638.22    | 0.01%             | 2030-12-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC                                  | Duke Energy Florida LLC                                                         | CUSIP: 26444HAU5<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |   1092000 | PA      | $1089273.42   | 0.03%             | 2035-12-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| DUQUESNE LIGHT HOLDINGS                                  | Duquesne Light Holdings Inc                                                     | CUSIP: 266233AH8<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |    216000 | PA      | $196238.43    | 0.01%             | 2030-10-01      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| DYCOM INDUSTRIES INC                                     | Dycom Industries Inc                                                            | CUSIP: 267475AD3<br>LEI: 549300F56EKTHQI3WT60 | Long             | DBT              | CORP              | US        |    305000 | PA      | $300926.42    | 0.01%             | 2029-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ENI SPA                                                  | Eni SpA                                                                         | CUSIP: 26874RAP3<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |   1228000 | PA      | $1218937.95   | 0.03%             | 2054-05-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                                        | EOG Resources Inc                                                               | CUSIP: 26875PBB6<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |   2286000 | PA      | $2294292.68   | 0.06%             | 2031-01-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                 | EQT Corp                                                                        | CUSIP: 26884LBD0<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |   1775000 | PA      | $1786739.83   | 0.05%             | 2031-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| EAGLE MATERIALS INC                                      | Eagle Materials Inc                                                             | CUSIP: 26969PAC2<br>LEI: 529900KRXRGXL61SG039 | Long             | DBT              | CORP              | US        |   2018000 | PA      | $1976732.20   | 0.05%             | 2036-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PERMIAN RESOURC OPTG LLC                                 | Permian Resources Operating LLC                                                 | CUSIP: 27034RAC7<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |    160000 | PA      | $172053.15    | 0.00%             | 2031-07-15      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| EATON CAPITAL ULC                                        | Eaton Capital ULC                                                               | CUSIP: 27806HAA9<br>LEI: 549300OLS85LSODKAF64 | Long             | DBT              | CORP              | IE        |   1064000 | PA      | $1075231.06   | 0.03%             | 2030-05-09      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| ECHOSTAR CORP                                            | EchoStar Corp                                                                   | CUSIP: 278768AC0<br>LEI: 549300EE20907QZ9GT38 | Long             | DBT              | CORP              | US        |     85000 | PA      | $93882.90     | 0.00%             | 2029-11-30      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                             | Ecopetrol SA                                                                    | CUSIP: 279158AV1<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |    150000 | PA      | $154157.84    | 0.00%             | 2036-01-19      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| EDGEWELL PERSONAL CARE                                   | Edgewell Personal Care Co                                                       | CUSIP: 28035QAA0<br>LEI: 549300CY8QZDL4Z3RU59 | Long             | DBT              | CORP              | US        |    508000 | PA      | $508321.67    | 0.01%             | 2028-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                     | Edison International                                                            | CUSIP: 281020AX5<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    572000 | PA      | $595167.44    | 0.02%             | 2053-06-15      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                     | Edison International                                                            | CUSIP: 281020BA4<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    110000 | PA      | $111863.11    | 0.00%             | 2029-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF EL SALVADOR                                  | El Salvador Government International Bond                                       | CUSIP: 283875CG5<br>LEI: 529900AKDMUSFSDOM949 | Long             | DBT              | NUSS              | SV        |    500000 | PA      | $571873.33    | 0.02%             | 2054-11-21      | Fixed         | 9.65%                 | No            |                  2 | On Loan: No      |
| ELASTIC NV                                               | Elastic NV                                                                      | CUSIP: 28415LAA1<br>LEI: 2549003I48WHHH937I59 | Long             | DBT              | CORP              | NL        |    300000 | PA      | $290172.75    | 0.01%             | 2029-07-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE SA                                 | Electricite de France SA                                                        | CUSIP: 28504DAD5<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |    560000 | PA      | $617824.53    | 0.02%             | 2053-05-23      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| EMBRAER NETHERLANDS FINA                                 | Embraer Netherlands Finance BV                                                  | CUSIP: 29082HAE2<br>LEI: 724500PBR8LR26XBSP67 | Long             | DBT              | CORP              | NL        |   1254000 | PA      | $1330150.91   | 0.03%             | 2035-02-11      | Fixed         | 5.98%                 | No            |                  2 | On Loan: No      |
| EMBRAER NETHERLANDS FINA                                 | Embraer Netherlands Finance BV                                                  | CUSIP: 29082HAF9<br>LEI: 724500PBR8LR26XBSP67 | Long             | DBT              | CORP              | NL        |   1195000 | PA      | $1174820.44   | 0.03%             | 2038-01-09      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| EMERA INC                                                | Emera Inc                                                                       | CUSIP: 290876AD3<br>LEI: NQZVQT2P5IUF2PGA1Q48 | Long             | DBT              | CORP              | CA        |    161000 | PA      | $161952.72    | 0.00%             | 2076-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| EMRLD BOR / EMRLD CO-ISS                                 | EMRLD Borrower LP / Emerald Co-Issuer Inc                                       | CUSIP: 29103CAA6<br>LEI: 98450099EE3A0ZD5F786 | Long             | DBT              | CORP              | US        |    965000 | PA      | $1004900.77   | 0.03%             | 2030-12-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| EMERA US FINANCE LP                                      | Emera US Finance LP                                                             | CUSIP: 29103DAM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    360000 | PA      | $307769.34    | 0.01%             | 2046-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| EMERA US FINANCE LP                                      | Emera US Finance LP                                                             | CUSIP: 29103DAT3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    350000 | PA      | $316375.19    | 0.01%             | 2031-06-15      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                             | Enbridge Inc                                                                    | CUSIP: 29250NBS3<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    300000 | PA      | $320913.87    | 0.01%             | 2084-01-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                             | Enbridge Inc                                                                    | CUSIP: 29250NBT1<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    684000 | PA      | $784151.02    | 0.02%             | 2084-01-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| ENCOMPASS HEALTH CORP                                    | Encompass Health Corp                                                           | CUSIP: 29261AAB6<br>LEI: 549300FVRPM9DRQZRG64 | Long             | DBT              | CORP              | US        |    445000 | PA      | $443634.95    | 0.01%             | 2030-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ENERGIZER HOLDINGS INC                                   | Energizer Holdings Inc                                                          | CUSIP: 29272WAC3<br>LEI: 5493000D6NN0V57UME20 | Long             | DBT              | CORP              | US        |    245000 | PA      | $242207.50    | 0.01%             | 2028-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                       | Energy Transfer LP                                                              | CUSIP: 29273RBL2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    790000 | PA      | $702777.49    | 0.02%             | 2047-04-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                       | Energy Transfer LP                                                              | CUSIP: 29273VAW0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   3176000 | PA      | $3013596.42   | 0.08%             | 2054-05-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                       | Energy Transfer LP                                                              | CUSIP: 29273VAZ3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   3448000 | PA      | $3549175.47   | 0.09%             | 2029-07-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                       | Energy Transfer LP                                                              | CUSIP: 29273VBB5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    794000 | PA      | $764055.44    | 0.02%             | 2054-09-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                       | Energy Transfer LP                                                              | CUSIP: 29273VBE9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   2306000 | PA      | $2388294.47   | 0.06%             | 2035-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                       | Energy Transfer LP                                                              | CUSIP: 29273VBG4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1015000 | PA      | $1012117.93   | 0.03%             | 2056-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                                     | Enel Finance International NV                                                   | CUSIP: 29278GAF5<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    335000 | PA      | $330548.82    | 0.01%             | 2028-04-06      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                                     | Enel Finance International NV                                                   | CUSIP: 29278GAP3<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    679000 | PA      | $610645.88    | 0.02%             | 2031-07-12      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                                     | Enel Finance International NV                                                   | CUSIP: 29278GBD9<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    605000 | PA      | $620643.65    | 0.02%             | 2029-06-26      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                                     | Enel Finance International NV                                                   | CUSIP: 29278GBE7<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    911000 | PA      | $945114.19    | 0.02%             | 2034-06-26      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                                     | Enel Finance International NV                                                   | CUSIP: 29278GBH0<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |   1195000 | PA      | $1187256.84   | 0.03%             | 2035-09-30      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                       | Energy Transfer LP                                                              | CUSIP: 29278NAR4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    231000 | PA      | $193581.48    | 0.01%             | 2050-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ENTEGRIS INC                                             | Entegris Inc                                                                    | CUSIP: 29362UAC8<br>LEI: IYX6OWO7BT5DKO3BYG52 | Long             | DBT              | CORP              | US        |    400000 | PA      | $397139.41    | 0.01%             | 2028-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| ENTERGY CORP                                             | Entergy Corp                                                                    | CUSIP: 29364GAQ6<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | DBT              | CORP              | US        |    544000 | PA      | $571730.72    | 0.02%             | 2054-12-01      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA LLC                                    | Entergy Louisiana LLC                                                           | CUSIP: 29364WBD9<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    514000 | PA      | $322578.91    | 0.01%             | 2051-03-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA LLC                                    | Entergy Louisiana LLC                                                           | CUSIP: 29364WBN7<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    211000 | PA      | $210279.33    | 0.01%             | 2054-03-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| ENTEGRIS INC                                             | Entegris Inc                                                                    | CUSIP: 29365BAB9<br>LEI: IYX6OWO7BT5DKO3BYG52 | Long             | DBT              | CORP              | US        |    275000 | PA      | $280428.83    | 0.01%             | 2030-06-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| ENTERGY TEXAS INC                                        | Entergy Texas Inc                                                               | CUSIP: 29365TAK0<br>LEI: LWXX58X12AJXISQ28573 | Long             | DBT              | CORP              | US        |    979000 | PA      | $863886.87    | 0.02%             | 2031-03-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| ENTERGY TEXAS INC                                        | Entergy Texas Inc                                                               | CUSIP: 29365TAP9<br>LEI: LWXX58X12AJXISQ28573 | Long             | DBT              | CORP              | US        |    299000 | PA      | $290213.40    | 0.01%             | 2054-09-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| ENTERGY ARKANSAS LLC                                     | Entergy Arkansas LLC                                                            | CUSIP: 29366MAB4<br>LEI: 549300A0I5ONUIFMLP35 | Long             | DBT              | CORP              | US        |    929000 | PA      | $553618.84    | 0.01%             | 2051-06-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| ENTERGY ARKANSAS LLC                                     | Entergy Arkansas LLC                                                            | CUSIP: 29366MAD0<br>LEI: 549300A0I5ONUIFMLP35 | Long             | DBT              | CORP              | US        |   1548000 | PA      | $1601601.85   | 0.04%             | 2033-01-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| ENTERGY TEXAS RESTORATION FUNDING II LLC                 | ENTERGY TEXAS RESTORATION FUNDING II LLC                                        | CUSIP: 29366NAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    585000 | PA      | $552920.14    | 0.01%             | 2035-12-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| ENTERGY MISSISSIPPI LLC                                  | Entergy Mississippi LLC                                                         | CUSIP: 29366WAD8<br>LEI: 54930043I78H35DVVW89 | Long             | DBT              | CORP              | US        |    292000 | PA      | $297180.34    | 0.01%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ENTERGY MISSISSIPPI LLC                                  | Entergy Mississippi LLC                                                         | CUSIP: 29366WAG1<br>LEI: 54930043I78H35DVVW89 | Long             | DBT              | CORP              | US        |   1009000 | PA      | $1015634.11   | 0.03%             | 2055-04-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                 | Enterprise Products Operating LLC                                               | CUSIP: 293791AP4<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    485000 | PA      | $546175.38    | 0.01%             | 2034-10-15      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                 | Enterprise Products Operating LLC                                               | CUSIP: 29379VCL5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    270000 | PA      | $274800.57    | 0.01%             | 2036-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| EQUINIX EU 2 FINANCING C                                 | Equinix Europe 2 Financing Corp LLC                                             | CUSIP: 29390XAG9<br>LEI: 254900FSZR46BPMCKI50 | Long             | DBT              |  | US        |   1682000 | PA      | $1687411.89   | 0.04%             | 2030-11-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| EQUINOR ASA                                              | Equinor ASA                                                                     | CUSIP: 29446MAM4<br>LEI: OW6OFBNCKXC4US5C7523 | Long             | DBT              | CORP              | NO        |    673000 | PA      | $682922.19    | 0.02%             | 2030-09-03      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| EQUINOR ASA                                              | Equinor ASA                                                                     | CUSIP: 29446MAN2<br>LEI: OW6OFBNCKXC4US5C7523 | Long             | DBT              | CORP              | NO        |    677000 | PA      | $695823.13    | 0.02%             | 2035-06-03      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| EQUINOR ASA                                              | Equinor ASA                                                                     | CUSIP: 29446MAP7<br>LEI: OW6OFBNCKXC4US5C7523 | Long             | DBT              | CORP              | NO        |   1548000 | PA      | $1540662.48   | 0.04%             | 2035-11-14      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ESSEX PORTFOLIO LP                                       | Essex Portfolio LP                                                              | CUSIP: 29717PAW7<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              |  | US        |    180000 | PA      | $157112.93    | 0.00%             | 2031-01-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| ESSEX PORTFOLIO LP                                       | Essex Portfolio LP                                                              | CUSIP: 29717PAZ0<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              |  | US        |    687000 | PA      | $622953.07    | 0.02%             | 2031-06-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| ESSEX PORTFOLIO LP                                       | Essex Portfolio LP                                                              | CUSIP: 29717PBA4<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              |  | US        |    352000 | PA      | $364566.79    | 0.01%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION EN GEN LLC                                 | Constellation Energy Generation LLC                                             | CUSIP: 30161MAJ2<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    475000 | PA      | $483677.83    | 0.01%             | 2041-10-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION EN GEN LLC                                 | Constellation Energy Generation LLC                                             | CUSIP: 30161MAN3<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    349000 | PA      | $350607.64    | 0.01%             | 2042-06-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                              | Exelon Corp                                                                     | CUSIP: 30161NBS9<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |   1553000 | PA      | $1557957.40   | 0.04%             | 2055-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                      | Exeter Automobile Receivables Trust 2023-4                                      | CUSIP: 30166TAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2035000 | PA      | $2173516.55   | 0.06%             | 2031-02-18      | Fixed         | 9.57%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                      | Exeter Automobile Receivables Trust 2022-3                                      | CUSIP: 30166YAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7000000 | PA      | $7252022.40   | 0.19%             | 2030-01-15      | Fixed         | 9.09%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                      | Exeter Automobile Receivables Trust 2022-5                                      | CUSIP: 30167FAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4917751 | PA      | $4991965.27   | 0.13%             | 2029-02-15      | Fixed         | 7.40%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                      | Exeter Automobile Receivables Trust 2023-2                                      | CUSIP: 30168CAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    863000 | PA      | $937325.79    | 0.02%             | 2030-11-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                      | Exeter Automobile Receivables Trust 2023-5                                      | CUSIP: 30168DAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2934000 | PA      | $3031262.98   | 0.08%             | 2030-02-15      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| EXPORT FIN & INS CORP                                    | Export Finance & Insurance Corp                                                 | CUSIP: 30220L2B9<br>LEI: 213800XAAULSUYWPBB61 | Long             | DBT              | NUSS              | AU        |   2720000 | PA      | $2766202.15   | 0.07%             | 2027-10-26      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                   | Extra Space Storage LP                                                          | CUSIP: 30225VAN7<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              |  | US        |    159000 | PA      | $157511.22    | 0.00%             | 2029-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FMC GMSR ISSUER TRUST                                    | FMC GMSR Issuer Trust                                                           | CUSIP: 30259RAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4988446.85   | 0.13%             | 2026-01-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                    | FMC GMSR Issuer Trust                                                           | CUSIP: 30259RAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $5790400.20   | 0.15%             | 2026-07-25      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                    | FMC GMSR Issuer Trust                                                           | CUSIP: 30259RAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3828000 | PA      | $3687596.62   | 0.10%             | 2026-10-25      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                    | FMC GMSR Issuer Trust                                                           | CUSIP: 30259RAN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $6028389.60   | 0.16%             | 2027-04-25      | Fixed         | 7.17%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                    | FMC GMSR Issuer Trust                                                           | CUSIP: 30259RAR6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6275000 | PA      | $6356268.15   | 0.17%             | 2027-03-26      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FS KKR CAPITAL CORP                                      | FS KKR Capital Corp                                                             | CUSIP: 302635AP2<br>LEI: 549300TYRSI1T21B1360 | Long             | DBT              | CORP              | US        |   1543000 | PA      | $1519727.11   | 0.04%             | 2030-01-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                       | Meta Platforms Inc                                                              | CUSIP: 30303M8Q8<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    635000 | PA      | $608521.54    | 0.02%             | 2053-05-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                       | Meta Platforms Inc                                                              | CUSIP: 30303M8V7<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   1988000 | PA      | $1849735.52   | 0.05%             | 2054-08-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                       | Meta Platforms Inc                                                              | CUSIP: 30303M8W5<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   2153000 | PA      | $1999985.77   | 0.05%             | 2064-08-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                       | Meta Platforms Inc                                                              | CUSIP: 30303M8X3<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   1596000 | PA      | $1551195.69   | 0.04%             | 2045-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                       | Meta Platforms Inc                                                              | CUSIP: 30303M8Y1<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    671000 | PA      | $640992.91    | 0.02%             | 2065-11-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                       | Meta Platforms Inc                                                              | CUSIP: 30303MAB8<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   2892000 | PA      | $2897259.61   | 0.08%             | 2030-11-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                       | Meta Platforms Inc                                                              | CUSIP: 30303MAC6<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   2300000 | PA      | $2318873.41   | 0.06%             | 2032-11-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                       | Meta Platforms Inc                                                              | CUSIP: 30303MAD4<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   3688000 | PA      | $3685172.38   | 0.10%             | 2035-11-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                       | Meta Platforms Inc                                                              | CUSIP: 30303MAE2<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   1816000 | PA      | $1745930.06   | 0.05%             | 2055-11-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| FS LUXEMBOURG SARL                                       | FS Luxembourg Sarl                                                              | CUSIP: 30315XAC8<br>LEI: 222100EKR3JUJPGGOY81 | Long             | DBT              | CORP              | LU        |    385000 | PA      | $401058.41    | 0.01%             | 2031-02-12      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| FRTKL                                                    | FRTKL 2021-SFR1                                                                 | CUSIP: 30322DAL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4400000 | PA      | $4301234.52   | 0.11%             | 2038-09-17      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| FRTKL                                                    | FRTKL FRTKL_21-SFR1                                                             | CUSIP: 30322DAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3709000 | PA      | $3630199.70   | 0.10%             | 2038-09-17      | Fixed         | 2.37%                 | No            |                  2 | On Loan: No      |
| FRTKL                                                    | FRTKL 2021-SFR1                                                                 | CUSIP: 30322DAU3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2781000 | PA      | $2719937.03   | 0.07%             | 2038-09-17      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| FAIR ISAAC CORP                                          | Fair Isaac Corp                                                                 | CUSIP: 303250AG9<br>LEI: RI6HET5SJUEY30V1PS26 | Long             | DBT              | CORP              | US        |    100000 | PA      | $102532.44    | 0.00%             | 2033-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                         | Freddie Mac Strips                                                              | CUSIP: 31282YNU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    122341 | PA      | $15580.20     | 0.00%             | 2036-08-15      | Floating      | 3.60%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                         | FREDDIE MAC GOLD                                                                | CUSIP: 31288LRR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     42267 | PA      | $42988.06     | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | FREDDIE MAC GOLD                                                                | CUSIP: 31288LUU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    202280 | PA      | $210460.35    | 0.01%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Non Gold Pool                                                       | CUSIP: 31288QAQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    690645 | PA      | $722249.59    | 0.02%             | 2048-11-01      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Non Gold Pool                                                       | CUSIP: 31288QFW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1234437 | PA      | $1255443.86   | 0.03%             | 2050-02-01      | Floating      | 3.09%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Non Gold Pool                                                       | CUSIP: 31288QWH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1954905 | PA      | $1953681.06   | 0.05%             | 2053-03-01      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Non Gold Pool                                                       | CUSIP: 31288QWY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3836096 | PA      | $3863144.96   | 0.10%             | 2053-05-01      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Non Gold Pool                                                       | CUSIP: 31288RCK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1650416 | PA      | $1663162.90   | 0.04%             | 2054-10-01      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Non Gold Pool                                                       | CUSIP: 31288RDM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    765864 | PA      | $775974.04    | 0.02%             | 2054-02-01      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Non Gold Pool                                                       | CUSIP: 31288RE46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2021639 | PA      | $2041634.76   | 0.05%             | 2055-01-01      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Non Gold Pool                                                       | CUSIP: 31288RGF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1022359 | PA      | $1040548.11   | 0.03%             | 2055-08-01      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                         | Freddie Mac Strips                                                              | CUSIP: 3128HXKY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1498120 | PA      | $1416115.86   | 0.04%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                         | Freddie Mac Strips                                                              | CUSIP: 3128HXMV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    194636 | PA      | $179587.38    | 0.00%             | 2042-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | FREDDIE MAC GOLD                                                                | CUSIP: 3128M52J8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     42966 | PA      | $45647.95     | 0.00%             | 2038-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Gold Pool                                                           | CUSIP: 3128M5A75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    297647 | PA      | $315083.23    | 0.01%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJYT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2358746 | PA      | $2142554.48   | 0.06%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Gold Pool                                                           | CUSIP: 3128P7C84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12473 | PA      | $12537.82     | 0.00%             | 2026-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                         | FREDDIE MAC GOLD                                                                | CUSIP: 312927B88<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     49896 | PA      | $52636.22     | 0.00%             | 2038-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | FEDERAL HOME LOAN MORTGAGE CORPORATION                                          | CUSIP: 31300LJJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     22744 | PA      | $23492.37     | 0.00%             | 2036-07-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Non Gold Pool                                                       | CUSIP: 31300LUY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47448 | PA      | $49430.49     | 0.00%             | 2040-07-01      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3131Y1WR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    831092 | PA      | $825452.84    | 0.02%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3132A5AL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    862048 | PA      | $796912.72    | 0.02%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3132A5DF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2896317 | PA      | $2660315.84   | 0.07%             | 2045-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3132A5DS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1657151 | PA      | $1516985.32   | 0.04%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3132ADME5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1442143 | PA      | $1338571.73   | 0.04%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                   | FEDERAL HOME LOAN MORTGAGE CORPORATION                                          | CUSIP: 3132AEN51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1643281 | PA      | $1587305.49   | 0.04%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3132AEQT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3868329 | PA      | $3577097.46   | 0.09%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3132AEUB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1551625 | PA      | $1436258.50   | 0.04%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3132AEV52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1022627 | PA      | $945979.51    | 0.02%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3132AEXD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1756644 | PA      | $1528570.76   | 0.04%             | 2046-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3132CWWX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1056915 | PA      | $1008248.15   | 0.03%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3132CXVT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2109493 | PA      | $2083770.15   | 0.05%             | 2033-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3132DM5F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     81938 | PA      | $70472.29     | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3132DMBC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2514805 | PA      | $2292606.94   | 0.06%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3132DMWN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1956633 | PA      | $1689867.42   | 0.04%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3132DNDB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    974279 | PA      | $837944.65    | 0.02%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3132DNGM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4294628 | PA      | $4179036.27   | 0.11%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                   | FEDERAL HOME LOAN MORTGAGE CORPORATION                                          | CUSIP: 3132DNNU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4957851 | PA      | $4865890.82   | 0.13%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3132DNWM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    897283 | PA      | $814996.16    | 0.02%             | 2049-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                   | FEDERAL HOME LOAN MORTGAGE CORPORATION                                          | CUSIP: 3132DPRW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3998606 | PA      | $3724016.28   | 0.10%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3132DPXU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1948993 | PA      | $1805294.69   | 0.05%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3132DSS45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    568457 | PA      | $527597.00    | 0.01%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3132DTZW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1984769 | PA      | $1796868.90   | 0.05%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3132DUD20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8924212 | PA      | $9370895.00   | 0.25%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3132DUDZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4694436 | PA      | $4938378.52   | 0.13%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3132DUKW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4119755 | PA      | $4369625.83   | 0.11%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3132DV7A7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4734949 | PA      | $4046905.95   | 0.11%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3132DVL29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4740254 | PA      | $4105101.11   | 0.11%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3132DVL52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    903038 | PA      | $780160.73    | 0.02%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3132DVLC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1544965 | PA      | $1337828.01   | 0.04%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3132DVLF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1061116 | PA      | $916522.78    | 0.02%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3132E0A44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7798206 | PA      | $7085031.97   | 0.19%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3132E0TX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1084727 | PA      | $984294.97    | 0.03%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Gold Pool                                                           | CUSIP: 3132FCAZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16841 | PA      | $17548.52     | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Gold Pool                                                           | CUSIP: 3132FCH99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7867773 | PA      | $7244695.73   | 0.19%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Gold Pool                                                           | CUSIP: 3132FCHL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    944802 | PA      | $873609.28    | 0.02%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Gold Pool                                                           | CUSIP: 3132FCKB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2357902 | PA      | $2183209.22   | 0.06%             | 2044-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                         | FREDDIE MAC GOLD                                                                | CUSIP: 3132G7H73<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    130534 | PA      | $126978.32    | 0.00%             | 2033-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                         | FREDDIE MAC GOLD                                                                | CUSIP: 3132G7HK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    185846 | PA      | $178432.82    | 0.00%             | 2033-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                         | Freddie Mac Strips                                                              | CUSIP: 3132HT3R5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4052733 | PA      | $4039099.07   | 0.11%             | 2044-03-15      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                         | Freddie Mac Strips                                                              | CUSIP: 3132HTJV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    168971 | PA      | $154799.37    | 0.00%             | 2043-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                         | Freddie Mac Strips                                                              | CUSIP: 3132HTSS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    647984 | PA      | $488595.87    | 0.01%             | 2043-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Gold Pool                                                           | CUSIP: 3132VLHS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    602899 | PA      | $608134.55    | 0.02%             | 2048-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | FEDERAL HOME LOAN MORTGAGE CORPORATION                                          | CUSIP: 31334WFA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    542522 | PA      | $523023.14    | 0.01%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Gold Pool                                                           | CUSIP: 31335PMN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65894 | PA      | $68392.43     | 0.00%             | 2038-10-17      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | FHLMC_2399                                                                      | CUSIP: 31339MWA2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     52184 | PA      | $54720.55     | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                   | FEDERAL HOME LOAN MORTGAGE CORPORATION                                          | CUSIP: 3133A4LM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2010739 | PA      | $1721289.27   | 0.05%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3133AUP44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5972418 | PA      | $5139913.32   | 0.13%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3133B1BM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2835831 | PA      | $2349473.42   | 0.06%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3133B3ZD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    789255 | PA      | $642805.12    | 0.02%             | 2047-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3133B5NK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    467423 | PA      | $400892.39    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                   | FEDERAL HOME LOAN MORTGAGE CORPORATION                                          | CUSIP: 3133B5NM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4501794 | PA      | $3867880.78   | 0.10%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                   | FEDERAL HOME LOAN MORTGAGE CORPORATION                                          | CUSIP: 3133B6YK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3475880 | PA      | $3319312.67   | 0.09%             | 2052-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3133B7FK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1715916 | PA      | $1473758.98   | 0.04%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                   | FEDERAL HOME LOAN MORTGAGE CORPORATION                                          | CUSIP: 3133BH7C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4166732 | PA      | $3976861.00   | 0.10%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3133KGYU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    882612 | PA      | $849797.39    | 0.02%             | 2049-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3133KLUA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3877845 | PA      | $3358288.08   | 0.09%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3133KNJJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18708373 | PA      | $16149419.83  | 0.42%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3133KYT90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4911902 | PA      | $4363232.47   | 0.11%             | 2040-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3133KYTV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4595236 | PA      | $4087684.56   | 0.11%             | 2040-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3133KYWP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1012531 | PA      | $904434.93    | 0.02%             | 2042-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3133KYWS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2654453 | PA      | $2379148.22   | 0.06%             | 2042-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                              | FREDDIE MAC FHLMC_2127                                                          | CUSIP: 3133TJM34<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      6347 | PA      | $6401.27      | 0.00%             | 2029-02-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3133TLEK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10136 | PA      | $10329.01     | 0.00%             | 2029-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                       | FREDDIE MAC FHLMC_2326                                                          | CUSIP: 3133TTX48<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     54903 | PA      | $56367.43     | 0.00%             | 2031-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3133USH20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1138925 | PA      | $1029387.28   | 0.03%             | 2043-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3133USHW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1324913 | PA      | $1194482.73   | 0.03%             | 2046-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_197                                    | FREDDIE MAC FHLMC_197                                                           | CUSIP: 31351BWQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     16057 | PA      | $15498.26     | 0.00%             | 2028-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | FNMA_99-7                                                                       | CUSIP: 31359VLW1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     22656 | PA      | $22942.35     | 0.00%             | 2029-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | FANNIE MAE FNMA_11-75                                                           | CUSIP: 3136A0GK7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     50173 | PA      | $50054.93     | 0.00%             | 2041-08-25      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | FANNIE MAE FNMA_11-118                                                          | CUSIP: 3136A12F1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    185173 | PA      | $197547.12    | 0.01%             | 2041-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136A14A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1006646 | PA      | $997855.29    | 0.03%             | 2041-11-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136A14M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    435351 | PA      | $431407.38    | 0.01%             | 2041-11-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | FANNIE MAE FNMA_11-118                                                          | CUSIP: 3136A1Y82<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    214320 | PA      | $229336.03    | 0.01%             | 2041-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136A2HP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1055772 | PA      | $1029486.60   | 0.03%             | 2041-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136A2SV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    463906 | PA      | $459352.64    | 0.01%             | 2041-12-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136A32U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    460956 | PA      | $457514.16    | 0.01%             | 2042-02-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136A3NR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    525547 | PA      | $521782.85    | 0.01%             | 2042-01-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136A6EJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    618836 | PA      | $614139.39    | 0.02%             | 2042-05-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136A9AN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    408601 | PA      | $403975.16    | 0.01%             | 2042-10-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136ABZ63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37199 | PA      | $34397.86     | 0.00%             | 2043-01-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136AD7G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    576886 | PA      | $503776.05    | 0.01%             | 2043-05-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                        | FNMA_13-59                                                                      | CUSIP: 3136AEG50<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1000000 | PA      | $839970.50    | 0.02%             | 2043-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_13-90                                    | FANNIE MAE FNMA_13-90                                                           | CUSIP: 3136AF6H2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    989242 | PA      | $969940.09    | 0.03%             | 2033-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA_13-81                                               | FNMA_13-81                                                                      | CUSIP: 3136AFK60<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    392874 | PA      | $388160.24    | 0.01%             | 2043-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_13-101                                   | FANNIE MAE FNMA_13-101                                                          | CUSIP: 3136AGA69<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1438125 | PA      | $1403619.45   | 0.04%             | 2033-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136AGGA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    465475 | PA      | $349295.90    | 0.01%             | 2043-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_13-108                                   | FANNIE MAE FNMA_13-108                                                          | CUSIP: 3136AGMM1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1184083 | PA      | $1148221.68   | 0.03%             | 2033-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNR 2013 100 WB                               | FANNIE MAE FNMA_13-100                                                          | CUSIP: 3136AGWP3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1521354 | PA      | $1476525.27   | 0.04%             | 2033-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136AGZH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    716615 | PA      | $534130.63    | 0.01%             | 2043-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136AHNE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    423637 | PA      | $323232.72    | 0.01%             | 2043-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136AJ3U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1040258 | PA      | $959301.97    | 0.03%             | 2044-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136ALXB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    527108 | PA      | $519990.79    | 0.01%             | 2044-11-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136AMUK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1787102 | PA      | $1618151.29   | 0.04%             | 2045-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136AQAD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    751000 | PA      | $663203.97    | 0.02%             | 2045-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136AQQT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    273025 | PA      | $258819.65    | 0.01%             | 2033-08-25      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136ARD54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2921215 | PA      | $2898244.04   | 0.08%             | 2046-04-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136ARF86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1577013 | PA      | $1561850.85   | 0.04%             | 2046-04-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136ARG93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1380221 | PA      | $1366677.16   | 0.04%             | 2046-04-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136ARPM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    600836 | PA      | $594308.83    | 0.02%             | 2046-03-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136ARQU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    794146 | PA      | $785514.19    | 0.02%             | 2046-03-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136AT4D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    957541 | PA      | $949712.27    | 0.02%             | 2046-10-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136AT6K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2451203 | PA      | $2427460.01   | 0.06%             | 2046-11-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136ATA53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1010056 | PA      | $1001289.35   | 0.03%             | 2046-10-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136ATEP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3349231 | PA      | $2883504.41   | 0.08%             | 2046-06-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136ATLW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1315953 | PA      | $1239669.36   | 0.03%             | 2038-06-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136ATTP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    847000 | PA      | $656064.69    | 0.02%             | 2046-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136ATUD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1150254 | PA      | $1082984.90   | 0.03%             | 2046-09-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136AUAS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1567997 | PA      | $1553373.85   | 0.04%             | 2046-11-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136AUBK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1687103 | PA      | $1673582.60   | 0.04%             | 2046-11-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136AUEC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    605148 | PA      | $599000.87    | 0.02%             | 2044-03-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136AUGJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    971439 | PA      | $963339.78    | 0.03%             | 2046-11-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136AUKJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    934330 | PA      | $925401.81    | 0.02%             | 2046-11-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136AURK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    677131 | PA      | $672172.38    | 0.02%             | 2046-12-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136AUTG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1313988 | PA      | $1303986.72   | 0.03%             | 2046-12-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136AV5J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1066242 | PA      | $1056616.84   | 0.03%             | 2047-04-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust                                  | Fannie Mae Grantor Trust 2017-T1                                                | CUSIP: 3136AV6R5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2744721 | PA      | $2706798.02   | 0.07%             | 2027-06-25      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136AVFH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4596787 | PA      | $4336212.57   | 0.11%             | 2046-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136AVP94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3006463 | PA      | $2669627.74   | 0.07%             | 2047-04-25      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136AVRD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    291270 | PA      | $288846.55    | 0.01%             | 2047-03-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136AVTN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    937542 | PA      | $929582.80    | 0.02%             | 2047-03-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136AVWS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    933242 | PA      | $925292.61    | 0.02%             | 2047-03-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136AVWX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    836388 | PA      | $829283.37    | 0.02%             | 2047-03-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136AVXA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    346432 | PA      | $343559.72    | 0.01%             | 2047-03-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136AWBV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1933372 | PA      | $1915482.16   | 0.05%             | 2047-04-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136AWNE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    595760 | PA      | $581396.82    | 0.02%             | 2044-12-25      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                           | Fannie Mae-Aces                                                                 | CUSIP: 3136AWWF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    855139 | PA      | $833520.46    | 0.02%             | 2029-04-25      | Variable      | 3.02%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                           | Fannie Mae-Aces                                                                 | CUSIP: 3136AX7E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1203990 | PA      | $1190573.79   | 0.03%             | 2027-06-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136AY7F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    314032 | PA      | $309852.60    | 0.01%             | 2048-01-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136AYPC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    688815 | PA      | $682715.12    | 0.02%             | 2047-10-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136B0AG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1225402 | PA      | $1208715.89   | 0.03%             | 2047-12-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136B0WX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    395901 | PA      | $390793.64    | 0.01%             | 2048-02-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136B1FM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72691 | PA      | $69895.52     | 0.00%             | 2048-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                           | Fannie Mae-Aces                                                                 | CUSIP: 3136B1LF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    605249 | PA      | $584012.40    | 0.02%             | 2030-02-25      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136B1Q49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1794507 | PA      | $1729289.06   | 0.05%             | 2048-06-25      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                           | Fannie Mae-Aces                                                                 | CUSIP: 3136B1XJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    894438 | PA      | $881572.55    | 0.02%             | 2028-03-25      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136B22V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1070198 | PA      | $965114.88    | 0.03%             | 2048-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136B2DN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1583979 | PA      | $1565729.72   | 0.04%             | 2048-06-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136B2EV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1154445 | PA      | $1048654.56   | 0.03%             | 2048-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                           | Fannie Mae-Aces                                                                 | CUSIP: 3136B2HA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2579734 | PA      | $2553525.04   | 0.07%             | 2028-07-25      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136B2TN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1350543 | PA      | $1305205.56   | 0.03%             | 2048-08-25      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136B36T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    591721 | PA      | $582244.89    | 0.02%             | 2049-04-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136B3QB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    809774 | PA      | $791495.77    | 0.02%             | 2048-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNR 2019 8 GA                                 | FNMA_19-8                                                                       | CUSIP: 3136B3W30<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   2714778 | PA      | $2435221.46   | 0.06%             | 2049-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136B4B64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1215534 | PA      | $1144631.90   | 0.03%             | 2048-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136B4GU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    671509 | PA      | $618441.81    | 0.02%             | 2049-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136B5D77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1490906 | PA      | $1462883.61   | 0.04%             | 2059-08-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136B5ZS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1154158 | PA      | $1135996.45   | 0.03%             | 2049-08-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136B64V2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    644093 | PA      | $634948.44    | 0.02%             | 2049-11-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136B8DW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    825310 | PA      | $753377.77    | 0.02%             | 2049-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                           | Fannie Mae-Aces                                                                 | CUSIP: 3136B8TG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4765345 | PA      | $4393143.73   | 0.12%             | 2030-01-25      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136BAHP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2155678 | PA      | $2064686.19   | 0.05%             | 2035-06-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136BAUL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1577554 | PA      | $1330692.32   | 0.03%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136BBKP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1282251 | PA      | $1208882.50   | 0.03%             | 2040-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                           | Fannie Mae-Aces                                                                 | CUSIP: 3136BDXR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  26490531 | PA      | $1701518.58   | 0.04%             | 2033-11-25      | Variable      | 1.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136BHAA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3175719 | PA      | $2607856.12   | 0.07%             | 2051-05-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136BK2Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1464165 | PA      | $1323186.64   | 0.03%             | 2049-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                           | Fannie Mae-Aces                                                                 | CUSIP: 3136BMXZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7800000 | PA      | $6891228.24   | 0.18%             | 2032-01-25      | Variable      | 1.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136BN2C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    852166 | PA      | $805809.34    | 0.02%             | 2052-09-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                           | Fannie Mae-Aces                                                                 | CUSIP: 3136BNET9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8700000 | PA      | $7630680.39   | 0.20%             | 2032-04-25      | Variable      | 2.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136BPL41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1695641 | PA      | $1599232.35   | 0.04%             | 2049-04-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136BQHF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2884526 | PA      | $2879378.81   | 0.08%             | 2040-06-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136BQHM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    544452 | PA      | $533646.64    | 0.01%             | 2039-10-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                           | Fannie Mae-Aces                                                                 | CUSIP: 3136BQSN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3685000 | PA      | $3712903.93   | 0.10%             | 2033-03-25      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136BSN43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    913000 | PA      | $782001.85    | 0.02%             | 2043-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_25-18         | FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_25-18                                | CUSIP: 3136BVLQ9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   6871582 | PA      | $5924949.04   | 0.16%             | 2054-09-25      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136BX2G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13315627 | PA      | $13258951.54  | 0.35%             | 2054-08-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136BXN83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3667806 | PA      | $3663093.60   | 0.10%             | 2052-09-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 31371LG52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     97038 | PA      | $98088.95     | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 31371MSG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3009 | PA      | $3048.05      | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 31371MT49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     19320 | PA      | $20548.38     | 0.00%             | 2036-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 31371MWM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      4194 | PA      | $4351.41      | 0.00%             | 2026-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 31371PAK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    129820 | PA      | $138678.62    | 0.00%             | 2038-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 31374CS31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1362141 | PA      | $1254357.45   | 0.03%             | 2044-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | FEDERAL HOME LOAN MORTGAGE CORP FHLMC_3688                                      | CUSIP: 3137A0ML6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    113004 | PA      | $121161.84    | 0.00%             | 2046-11-15      | Variable      | 7.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137A0PE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    657493 | PA      | $653234.74    | 0.02%             | 2040-07-15      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | FREDDIE MAC FHLMC_3714                                                          | CUSIP: 3137A0WW1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     61443 | PA      | $2661.25      | 0.00%             | 2040-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | FREDDIE MAC FHLMC_3704                                                          | CUSIP: 3137A0XM2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    172208 | PA      | $184623.93    | 0.00%             | 2036-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | FREDDIE MAC FHLMC_3704                                                          | CUSIP: 3137A0Y41<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    174057 | PA      | $187710.90    | 0.00%             | 2036-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | FREDDIE MAC FHLMC_3704                                                          | CUSIP: 3137A0YK5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    129640 | PA      | $143029.02    | 0.00%             | 2036-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137A6CE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    168978 | PA      | $15737.72     | 0.00%             | 2040-01-15      | Floating      | 1.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | FREDDIE MAC FHLMC_3819                                                          | CUSIP: 3137A8N20<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    195990 | PA      | $206740.86    | 0.01%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137ABAC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    107429 | PA      | $103340.73    | 0.00%             | 2041-05-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | FREDDIE MAC FHLMC_3890                                                          | CUSIP: 3137ADLC9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    931369 | PA      | $958041.59    | 0.03%             | 2041-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137AFPQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    512477 | PA      | $508751.80    | 0.01%             | 2041-09-15      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137AJB29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    588377 | PA      | $583188.12    | 0.02%             | 2041-11-15      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137AK4K4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    539744 | PA      | $536122.64    | 0.01%             | 2041-12-15      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137AL3F4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    673418 | PA      | $667764.54    | 0.02%             | 2042-01-15      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137ANDK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1422369 | PA      | $1356280.16   | 0.04%             | 2042-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137AQUG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    169236 | PA      | $167511.61    | 0.00%             | 2037-07-15      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137AQZV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    639725 | PA      | $633391.53    | 0.02%             | 2042-06-15      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137ATCV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1084477 | PA      | $1031699.54   | 0.03%             | 2041-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137ATDK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    698119 | PA      | $661970.44    | 0.02%             | 2042-07-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137ATDS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    628909 | PA      | $620722.48    | 0.02%             | 2042-08-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137ATFL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    802627 | PA      | $757508.07    | 0.02%             | 2042-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137AUTF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    722453 | PA      | $654824.19    | 0.02%             | 2042-10-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137AXUG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1319792 | PA      | $1275450.89   | 0.03%             | 2033-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137B0BG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    375357 | PA      | $369748.35    | 0.01%             | 2043-03-15      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4177                                   | FREDDIE MAC FHLMC_4177                                                          | CUSIP: 3137B16U1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1000000 | PA      | $914818.90    | 0.02%             | 2043-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC_4217                                               | FHLMC_4217                                                                      | CUSIP: 3137B2KH2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1200000 | PA      | $1072771.44   | 0.03%             | 2043-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4240                                   | FREDDIE MAC FHLMC_4240                                                          | CUSIP: 3137B3TZ1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1414292 | PA      | $1373787.76   | 0.04%             | 2033-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137B66E6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3557379 | PA      | $3526678.21   | 0.09%             | 2043-11-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4272                                   | FREDDIE MAC FHLMC_4272                                                          | CUSIP: 3137B6DC2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    758094 | PA      | $792814.67    | 0.02%             | 2040-04-15      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137B6N56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    289803 | PA      | $287229.07    | 0.01%             | 2043-12-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137B7EN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    619297 | PA      | $614486.25    | 0.02%             | 2035-07-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137B83K1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    526372 | PA      | $518920.90    | 0.01%             | 2044-02-15      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137BGAL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    131759 | PA      | $130682.69    | 0.00%             | 2034-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137BHAJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    918862 | PA      | $832033.92    | 0.02%             | 2045-03-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137BPJ34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3290735 | PA      | $3127261.85   | 0.08%             | 2045-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137BPXH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1093283 | PA      | $1084825.32   | 0.03%             | 2046-06-15      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137BRN76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1732668 | PA      | $1716265.83   | 0.05%             | 2046-08-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137BSAQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1165256 | PA      | $1155235.91   | 0.03%             | 2046-10-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137F8AV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    973032 | PA      | $965549.26    | 0.03%             | 2050-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137FAN95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    865746 | PA      | $854318.59    | 0.02%             | 2047-08-15      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137FAXZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    993805 | PA      | $936394.46    | 0.02%             | 2047-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137FAY28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    761702 | PA      | $695204.85    | 0.02%             | 2047-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137FCAZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    920240 | PA      | $849625.04    | 0.02%             | 2047-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137FDV82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    824103 | PA      | $745647.00    | 0.02%             | 2048-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.         | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FG6Q3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1256000 | PA      | $1238927.57   | 0.03%             | 2028-04-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137FH4G5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    663985 | PA      | $650053.34    | 0.02%             | 2048-09-15      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137FKLB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2192813 | PA      | $2166510.57   | 0.06%             | 2049-01-15      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137FKRS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2813011 | PA      | $2723659.49   | 0.07%             | 2049-01-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137FLTS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    903475 | PA      | $842854.04    | 0.02%             | 2050-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137FN5F3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    596289 | PA      | $587126.51    | 0.02%             | 2049-08-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.         | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FNAQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  75000000 | PA      | $2102805.00   | 0.06%             | 2029-06-25      | Variable      | 0.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137FPPA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1319547 | PA      | $1224739.87   | 0.03%             | 2049-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137FQA37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1299783 | PA      | $1161873.86   | 0.03%             | 2049-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137FQLS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    991716 | PA      | $949317.82    | 0.02%             | 2040-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137FQS53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    757300 | PA      | $641725.06    | 0.02%             | 2047-12-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137FR2N0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    613334 | PA      | $544118.00    | 0.01%             | 2050-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137FUQ98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    986250 | PA      | $975493.05    | 0.03%             | 2050-07-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137FWX39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1166364 | PA      | $1080377.69   | 0.03%             | 2050-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137FYCE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1392611 | PA      | $1183239.37   | 0.03%             | 2051-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137FYM52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1753800 | PA      | $1436002.13   | 0.04%             | 2051-03-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | FREDDIE MAC FHLMC_3740                                                          | CUSIP: 3137GARP4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    100968 | PA      | $8772.20      | 0.00%             | 2040-10-15      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | FREDDIE MAC FHLMC_3740                                                          | CUSIP: 3137GARQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    160184 | PA      | $16850.04     | 0.00%             | 2040-10-15      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137H0SS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1836827 | PA      | $1750878.16   | 0.05%             | 2051-06-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137H0T73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1342284 | PA      | $1254098.56   | 0.03%             | 2033-10-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certificates                      | Freddie Mac Multiclass Certificates Series 2021-P011                            | CUSIP: 3137H2NR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19160342 | PA      | $2043695.69   | 0.05%             | 2045-09-25      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137H62L8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3818566 | PA      | $3460939.28   | 0.09%             | 2049-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137H63N3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2324773 | PA      | $2151898.71   | 0.06%             | 2048-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137H6K95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1825651 | PA      | $1653466.89   | 0.04%             | 2051-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137H6SL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1275928 | PA      | $1186896.27   | 0.03%             | 2049-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137H77M9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3137247 | PA      | $3044559.69   | 0.08%             | 2050-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137H7W33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    211346 | PA      | $205015.33    | 0.01%             | 2039-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137HAL87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3498918 | PA      | $3506798.41   | 0.09%             | 2039-10-15      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137HC4W9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3099329 | PA      | $3109233.60   | 0.08%             | 2054-04-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137HCQJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1457000 | PA      | $1260590.28   | 0.03%             | 2044-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137HFH40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1567000 | PA      | $1341609.93   | 0.04%             | 2044-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137HKUP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6271837 | PA      | $5986497.18   | 0.16%             | 2043-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137HMP20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8569630 | PA      | $8558175.98   | 0.22%             | 2055-08-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3138ENRL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    505079 | PA      | $508253.31    | 0.01%             | 2043-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3138EQ6N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1149865 | PA      | $1123190.40   | 0.03%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3138EQQV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    779475 | PA      | $778040.86    | 0.02%             | 2045-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3138ERVH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    903656 | PA      | $835005.94    | 0.02%             | 2045-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3138L8K60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $982060.70    | 0.03%             | 2030-02-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 3138L94D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4812000 | PA      | $4638972.17   | 0.12%             | 2030-06-01      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3138L9AZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2488603 | PA      | $2391822.59   | 0.06%             | 2030-02-01      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3138L9Q70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2241810 | PA      | $2071390.19   | 0.05%             | 2035-04-01      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 3138LNRG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2680305 | PA      | $2659910.50   | 0.07%             | 2028-06-01      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 3138LNYD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4206810 | PA      | $4173461.23   | 0.11%             | 2030-07-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3138M1ZM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    912491 | PA      | $845796.26    | 0.02%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3138MFHB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1441283 | PA      | $1335933.50   | 0.04%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3138NXRT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    622437 | PA      | $574051.51    | 0.02%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3138W9BH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1195208 | PA      | $1104271.91   | 0.03%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3138WED71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2872449 | PA      | $2631282.04   | 0.07%             | 2045-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3138WSPZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114922 | PA      | $112885.16    | 0.00%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3138X0AZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    420264 | PA      | $399152.23    | 0.01%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | FNMA_01-60                                                                      | CUSIP: 3139213T3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     57057 | PA      | $58952.84     | 0.00%             | 2031-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | FNMA_02-50                                                                      | CUSIP: 31392DA93<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    153700 | PA      | $158245.88    | 0.00%             | 2031-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | FNMA_02-78                                                                      | CUSIP: 31392FA72<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     74382 | PA      | $76697.92     | 0.00%             | 2032-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | FREDDIE MAC FHLMC_2517                                                          | CUSIP: 31392X2G2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     24340 | PA      | $25012.03     | 0.00%             | 2032-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                     | FANNIE MAE FNMA_03-W8                                                           | CUSIP: 31393CX24<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     71070 | PA      | $70899.44     | 0.00%             | 2042-05-25      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 31393JC89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34376 | PA      | $37449.84     | 0.00%             | 2033-01-15      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | FHLMC_2557                                                                      | CUSIP: 31393JLU0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     90113 | PA      | $91325.95     | 0.00%             | 2033-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FNMA_03-W16                                              | FNMA_03-W16                                                                     | CUSIP: 31393T4J2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    139347 | PA      | $142078.61    | 0.00%             | 2033-11-25      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                     | Fannie Mae Trust 2003-W19                                                       | CUSIP: 31393UA60<br>LEI: 5493001NEANKKEPIN618 | Long             | ABS-MBS          | USGSE             | US        |   1179457 | PA      | $1187835.73   | 0.03%             | 2033-11-25      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | FNMA_04-50                                                                      | CUSIP: 31394AJV9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    399062 | PA      | $416258.38    | 0.01%             | 2034-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                     | Fannie Mae REMIC Trust 2004-W10                                                 | CUSIP: 31394ALV6<br>LEI: 5493006KCWOV61WOTM60 | Long             | ABS-MBS          | USGSE             | US        |    640743 | PA      | $661922.63    | 0.02%             | 2034-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_05-75                                    | FANNIE MAE FNMA_05-75                                                           | CUSIP: 31394FAV7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      9611 | PA      | $10739.65     | 0.00%             | 2035-09-25      | Variable      | 8.25%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                     | FANNIE MAE WHOLE LOAN FNMA_05-W3                                                | CUSIP: 31394FSB2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    108521 | PA      | $107586.38    | 0.00%             | 2045-03-25      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 31394RLM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    276401 | PA      | $285796.67    | 0.01%             | 2034-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 31394TYD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    235607 | PA      | $243632.87    | 0.01%             | 2034-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_06-16                                    | FANNIE MAE FNMA_06-16                                                           | CUSIP: 31394V6A3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    216404 | PA      | $224189.87    | 0.01%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 31394VX39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86581 | PA      | $72794.10     | 0.00%             | 2036-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 31394VX47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    317463 | PA      | $30175.82     | 0.00%             | 2036-03-25      | Floating      | 2.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 31395BTU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50985 | PA      | $43965.05     | 0.00%             | 2036-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 31395DP45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    294393 | PA      | $31776.20     | 0.00%             | 2036-06-25      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities                 | Freddie Mac Structured Pass-Through Certificates                                | CUSIP: 31395HHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    231795 | PA      | $213794.45    | 0.01%             | 2044-10-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_06-58                                    | FANNIE MAE FNMA_06-58                                                           | CUSIP: 31395NE86<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     69644 | PA      | $5706.20      | 0.00%             | 2036-07-25      | Variable      | 2.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | FREDDIE MAC FHLMC_2953                                                          | CUSIP: 31395PMJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    993943 | PA      | $1035046.07   | 0.03%             | 2035-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | FHLMC_2990                                                                      | CUSIP: 31395V4P1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    351441 | PA      | $369752.09    | 0.01%             | 2035-06-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | FREDDIE MAC FHLMC_3101                                                          | CUSIP: 31396GLR0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     95768 | PA      | $101901.77    | 0.00%             | 2036-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | FREDDIE MAC FHLMC_3100                                                          | CUSIP: 31396H2D0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     32483 | PA      | $27292.14     | 0.00%             | 2036-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 31396HVT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13502 | PA      | $12007.31     | 0.00%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_3123                                   | FREDDIE MAC FHLMC_3123                                                          | CUSIP: 31396JNW1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    122710 | PA      | $130755.03    | 0.00%             | 2036-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Reference Remic                              | Freddie Mac Reference REMIC                                                     | CUSIP: 31396JT21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    149059 | PA      | $156849.10    | 0.00%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | FANNIE MAE FNMA_06-94                                                           | CUSIP: 31396K4E9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      5026 | PA      | $24.21        | 0.00%             | 2026-10-25      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                     | FANNIEMAE WHOLE LOAN FNW_06-W3                                                  | CUSIP: 31396L7E4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     58996 | PA      | $60858.45     | 0.00%             | 2046-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 31396LD23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75411 | PA      | $7236.13      | 0.00%             | 2036-12-25      | Floating      | 2.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | FANNIE MAE FNMA_06-105                                                          | CUSIP: 31396LUS7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    214826 | PA      | $223153.47    | 0.01%             | 2036-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_3143-                                  | FREDDIE MAC FHLMC_3143-                                                         | CUSIP: 31396NG75<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    136746 | PA      | $140212.83    | 0.00%             | 2036-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Reference Remic                              | Freddie Mac Reference REMIC                                                     | CUSIP: 31396NRF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    282971 | PA      | $295855.20    | 0.01%             | 2036-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | FANNIE MAE FNMA_07-18                                                           | CUSIP: 31396P5P2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    113845 | PA      | $120391.40    | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | FANNIE MAE FNMA_09-37                                                           | CUSIP: 31396QAF6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    105960 | PA      | $7342.97      | 0.00%             | 2039-06-25      | Variable      | 1.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 31396QD71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141964 | PA      | $13998.39     | 0.00%             | 2039-09-25      | Floating      | 2.76%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_09-60                                    | FANNIE MAE FNMA_09-60                                                           | CUSIP: 31396QPL7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    157323 | PA      | $165992.78    | 0.00%             | 2039-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 31396QRH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    157476 | PA      | $161310.67    | 0.00%             | 2039-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_3164                                   | FREDDIE MAC FHLMC_3164                                                          | CUSIP: 31396TDX8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     40710 | PA      | $43399.07     | 0.00%             | 2036-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 31396UCL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58400 | PA      | $60782.22     | 0.00%             | 2036-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_3181                                   | FREDDIE MAC FHLMC_3181                                                          | CUSIP: 31396URG7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    113939 | PA      | $97277.87     | 0.00%             | 2036-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_07-42                                    | FANNIE MAE FNMA_07-42                                                           | CUSIP: 31396VR83<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     75244 | PA      | $79569.16     | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | FANNIE MAE FNMA_07-65                                                           | CUSIP: 31396WLY0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     51165 | PA      | $5008.21      | 0.00%             | 2037-07-25      | Variable      | 2.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | FANNIE MAE FNMA_07-72                                                           | CUSIP: 31396WQH2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    324892 | PA      | $35922.18     | 0.00%             | 2037-07-25      | Variable      | 2.10%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                     | FANNIE MAE WHOLE LOAN FNMA_07-W7                                                | CUSIP: 31396WUV6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    110944 | PA      | $9611.98      | 0.00%             | 2037-07-25      | Variable      | 2.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | FANNIE MAE FNMA_07-76                                                           | CUSIP: 31396WZ90<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    115940 | PA      | $119575.54    | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 31396X2X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74839 | PA      | $5089.71      | 0.00%             | 2037-12-25      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 31396X7A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70428 | PA      | $73243.38     | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 31396XC69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101453 | PA      | $100997.81    | 0.00%             | 2036-06-27      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_07-104                                   | FANNIE MAE FNMA_07-104                                                          | CUSIP: 31396XN26<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     68517 | PA      | $71710.00     | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_3200                                   | FREDDIE MAC FHLMC_3200                                                          | CUSIP: 31397AGM9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     91454 | PA      | $95084.72     | 0.00%             | 2036-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_3213                                   | FREDDIE MAC FHLMC_3213                                                          | CUSIP: 31397AZC0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    128329 | PA      | $135529.39    | 0.00%             | 2036-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_3229                                   | FREDDIE MAC FHLMC_3229                                                          | CUSIP: 31397BRQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |        38 | PA      | $37.76        | 0.00%             | 2026-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 31397HKD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5152 | PA      | $4301.33      | 0.00%             | 2037-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 31397KTW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    802794 | PA      | $71345.69     | 0.00%             | 2037-10-15      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | FANNIE MAE FNMA_08-80                                                           | CUSIP: 31397MRT6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     13506 | PA      | $14278.53     | 0.00%             | 2038-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | FANNIE MAE FNMA_09-17                                                           | CUSIP: 31397NGH2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     22559 | PA      | $2254.23      | 0.00%             | 2039-03-25      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 31397PAT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23369 | PA      | $1670.48      | 0.00%             | 2037-11-15      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_11-2                                     | FANNIE MAE FNMA_11-2                                                            | CUSIP: 31397QHL5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     31906 | PA      | $33280.02     | 0.00%             | 2051-02-25      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 31397QW95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    615502 | PA      | $68932.88     | 0.00%             | 2041-01-25      | Floating      | 2.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 31397RVN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    321221 | PA      | $334749.66    | 0.01%             | 2038-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | FANNIE MAE FNMA_11-43                                                           | CUSIP: 31397S5E0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     50838 | PA      | $53112.66     | 0.00%             | 2051-05-25      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_11-46                                    | FANNIE MAE FNMA_11-46                                                           | CUSIP: 31397SG24<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     19118 | PA      | $19057.08     | 0.00%             | 2026-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 31397SHK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    672085 | PA      | $662624.10    | 0.02%             | 2031-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 31397SMD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129078 | PA      | $9665.47      | 0.00%             | 2041-04-25      | Variable      | 1.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | FANNIE MAE FNMA_11-39                                                           | CUSIP: 31397SVY7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    100611 | PA      | $105020.42    | 0.00%             | 2032-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | FANNIE MAE FNMA_11-44                                                           | CUSIP: 31397SYG3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      1573 | PA      | $1568.66      | 0.00%             | 2026-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 31397THP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8992 | PA      | $9241.45      | 0.00%             | 2038-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 31397TP89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13591 | PA      | $1158.74      | 0.00%             | 2038-05-15      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_3461                                   | FREDDIE MAC FHLMC_3461                                                          | CUSIP: 31397TXU1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    531290 | PA      | $557508.69    | 0.01%             | 2038-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 31397UGD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    361414 | PA      | $358820.51    | 0.01%             | 2041-06-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 31397UUU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    573391 | PA      | $596315.35    | 0.02%             | 2041-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | FREDDIE MAC FHLMC_3501                                                          | CUSIP: 31397YS69<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    117700 | PA      | $122204.97    | 0.00%             | 2039-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | FREDDIE MAC FHLMC_3531                                                          | CUSIP: 31398CVX3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     17349 | PA      | $1158.13      | 0.00%             | 2039-05-15      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                     | FANNIE MAE FNMA_09-W1                                                           | CUSIP: 31398F7A3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    178795 | PA      | $186072.13    | 0.00%             | 2049-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | FANNIE MAE FNMA_09-79                                                           | CUSIP: 31398FPB1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      8558 | PA      | $8833.81      | 0.00%             | 2038-03-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 31398FRR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13463 | PA      | $12130.96     | 0.00%             | 2037-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | FANNIE MAE                                                                      | CUSIP: 31398FTC5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     42362 | PA      | $7086.68      | 0.00%             | 2039-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 31398G7D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    743833 | PA      | $762043.46    | 0.02%             | 2040-02-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 31398GKH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93453 | PA      | $9898.49      | 0.00%             | 2040-01-25      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | FREDDIE MAC FHLMC_3608                                                          | CUSIP: 31398LQC5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     79154 | PA      | $4193.21      | 0.00%             | 2039-12-15      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | FREDDIE MAC FHLMC_3607                                                          | CUSIP: 31398LR34<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     96423 | PA      | $81952.20     | 0.00%             | 2039-10-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_10-28                                    | FANNIE MAE FNMA_10-28                                                           | CUSIP: 31398MF84<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     23906 | PA      | $21920.63     | 0.00%             | 2040-04-25      | Variable      | 2.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 31398NKP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    598954 | PA      | $593774.57    | 0.02%             | 2040-09-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | FANNIE MAE FNMA_10-111                                                          | CUSIP: 31398NXS8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    466488 | PA      | $486682.00    | 0.01%             | 2040-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 31398P5R6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81203 | PA      | $80996.00     | 0.00%             | 2040-03-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | FANNIE MAE FNMA_10-35                                                           | CUSIP: 31398PGF0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    116202 | PA      | $116390.12    | 0.00%             | 2040-04-25      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 31398PKD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52288 | PA      | $5008.75      | 0.00%             | 2040-04-25      | Floating      | 2.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | FANNIE MAE FNMA_10-42                                                           | CUSIP: 31398PSE0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     43843 | PA      | $3769.61      | 0.00%             | 2040-05-25      | Variable      | 2.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | FANNIE MAE FNMA_10-61                                                           | CUSIP: 31398RPZ2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     28345 | PA      | $28838.83     | 0.00%             | 2040-06-25      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | FANNIE MAE FNMA_10-125                                                          | CUSIP: 31398SES8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    267213 | PA      | $10847.16     | 0.00%             | 2040-11-25      | Variable      | 0.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | FANNIE MAE FNMA_10-68                                                           | CUSIP: 31398TGV7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    221887 | PA      | $11837.39     | 0.00%             | 2040-07-25      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 31403CZM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36742 | PA      | $37742.95     | 0.00%             | 2036-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 31403DT82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17343 | PA      | $18448.02     | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 31409GMT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     23916 | PA      | $25486.32     | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 31409TVS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     20727 | PA      | $21878.48     | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140B0WX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1769995 | PA      | $1799083.85   | 0.05%             | 2055-08-01      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140B9DR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1408190 | PA      | $1425202.25   | 0.04%             | 2055-05-01      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140BFNZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    608164 | PA      | $617402.94    | 0.02%             | 2055-08-01      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140FXJ60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7148927 | PA      | $6500176.56   | 0.17%             | 2052-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140FXKV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    811578 | PA      | $778738.43    | 0.02%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140FXQS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2626753 | PA      | $2406409.01   | 0.06%             | 2060-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140FXRS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8718206 | PA      | $7557185.11   | 0.20%             | 2060-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140FXSB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    830369 | PA      | $754916.88    | 0.02%             | 2055-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140FXT36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1449540 | PA      | $1319231.84   | 0.03%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140FXTC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8042835 | PA      | $6622541.46   | 0.17%             | 2061-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140FXTM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3730760 | PA      | $3378322.56   | 0.09%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 3140FXUJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    974240 | PA      | $954652.52    | 0.03%             | 2061-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140FXVK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3481456 | PA      | $2866641.91   | 0.08%             | 2062-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140FXWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3968207 | PA      | $3456349.15   | 0.09%             | 2062-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140FXWR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2320821 | PA      | $2119612.84   | 0.06%             | 2062-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 3140FXXF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3742184 | PA      | $3525215.39   | 0.09%             | 2062-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140FXXP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1033913 | PA      | $940413.42    | 0.02%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140FXY71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4176480 | PA      | $3607393.73   | 0.09%             | 2063-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 3140GWQR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1355908 | PA      | $1310805.38   | 0.03%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140H25Z7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106337 | PA      | $103666.19    | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140HJHS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    403519 | PA      | $389885.53    | 0.01%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140HKD54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    395811 | PA      | $341445.81    | 0.01%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 3140HSTS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1515000 | PA      | $1507663.72   | 0.04%             | 2029-02-01      | Fixed         | 3.74%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 3140HXAK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2394534 | PA      | $2266037.34   | 0.06%             | 2030-02-01      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 3140HXB74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2026924 | PA      | $1879329.93   | 0.05%             | 2032-01-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 3140HXCR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1476268 | PA      | $1382378.68   | 0.04%             | 2032-01-01      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 3140HXEQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2382435 | PA      | $2208916.52   | 0.06%             | 2032-01-01      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 3140HXFR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1825000 | PA      | $1677125.38   | 0.04%             | 2032-01-01      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 3140HXJB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2744208 | PA      | $2568471.97   | 0.07%             | 2032-02-01      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 3140J5K32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1577282 | PA      | $1534491.28   | 0.04%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140J7VT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2611343 | PA      | $2412411.15   | 0.06%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 3140J8TU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1819514 | PA      | $1776966.28   | 0.05%             | 2029-10-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140J9XD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    605480 | PA      | $590271.24    | 0.02%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140JAGG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8600719 | PA      | $7911336.13   | 0.21%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140JB3L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4406595 | PA      | $4481922.89   | 0.12%             | 2052-10-01      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140JB6J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7650197 | PA      | $7751375.49   | 0.20%             | 2053-04-01      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140JB6N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4938366 | PA      | $4936382.50   | 0.13%             | 2053-04-01      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140JBDE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    917276 | PA      | $891152.11    | 0.02%             | 2050-06-01      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140JBF92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9044522 | PA      | $7587544.69   | 0.20%             | 2032-11-01      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140JCRC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2782031 | PA      | $2824161.88   | 0.07%             | 2055-02-01      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140JCTZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1825835 | PA      | $1855384.12   | 0.05%             | 2055-07-01      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 3140JUS47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    423387 | PA      | $407207.30    | 0.01%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140JY2P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1029500 | PA      | $1000966.17   | 0.03%             | 2049-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 3140K9S59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    741768 | PA      | $701753.84    | 0.02%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 3140K9TA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    855479 | PA      | $803639.60    | 0.02%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 3140K9W39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2936180 | PA      | $2640439.28   | 0.07%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 3140KEB80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4349730 | PA      | $3894683.43   | 0.10%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 3140KLYV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1656704 | PA      | $1468792.49   | 0.04%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 3140LEJA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1268740 | PA      | $1113181.18   | 0.03%             | 2033-11-01      | Fixed         | 2.43%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 3140LESQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1562826 | PA      | $1369562.00   | 0.04%             | 2033-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 3140LFSG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5000000 | PA      | $4292615.60   | 0.11%             | 2035-10-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 3140LGA69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6236000 | PA      | $5964811.89   | 0.16%             | 2031-02-01      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 3140LGBW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5565000 | PA      | $5165930.51   | 0.14%             | 2032-05-01      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140LGR53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7921000 | PA      | $7535036.21   | 0.20%             | 2032-06-01      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 3140LHSD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3400000 | PA      | $3461382.27   | 0.09%             | 2032-11-01      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 3140LHTF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3820604 | PA      | $3793615.07   | 0.10%             | 2032-11-01      | Fixed         | 4.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140LYNU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    959732 | PA      | $838301.21    | 0.02%             | 2041-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140ME6D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3969138 | PA      | $4087799.26   | 0.11%             | 2055-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140MGR60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1144383 | PA      | $951188.73    | 0.02%             | 2047-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140MHUK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    759810 | PA      | $653015.23    | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140MHUN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1189878 | PA      | $1020042.39   | 0.03%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140MM3D8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1646892 | PA      | $1659228.10   | 0.04%             | 2052-08-01      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140MM5C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1818912 | PA      | $1870975.42   | 0.05%             | 2052-09-01      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140MMXZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2372260 | PA      | $2376493.26   | 0.06%             | 2052-07-01      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140MSNU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1492070 | PA      | $1508938.50   | 0.04%             | 2052-11-01      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140MWS72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2526855 | PA      | $2543408.55   | 0.07%             | 2052-08-01      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 3140N4VV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4258923 | PA      | $4292020.74   | 0.11%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 3140NVJ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4530043 | PA      | $4713330.66   | 0.12%             | 2028-11-01      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 3140QDLK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3155213 | PA      | $2815766.75   | 0.07%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140QDTW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1376859 | PA      | $1225821.53   | 0.03%             | 2040-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 3140QEB76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4702307 | PA      | $4065148.12   | 0.11%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140QEEC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1703297 | PA      | $1591119.14   | 0.04%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140QEXT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4666462 | PA      | $4031932.99   | 0.11%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140QEXU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4651158 | PA      | $4024812.62   | 0.11%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140QFA66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2778228 | PA      | $2403271.32   | 0.06%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140QGGP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9374977 | PA      | $8307964.09   | 0.22%             | 2040-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140QHHD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2228223 | PA      | $1924443.25   | 0.05%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140QKKA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5020622 | PA      | $4193470.85   | 0.11%             | 2046-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140QKQY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3050807 | PA      | $2756854.39   | 0.07%             | 2041-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140QM4X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4556686 | PA      | $3924504.12   | 0.10%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 3140QMDF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5636384 | PA      | $4890285.07   | 0.13%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140QMT95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2003483 | PA      | $1723128.80   | 0.05%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140QTPY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1063000 | PA      | $1111164.08   | 0.03%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140QTRB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1118718 | PA      | $1132488.64   | 0.03%             | 2053-12-01      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140QUVA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1586318 | PA      | $1666806.49   | 0.04%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140QUZW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1827456 | PA      | $1922415.96   | 0.05%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140QVE75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2383724 | PA      | $2507591.53   | 0.07%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140QVEW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4334519 | PA      | $4551474.83   | 0.12%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140QVFB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1862323 | PA      | $1978529.45   | 0.05%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140QVL28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    796340 | PA      | $837723.09    | 0.02%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140QVL85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1294394 | PA      | $1375162.74   | 0.04%             | 2054-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140QVMF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    444820 | PA      | $473115.28    | 0.01%             | 2054-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140QVR63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1556276 | PA      | $1637147.67   | 0.04%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140QVRV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1662815 | PA      | $1746042.05   | 0.05%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140W0VA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9282390 | PA      | $9414241.41   | 0.25%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140W1UP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1575525 | PA      | $1459828.62   | 0.04%             | 2048-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140W1VR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1104458 | PA      | $952552.45    | 0.03%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140W24T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1044256 | PA      | $948492.48    | 0.02%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140W2D32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3220455 | PA      | $2783641.23   | 0.07%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 3140X5YX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2589576 | PA      | $2497703.35   | 0.07%             | 2049-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 3140X7TJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1055014 | PA      | $1053072.00   | 0.03%             | 2047-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140X8KC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4668896 | PA      | $4141535.48   | 0.11%             | 2040-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140XA2X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    765290 | PA      | $660555.92    | 0.02%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140XAL91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    711254 | PA      | $647059.13    | 0.02%             | 2047-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140XBGK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1460857 | PA      | $1258251.88   | 0.03%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140XBQP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1797376 | PA      | $1551363.41   | 0.04%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140XBZX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7426141 | PA      | $6392394.45   | 0.17%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140XC6E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5650758 | PA      | $5225334.90   | 0.14%             | 2048-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140XCMJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1501651 | PA      | $1356176.09   | 0.04%             | 2041-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140XDJH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3018235 | PA      | $2628698.96   | 0.07%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140XFHB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4132393 | PA      | $3428807.15   | 0.09%             | 2047-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140XFZA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    284133 | PA      | $244733.01    | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140XG2P3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5686134 | PA      | $4706201.36   | 0.12%             | 2047-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140XGB32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4663779 | PA      | $4129207.86   | 0.11%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140XGCW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4219686 | PA      | $3798809.23   | 0.10%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140XGFZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    784331 | PA      | $674927.80    | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140XGKS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1083132 | PA      | $988778.48    | 0.03%             | 2048-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140XGTG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1632243 | PA      | $1459061.38   | 0.04%             | 2042-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 3140XH2W6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5258350 | PA      | $5160812.49   | 0.14%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140XHDY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12621522 | PA      | $11467248.28  | 0.30%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 3140XHE45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7135491 | PA      | $6473521.48   | 0.17%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140XHEN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4083135 | PA      | $3647008.27   | 0.10%             | 2047-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140XHFN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1588785 | PA      | $1386038.66   | 0.04%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140XHU39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    594078 | PA      | $593178.27    | 0.02%             | 2035-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140XJEJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132181 | PA      | $131843.76    | 0.00%             | 2027-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140XJV83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1551131 | PA      | $1433068.87   | 0.04%             | 2043-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140XJVS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2801709 | PA      | $2526586.62   | 0.07%             | 2040-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140XKE22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1758183 | PA      | $1620338.22   | 0.04%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 3140XKHF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4263624 | PA      | $4184529.29   | 0.11%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140XKTB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1255040 | PA      | $1162471.96   | 0.03%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140XLDL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1371295 | PA      | $1234840.36   | 0.03%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140XLDP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    970354 | PA      | $896801.77    | 0.02%             | 2049-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140XLE87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    570737 | PA      | $555970.84    | 0.01%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 3140XLLV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  18310984 | PA      | $16610880.13  | 0.44%             | 2049-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140XLQR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3351682 | PA      | $3047244.62   | 0.08%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140XLZA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1454752 | PA      | $1344023.70   | 0.04%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140XMAN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1394158 | PA      | $1287895.31   | 0.03%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140XMUF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2758941 | PA      | $2550688.69   | 0.07%             | 2044-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140XN4G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1424178 | PA      | $1293057.94   | 0.03%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 3140XN5L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6425147 | PA      | $5506535.25   | 0.14%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140XN6L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1002623 | PA      | $913951.37    | 0.02%             | 2048-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140XNZC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1100877 | PA      | $1171799.89   | 0.03%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 3140XPX95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  24892568 | PA      | $22102005.21  | 0.58%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140XQ4S3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1537784 | PA      | $1327316.60   | 0.03%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140XQAK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1281234 | PA      | $1184252.43   | 0.03%             | 2048-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140XQNP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    806704 | PA      | $736161.58    | 0.02%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 3140Y66N5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2724623 | PA      | $2826579.84   | 0.07%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140Y6JM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10130632 | PA      | $10421902.46  | 0.27%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140Y6LH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1512822 | PA      | $1532457.41   | 0.04%             | 2055-04-01      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140Y6PQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10685816 | PA      | $10884366.20  | 0.29%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140Y6PX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7840806 | PA      | $8087033.40   | 0.21%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140Y6YJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15136256 | PA      | $15379181.64  | 0.40%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140Y7LR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1751529 | PA      | $1839178.13   | 0.05%             | 2055-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140Y7RS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2652026 | PA      | $2785956.57   | 0.07%             | 2055-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140Y7RU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2118708 | PA      | $2231538.95   | 0.06%             | 2055-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140Y7TU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1478614 | PA      | $1569951.80   | 0.04%             | 2055-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 31410GAH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     23769 | PA      | $24175.12     | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 31410GPN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    277099 | PA      | $276354.21    | 0.01%             | 2037-06-01      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 31410GRK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32962 | PA      | $35091.12     | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 31410LCD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     46693 | PA      | $49710.48     | 0.00%             | 2038-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 31412CBL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     66841 | PA      | $69380.08     | 0.00%             | 2036-03-01      | Variable      | 7.08%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 31413STL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    164058 | PA      | $169840.98    | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 31413TUM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     27031 | PA      | $28501.51     | 0.00%             | 2037-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 31414MP42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      8714 | PA      | $8814.68      | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 31416BQA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    170331 | PA      | $181309.53    | 0.00%             | 2038-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 31416JAY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     90857 | PA      | $94628.45     | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 31417DZZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    992382 | PA      | $891099.79    | 0.02%             | 2042-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 31417WCT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    182373 | PA      | $196640.15    | 0.01%             | 2038-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 31418AJX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    374853 | PA      | $356020.08    | 0.01%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 31418APN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    301095 | PA      | $285964.61    | 0.01%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 31418AQ35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    680307 | PA      | $646122.40    | 0.02%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 31418AS33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1138510 | PA      | $1078921.63   | 0.03%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 31418ATV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1237095 | PA      | $1171357.54   | 0.03%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 31418AVA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    632936 | PA      | $601127.83    | 0.02%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 31418AWG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1428252 | PA      | $1356477.29   | 0.04%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 31418CDL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2756874 | PA      | $2501778.31   | 0.07%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 31418CEF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6493216 | PA      | $5899750.14   | 0.15%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 31418DQZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4653459 | PA      | $4139528.46   | 0.11%             | 2040-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 31418DSS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5233454 | PA      | $4645604.02   | 0.12%             | 2040-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 31418EDM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2222947 | PA      | $1993781.65   | 0.05%             | 2042-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 31418MLK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7677 | PA      | $7965.21      | 0.00%             | 2028-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 31418MSM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     36648 | PA      | $37367.02     | 0.00%             | 2048-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION                                           | CUSIP: 31418MZT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     83016 | PA      | $88282.28     | 0.00%             | 2039-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 31427M5F4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1367543 | PA      | $1240573.80   | 0.03%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 31427MSZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1086609 | PA      | $986002.21    | 0.03%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 31427N7L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1999541 | PA      | $1725864.70   | 0.05%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 31427NDZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1858100 | PA      | $1684615.67   | 0.04%             | 2049-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 31427NVE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10799231 | PA      | $11094373.46  | 0.29%             | 2055-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 31427PG65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2302802 | PA      | $2087797.15   | 0.05%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Non Gold Pool                                                       | CUSIP: 3142AWP33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    636376 | PA      | $644174.01    | 0.02%             | 2055-07-01      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Non Gold Pool                                                       | CUSIP: 3142AWP90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1034494 | PA      | $1051786.10   | 0.03%             | 2055-07-01      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Non Gold Pool                                                       | CUSIP: 3142AWQA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    991887 | PA      | $1003952.37   | 0.03%             | 2055-07-01      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Non Gold Pool                                                       | CUSIP: 3142AWQF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3217300 | PA      | $3255045.10   | 0.09%             | 2055-08-01      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Non Gold Pool                                                       | CUSIP: 3142AWQG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4192559 | PA      | $4253672.92   | 0.11%             | 2055-08-01      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Non Gold Pool                                                       | CUSIP: 3142AWQJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    578770 | PA      | $586860.62    | 0.02%             | 2055-08-01      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Non Gold Pool                                                       | CUSIP: 3142B3WD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1715054 | PA      | $1738460.00   | 0.05%             | 2055-06-01      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Non Gold Pool                                                       | CUSIP: 3142B3WE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1268493 | PA      | $1284963.60   | 0.03%             | 2055-06-01      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Non Gold Pool                                                       | CUSIP: 3142BBEA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    705958 | PA      | $717072.29    | 0.02%             | 2055-05-01      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Non Gold Pool                                                       | CUSIP: 3142BBF62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4629772 | PA      | $4686215.28   | 0.12%             | 2055-08-01      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Non Gold Pool                                                       | CUSIP: 3142BBFN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2661966 | PA      | $2697674.92   | 0.07%             | 2055-07-01      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Non Gold Pool                                                       | CUSIP: 3142BBKD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2881171 | PA      | $2905708.30   | 0.08%             | 2055-11-01      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3142GS4Q8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    869323 | PA      | $914498.14    | 0.02%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3142GS4R6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    812216 | PA      | $863880.29    | 0.02%             | 2054-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3142GS4U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1476571 | PA      | $1550478.26   | 0.04%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3142GS4V7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    792067 | PA      | $841491.19    | 0.02%             | 2054-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3142GTD94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    328518 | PA      | $348068.85    | 0.01%             | 2054-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3142GUUP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9213096 | PA      | $9360958.65   | 0.25%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3142GUUQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9018581 | PA      | $9278570.60   | 0.24%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3142GVU33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1765970 | PA      | $1876125.63   | 0.05%             | 2055-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3142J6A52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12511486 | PA      | $12689216.50  | 0.33%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| First Help Financial LLC                                 | FHF Issuer Trust 2024-1                                                         | CUSIP: 31568AAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1281338 | PA      | $1286311.29   | 0.03%             | 2030-02-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| FIBRA PROLOGIS                                           | FIBRA Prologis                                                                  | CUSIP: 31575KAA3<br>LEI: N/A                  | Long             | DBT              |  | MX        |   1235000 | PA      | $1238573.92   | 0.03%             | 2035-11-26      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FLEX LTD                                                 | Flex Ltd                                                                        | CUSIP: 33938XAF2<br>LEI: 549300EAQH74YHD07T53 | Long             | DBT              | CORP              | SG        |    552000 | PA      | $562857.99    | 0.01%             | 2032-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FLEX LTD                                                 | Flex Ltd                                                                        | CUSIP: 33938XAG0<br>LEI: 549300EAQH74YHD07T53 | Long             | DBT              | CORP              | SG        |   1182000 | PA      | $1180071.40   | 0.03%             | 2035-11-13      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust/Ford Credit                 | Ford Credit Auto Owner Trust 2022-REV1                                          | CUSIP: 34528EAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2358000 | PA      | $2359783.36   | 0.06%             | 2034-11-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Lease Trust                             | Ford Credit Auto Lease Trust 2024-A                                             | CUSIP: 345290AE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    915000 | PA      | $918927.27    | 0.02%             | 2027-06-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust                             | Ford Credit Auto Owner Trust 2022-D                                             | CUSIP: 345295AE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    917000 | PA      | $924308.31    | 0.02%             | 2028-03-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Ford Credit Floorplan Master Owner Trust                 | Ford Credit Floorplan Master Owner Trust A                                      | CUSIP: 34529BAA4<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-O            | CORP              | US        |   3885000 | PA      | $3951785.87   | 0.10%             | 2030-04-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust/Ford Credit                 | Ford Credit Auto Owner Trust/Ford Credit                                        | CUSIP: 34532MAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2857000 | PA      | $2937299.70   | 0.08%             | 2037-08-15      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust/Ford Credit                 | Ford Credit Auto Owner Trust 2025-REV2                                          | CUSIP: 34536BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1112000 | PA      | $1122019.45   | 0.03%             | 2038-02-15      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                 | Ford Motor Credit Co LLC                                                        | CUSIP: 345397B93<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   3810000 | PA      | $3579002.13   | 0.09%             | 2029-02-10      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                 | Ford Motor Credit Co LLC                                                        | CUSIP: 345397ZR7<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    363000 | PA      | $363701.84    | 0.01%             | 2029-05-03      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                 | Foundation Finance Trust 2023-2                                                 | CUSIP: 35042RAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3413568 | PA      | $3557560.42   | 0.09%             | 2049-06-15      | Fixed         | 6.97%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                    | Foundry JV Holdco LLC                                                           | CUSIP: 350930AD5<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    635000 | PA      | $673865.78    | 0.02%             | 2035-01-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                    | Foundry JV Holdco LLC                                                           | CUSIP: 350930AF0<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    781000 | PA      | $806451.38    | 0.02%             | 2031-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                    | Foundry JV Holdco LLC                                                           | CUSIP: 350930AG8<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    519000 | PA      | $543577.72    | 0.01%             | 2033-01-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                    | Foundry JV Holdco LLC                                                           | CUSIP: 350930AK9<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    516000 | PA      | $544609.16    | 0.01%             | 2039-01-25      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| Multifamily Structured Credit Risk                       | Freddie Mac Mscr Trust Mn1                                                      | CUSIP: 35563FAA9<br>LEI: 549300XWC4JMK6CH6K84 | Long             | ABS-MBS          | USGSE             | US        |    979932 | PA      | $977673.99    | 0.03%             | 2051-01-25      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| Multifamily Structured Credit Risk                       | Freddie Mac Mscr Trust Mn1                                                      | CUSIP: 35563FAB7<br>LEI: 549300XWC4JMK6CH6K84 | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $3096180.60   | 0.08%             | 2051-01-25      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| Multifamily Structured Credit Risk                       | Freddie Mac Multifamily Structured Credit Risk                                  | CUSIP: 35563HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3664196 | PA      | $3703349.16   | 0.10%             | 2052-05-25      | Floating      | 8.12%                 | No            |                  2 | On Loan: No      |
| MULTIFAMILY STRUCTURED CREDIT RISK MSCR_22-MN4           | MULTIFAMILY STRUCTURED CREDIT RISK MSCR_22-MN4                                  | CUSIP: 35563HAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2792821.00   | 0.07%             | 2052-05-25      | Variable      | 10.70%                | No            |                  2 | On Loan: No      |
| Multifamily Structured Credit Risk                       | MULTIFAMILY STRUCTURED CREDIT RISK MSCR_21-MN2                                  | CUSIP: 35563JAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5890503 | PA      | $5890517.25   | 0.15%             | 2041-07-25      | Variable      | 7.53%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_18-4                  | SEASONED CREDIT RISK TRANSFER SCRT_18-4                                         | CUSIP: 35563PHJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4239268 | PA      | $3240874.23   | 0.09%             | 2058-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                       | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-3                   | CUSIP: 35563PLJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1570000 | PA      | $1325455.54   | 0.03%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                       | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-4                   | CUSIP: 35563PMT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1347243 | PA      | $1266710.07   | 0.03%             | 2059-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                       | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2024-2                   | CUSIP: 35563PX46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5774719 | PA      | $5022151.45   | 0.13%             | 2064-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                       | Seasoned Credit Risk Transfer Trust Series 2025-1                               | CUSIP: 35563PYZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4079187 | PA      | $3509148.42   | 0.09%             | 2064-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                                       | Seasoned Loans Structured Transaction Series 2018-2                             | CUSIP: 35564CAN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2189037 | PA      | $2143225.35   | 0.06%             | 2028-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                                     | Freeport-McMoRan Inc                                                            | CUSIP: 35671DCH6<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |    308000 | PA      | $310336.72    | 0.01%             | 2030-08-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS                                  | Frontier Communications Holdings LLC                                            | CUSIP: 35906ABE7<br>LEI: 549300ZCZ76HYCS0H445 | Long             | DBT              | CORP              | US        |    295000 | PA      | $295411.64    | 0.01%             | 2027-10-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| GFL ENVIRONMENTAL INC                                    | GFL Environmental Inc                                                           | CUSIP: 36168QAN4<br>LEI: 894500E7NLBY9VZRT696 | Long             | DBT              | CORP              | CA        |    365000 | PA      | $364117.55    | 0.01%             | 2029-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GFL ENVIRONMENTAL INC                                    | GFL Environmental Inc                                                           | CUSIP: 36168QAQ7<br>LEI: 894500E7NLBY9VZRT696 | Long             | DBT              | CORP              | CA        |    901000 | PA      | $944216.03    | 0.02%             | 2031-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                              | CUSIP: 36179VQH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6665271 | PA      | $5661739.14   | 0.15%             | 2050-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                              | CUSIP: 36179WY93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4718916 | PA      | $4072556.55   | 0.11%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                              | CUSIP: 36179XDD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14772339 | PA      | $14052404.81  | 0.37%             | 2052-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                              | CUSIP: 3617F5YU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5580686 | PA      | $5837104.48   | 0.15%             | 2072-04-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                              | CUSIP: 3617F96J6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    498638 | PA      | $450891.78    | 0.01%             | 2043-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                              | CUSIP: 3617HXWC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    817813 | PA      | $801375.71    | 0.02%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                              | CUSIP: 3617J76E7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    545783 | PA      | $552378.02    | 0.01%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                              | CUSIP: 3617K1YJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    846213 | PA      | $827773.44    | 0.02%             | 2049-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                                      | CUSIP: 3617LD6D3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    553168 | PA      | $555462.38    | 0.01%             | 2049-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                                      | CUSIP: 3617LE6K5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    193321 | PA      | $185001.30    | 0.00%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                                      | CUSIP: 3617LEY57<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    179366 | PA      | $168818.96    | 0.00%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                                      | CUSIP: 3617LNSM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3534802 | PA      | $3247259.47   | 0.09%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                                      | CUSIP: 3617LRZZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1382443 | PA      | $1354883.82   | 0.04%             | 2050-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                              | CUSIP: 3617LWTJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    875510 | PA      | $861841.55    | 0.02%             | 2050-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                                      | CUSIP: 3617M2K57<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3077147 | PA      | $2766116.67   | 0.07%             | 2050-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                                      | CUSIP: 3617M2KC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   6745399 | PA      | $6142491.20   | 0.16%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                                      | CUSIP: 3617M2KD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    494245 | PA      | $467135.03    | 0.01%             | 2050-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                                      | CUSIP: 3617MJMX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    875705 | PA      | $804475.50    | 0.02%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                                      | CUSIP: 3617MJMY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    774054 | PA      | $735901.36    | 0.02%             | 2050-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                                      | CUSIP: 3617MJMZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    718187 | PA      | $682341.60    | 0.02%             | 2050-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                                      | CUSIP: 3617MJNA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    917834 | PA      | $835799.39    | 0.02%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                                      | CUSIP: 3617MJNB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    750329 | PA      | $688370.27    | 0.02%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                                      | CUSIP: 3617MJNR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    615305 | PA      | $582692.98    | 0.02%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                                      | CUSIP: 3617MNJX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    370874 | PA      | $346034.95    | 0.01%             | 2050-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                                      | CUSIP: 3617N9NB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1503259 | PA      | $1420805.65   | 0.04%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                                      | CUSIP: 3617N9PX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2728788 | PA      | $2381992.97   | 0.06%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                                      | CUSIP: 3617QKY41<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2067630 | PA      | $1895602.66   | 0.05%             | 2050-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                                      | CUSIP: 3617WUGR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2955936 | PA      | $2706539.48   | 0.07%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                                      | CUSIP: 3617WUJH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3974959 | PA      | $3573750.59   | 0.09%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                                      | CUSIP: 3617XLEB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1596786 | PA      | $1457073.21   | 0.04%             | 2051-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                                      | CUSIP: 3617XLK53<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3733301 | PA      | $3342084.72   | 0.09%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                              | CUSIP: 3617XXCU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6074188 | PA      | $6353995.24   | 0.17%             | 2072-02-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                              | CUSIP: 3617Y9AU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    827148 | PA      | $757330.11    | 0.02%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                              | CUSIP: 3617Y9AV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1315388 | PA      | $1203344.69   | 0.03%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                                      | CUSIP: 3617YCV68<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3702631 | PA      | $3516461.08   | 0.09%             | 2052-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                              | CUSIP: 3617YM4G4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1601375 | PA      | $1448036.20   | 0.04%             | 2043-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                              | CUSIP: 3617YMMB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3480842 | PA      | $3122441.75   | 0.08%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| General Motors                                           | GMF Floorplan Owner Revolving Trust                                             | CUSIP: 361886DQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3029000 | PA      | $3067419.84   | 0.08%             | 2029-11-15      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| General Motors                                           | GMF Floorplan Owner Revolving Trust                                             | CUSIP: 361886EB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3209000 | PA      | $3253808.23   | 0.09%             | 2030-03-15      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                              | CUSIP: 3618N5RG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7610807 | PA      | $7770187.01   | 0.20%             | 2055-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                              | CUSIP: 3618N5TN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16503451 | PA      | $16674992.74  | 0.44%             | 2055-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                                      | CUSIP: 36202EWG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     27743 | PA      | $28873.84     | 0.00%             | 2038-09-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                                      | CUSIP: 3620AWQH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    165562 | PA      | $158971.14    | 0.00%             | 2040-07-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                                      | CUSIP: 3620AWRQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     83283 | PA      | $77297.31     | 0.00%             | 2040-08-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                                      | CUSIP: 3620C5BW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    115870 | PA      | $107949.84    | 0.00%             | 2040-08-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                  | GSR MORTGAGE LOAN TRUST GSR_03-7                                                | CUSIP: 36228FTW6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     72980 | PA      | $73274.19     | 0.00%             | 2033-06-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                              | CUSIP: 3622AAHY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1753066 | PA      | $1708367.85   | 0.04%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                              | CUSIP: 3622AAUG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3048729 | PA      | $2783268.56   | 0.07%             | 2070-10-20      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                              | CUSIP: 3622AAXX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3128096 | PA      | $2810020.53   | 0.07%             | 2051-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae I Pool                                                               | CUSIP: 3622AB3S9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4567241 | PA      | $4205344.58   | 0.11%             | 2047-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                              | CUSIP: 3622ABMK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3968491 | PA      | $3557599.68   | 0.09%             | 2050-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                              | CUSIP: 3622ACCS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5546964 | PA      | $5734288.01   | 0.15%             | 2053-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                              | CUSIP: 3622ACGA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    943975 | PA      | $887629.35    | 0.02%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                              | CUSIP: 3622ACGT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1546913 | PA      | $1464206.28   | 0.04%             | 2037-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                              | CUSIP: 3622ACMM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2904093 | PA      | $2745081.08   | 0.07%             | 2038-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                                      | CUSIP: 36230L4W6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    116695 | PA      | $107942.06    | 0.00%             | 2040-09-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                                      | CUSIP: 36230LXP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     62229 | PA      | $61440.25     | 0.00%             | 2040-07-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                                      | CUSIP: 36230LYT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    150232 | PA      | $144067.59    | 0.00%             | 2040-09-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                                      | CUSIP: 36230R2F2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    255532 | PA      | $235916.75    | 0.01%             | 2040-11-20      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1                                      | CUSIP: 36230R4K9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    147104 | PA      | $140171.47    | 0.00%             | 2040-10-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1                                      | CUSIP: 36230R4M5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     79751 | PA      | $75297.89     | 0.00%             | 2040-11-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1                                      | CUSIP: 36230R4N3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     65960 | PA      | $62047.25     | 0.00%             | 2040-12-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1                                      | CUSIP: 36230SAU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    191709 | PA      | $182773.25    | 0.00%             | 2040-12-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1                                      | CUSIP: 36230SAV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    223150 | PA      | $210818.07    | 0.01%             | 2040-11-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1                                      | CUSIP: 36230SAW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    452605 | PA      | $436248.68    | 0.01%             | 2040-12-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1                                      | CUSIP: 36230UN21<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    202067 | PA      | $195461.54    | 0.01%             | 2040-12-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                                | GSMPS Mortgage Loan Trust 2005-RP3                                              | CUSIP: 362341LL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    361158 | PA      | $310444.69    | 0.01%             | 2035-09-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                                | GSMPS MORTGAGE LOAN TRUST GSMPS_05-RP3                                          | CUSIP: 362341LM9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    279897 | PA      | $5346.01      | 0.00%             | 2035-09-25      | Variable      | 0.11%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                  | GSR MORTGAGE LOAN TRUST GSR_05-5F                                               | CUSIP: 36242D7M9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4239 | PA      | $4091.69      | 0.00%             | 2035-06-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                               | GLS Auto Receivables Issuer Trust 2021-2                                        | CUSIP: 36261XAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     50179 | PA      | $50128.65     | 0.00%             | 2027-04-15      | Fixed         | 1.42%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                             | GS Mortgage Securities Trust 2020-GSA2                                          | CUSIP: 36264KAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2582000 | PA      | $2317568.86   | 0.06%             | 2053-12-12      | Fixed         | 1.72%                 | No            |                  2 | On Loan: No      |
| BOOST NEWCO BORROWER LLC                                 | Boost Newco Borrower LLC                                                        | CUSIP: 36268NAA8<br>LEI: 254900S8RE1OL7TTCU64 | Long             | DBT              | CORP              | US        |    525000 | PA      | $558019.34    | 0.01%             | 2031-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GM Financial Revolving Receivables Trust                 | GM Financial Revolving Receivables Trust 2024-1                                 | CUSIP: 36269KAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1582000 | PA      | $1625496.93   | 0.04%             | 2036-12-11      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| GM Financial Revolving Receivables Trust                 | GM Financial Revolving Receivables Trust 2025-1                                 | CUSIP: 36271NAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3789000 | PA      | $3862852.16   | 0.10%             | 2037-12-11      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| GM Financial Securitized Term Auto Receivables Tr        | GM Financial Consumer Automobile Receivables Trust 2025-4                       | CUSIP: 36273EAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1246000 | PA      | $1248477.17   | 0.03%             | 2031-02-18      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| GM Financial Securitized Term Auto Receivables Tr        | GM Financial Consumer Automobile Receivables Trust 2025-4                       | CUSIP: 36273EAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    474000 | PA      | $473870.41    | 0.01%             | 2032-04-16      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                               | GLS Auto Receivables Issuer Trust 2023-4                                        | CUSIP: 362929AF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2835000 | PA      | $2940479.58   | 0.08%             | 2029-08-15      | Fixed         | 7.18%                 | No            |                  2 | On Loan: No      |
| GALAXY PIPELINE ASSETS                                   | Galaxy Pipeline Assets Bidco Ltd                                                | CUSIP: 36321PAB6<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |   1070000 | PA      | $945611.66    | 0.02%             | 2036-03-31      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| GALAXY PIPELINE ASSETS                                   | Galaxy Pipeline Assets Bidco Ltd                                                | CUSIP: 36321PAD2<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |   1120802 | PA      | $1015367.02   | 0.03%             | 2034-03-31      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                               | GAM RESECURITIZATION TRUST GAM_21-FRR2                                          | CUSIP: 36459TBY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7500000 | PA      | $6664606.50   | 0.17%             | 2051-09-27      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                               | GAM Re-REMIC Trust 2021-FRR1                                                    | CUSIP: 364614AG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4524775.00   | 0.12%             | 2050-11-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                               | GAM_21-FRR1                                                                     | CUSIP: 364614AQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6600000 | PA      | $5940215.82   | 0.16%             | 2050-11-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Gam Resecuritization Trust                               | GAM_21-FRR1                                                                     | CUSIP: 364614AS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3500000 | PA      | $3093679.75   | 0.08%             | 2050-11-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GAP INC/THE                                              | Gap Inc/The                                                                     | CUSIP: 364760AP3<br>LEI: T2ZG1WRWZ4BUCMQL9224 | Long             | DBT              | CORP              | US        |    520000 | PA      | $492496.12    | 0.01%             | 2029-10-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| GENERAL ELECTRIC CO                                      | General Electric Co                                                             | CUSIP: 369604BZ5<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | DBT              | CORP              | US        |   2368000 | PA      | $2387716.96   | 0.06%             | 2030-07-29      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| GENERAL ELECTRIC CO                                      | General Electric Co                                                             | CUSIP: 369604CA9<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | DBT              | CORP              | US        |   2153000 | PA      | $2185226.05   | 0.06%             | 2036-01-29      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                   | General Motors Financial Co Inc                                                 | CUSIP: 37045XDL7<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   2948000 | PA      | $2669894.59   | 0.07%             | 2031-06-10      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                   | General Motors Financial Co Inc                                                 | CUSIP: 37045XEV4<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    438000 | PA      | $458797.46    | 0.01%             | 2034-04-04      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| GENESEE & WYOMING INC                                    | Genesee & Wyoming Inc                                                           | CUSIP: 371559AB1<br>LEI: G617XSG94Z7G0RMW3L02 | Long             | DBT              | CORP              | US        |    565000 | PA      | $583376.39    | 0.02%             | 2032-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GENESIS ENERGY LP/FIN                                    | Genesis Energy LP / Genesis Energy Finance Corp                                 | CUSIP: 37185LAL6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    280000 | PA      | $280751.50    | 0.01%             | 2028-02-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                         | Georgia Power Co                                                                | CUSIP: 373334KW0<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |    360000 | PA      | $371825.58    | 0.01%             | 2034-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                         | Georgia Power Co                                                                | CUSIP: 373334LA7<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |    736000 | PA      | $755134.13    | 0.02%             | 2031-03-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES INC                                      | Gilead Sciences Inc                                                             | CUSIP: 375558BJ1<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |    791000 | PA      | $736527.29    | 0.02%             | 2036-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES INC                                      | Gilead Sciences Inc                                                             | CUSIP: 375558BK8<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |    202000 | PA      | $167640.29    | 0.00%             | 2047-03-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES INC                                      | Gilead Sciences Inc                                                             | CUSIP: 375558BZ5<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |    566000 | PA      | $594767.96    | 0.02%             | 2033-10-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                     | Glencore Funding LLC                                                            | CUSIP: 378272BG2<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    831000 | PA      | $748299.43    | 0.02%             | 2031-09-23      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                     | Glencore Funding LLC                                                            | CUSIP: 378272BU1<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |   2305000 | PA      | $2407887.49   | 0.06%             | 2034-04-04      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                      | Global Payments Inc                                                             | CUSIP: 37940XAW2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   1360000 | PA      | $1361266.73   | 0.04%             | 2030-11-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                      | Global Payments Inc                                                             | CUSIP: 37940XAY8<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    335000 | PA      | $333184.33    | 0.01%             | 2035-11-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| GLOBAL INFRASTRUCTURE SO                                 | Global Infrastructure Solutions Inc                                             | CUSIP: 37960XAA5<br>LEI: 2549003BGLQITAJ6ZT28 | Long             | DBT              | CORP              | US        |    670000 | PA      | $669053.85    | 0.02%             | 2029-06-01      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| GM Financial Revolving Receivables Trust                 | GM Financial Revolving Receivables Trust 2024-2                                 | CUSIP: 379925AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    988000 | PA      | $1005055.75   | 0.03%             | 2037-03-11      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| GM Financial Automobile Leasing Trust                    | GM Financial Automobile Leasing Trust 2023-3                                    | CUSIP: 379929AE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    148041 | PA      | $148127.86    | 0.00%             | 2027-08-20      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                  | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GA46<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2207000 | PA      | $2341648.22   | 0.06%             | 2029-10-24      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                  | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GA79<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    481000 | PA      | $509079.49    | 0.01%             | 2029-05-10      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                  | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GA87<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    264000 | PA      | $275785.79    | 0.01%             | 2030-04-25      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                  | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GB29<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1215000 | PA      | $1244891.06   | 0.03%             | 2030-07-23      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                  | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GB37<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2668000 | PA      | $2740031.32   | 0.07%             | 2035-07-23      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                  | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GB60<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2354000 | PA      | $2386236.22   | 0.06%             | 2030-10-23      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                  | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GB78<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    962000 | PA      | $966945.71    | 0.03%             | 2035-10-23      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                  | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GC28<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    730000 | PA      | $759132.91    | 0.02%             | 2030-02-10      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                  | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GC36<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   3972000 | PA      | $4102079.88   | 0.11%             | 2031-01-28      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                  | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GC93<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   4870000 | PA      | $5028359.93   | 0.13%             | 2031-04-23      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                  | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GD27<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   5024000 | PA      | $5022481.06   | 0.13%             | 2029-10-21      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                  | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GD35<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   8094000 | PA      | $8077176.34   | 0.21%             | 2031-10-21      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                  | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GD43<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   3456000 | PA      | $3431467.81   | 0.09%             | 2036-10-21      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                  | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GWV2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    430000 | PA      | $427434.81    | 0.01%             | 2029-04-23      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                  | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GXG4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    321000 | PA      | $301711.19    | 0.01%             | 2030-02-07      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                  | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYA6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    518000 | PA      | $515330.70    | 0.01%             | 2027-03-09      | Fixed         | 1.43%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                  | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYB4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1648000 | PA      | $1502818.39   | 0.04%             | 2032-04-22      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                  | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GZK3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1025000 | PA      | $1009049.47   | 0.03%             | 2028-02-24      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                  | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GZR8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    450000 | PA      | $447407.68    | 0.01%             | 2028-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                                          | Goodgreen 2017-1 Trust                                                          | CUSIP: 38217VAA8<br>LEI: 549300X0P2BXCQULUH20 | Long             | ABS-O            | CORP              | US        |    116316 | PA      | $107755.19    | 0.00%             | 2052-10-15      | Fixed         | 3.74%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                                          | Goodgreen 2019-2                                                                | CUSIP: 38218EAA5<br>LEI: 549300X0P2BXCQULUH20 | Long             | ABS-O            | CORP              | KY        |    858069 | PA      | $741423.87    | 0.02%             | 2055-04-15      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                                          | Goodgreen 2017-2 Trust                                                          | CUSIP: 38218QAA8<br>LEI: 549300X0P2BXCQULUH20 | Long             | ABS-O            | CORP              | KY        |    595578 | PA      | $543907.62    | 0.01%             | 2053-10-15      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| GOODYEAR TIRE & RUBBER                                   | Goodyear Tire & Rubber Co/The                                                   | CUSIP: 382550BR1<br>LEI: 5493002BI0S2ZQUY3437 | Long             | DBT              | CORP              | US        |    450000 | PA      | $426601.92    | 0.01%             | 2031-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38373A2C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     82229 | PA      | $4028.28      | 0.00%             | 2039-07-16      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| GNMA_09-72                                               | GNMA_09-72                                                                      | CUSIP: 38373AGM2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    205980 | PA      | $16375.50     | 0.00%             | 2039-08-16      | Variable      | 2.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_09-67                             | CUSIP: 38373AQT6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     84821 | PA      | $7059.53      | 0.00%             | 2039-08-16      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38373MA91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27521 | PA      | $29818.87     | 0.00%             | 2037-04-20      | Floating      | 9.81%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_08-23      | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_08-23                             | CUSIP: 383742VQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    283002 | PA      | $287784.56    | 0.01%             | 2038-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_03-75                             | CUSIP: 38374CDG3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    177650 | PA      | $177331.26    | 0.00%             | 2033-09-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_05-26      | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_05-26                             | CUSIP: 38374KP23<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    170177 | PA      | $173955.65    | 0.00%             | 2035-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_05-3       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_05-3                              | CUSIP: 38374KQJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    252750 | PA      | $5357.53      | 0.00%             | 2035-01-20      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_05-72                             | CUSIP: 38374L7K1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    139204 | PA      | $141837.44    | 0.00%             | 2035-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_06-17      | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_06-17                             | CUSIP: 38374MX46<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     72280 | PA      | $72942.86     | 0.00%             | 2036-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_06-38      | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_06-38                             | CUSIP: 38374NQB6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    290594 | PA      | $289858.51    | 0.01%             | 2036-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38375BE73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        35 | PA      | $31.81        | 0.00%             | 2063-01-20      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38375BE99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4432 | PA      | $4419.21      | 0.00%             | 2063-01-20      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38375BEL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3775 | PA      | $3802.96      | 0.00%             | 2060-07-20      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38375BK84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2696 | PA      | $2584.82      | 0.00%             | 2063-02-20      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38375BL75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5825 | PA      | $5777.17      | 0.00%             | 2062-02-20      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38375BN32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     90557 | PA      | $90352.55     | 0.00%             | 2063-03-20      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38375BQ70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    112424 | PA      | $112400.12    | 0.00%             | 2063-03-20      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38375BQ96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     88117 | PA      | $88001.86     | 0.00%             | 2063-03-20      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38375BR95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29917 | PA      | $28647.23     | 0.00%             | 2063-04-20      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38375BRB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    101220 | PA      | $101310.90    | 0.00%             | 2061-12-20      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38375BS37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68223 | PA      | $68233.88     | 0.00%             | 2063-04-20      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38375BS52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    244870 | PA      | $244909.76    | 0.01%             | 2063-04-20      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38375BWA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       331 | PA      | $331.73       | 0.00%             | 2061-05-20      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38375BWC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       295 | PA      | $295.48       | 0.00%             | 2061-05-20      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38375BYE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2176 | PA      | $2177.81      | 0.00%             | 2062-09-20      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38375BYQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3014 | PA      | $3014.86      | 0.00%             | 2062-07-20      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38375BZQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     67978 | PA      | $68005.05     | 0.00%             | 2062-10-20      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_08-76                             | CUSIP: 38375DUZ9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    223790 | PA      | $5663.98      | 0.00%             | 2038-09-20      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_08-95                             | CUSIP: 38375DYP7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    185400 | PA      | $1426.08      | 0.00%             | 2038-12-20      | Variable      | 3.15%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_06-69      | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_06-69                             | CUSIP: 38375JCC7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    340228 | PA      | $352232.20    | 0.01%             | 2036-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_07-40                             | CUSIP: 38375KB68<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    184725 | PA      | $5430.77      | 0.00%             | 2037-07-20      | Variable      | 2.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38375PCK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32026 | PA      | $26119.68     | 0.00%             | 2038-01-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38375UAL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15924 | PA      | $16014.48     | 0.00%             | 2063-09-20      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38375UAN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     70899 | PA      | $71067.53     | 0.00%             | 2063-09-20      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_08-62                             | CUSIP: 38375XHT4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    158686 | PA      | $820.76       | 0.00%             | 2038-07-20      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_09-81                             | CUSIP: 38376F4W9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    310278 | PA      | $28204.87     | 0.00%             | 2039-09-20      | Variable      | 1.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38376JFW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    283700 | PA      | $6300.36      | 0.00%             | 2038-02-20      | Floating      | 2.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38376RDE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    415610 | PA      | $415393.67    | 0.01%             | 2065-06-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38376RDR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    213984 | PA      | $213880.35    | 0.01%             | 2065-07-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38376RDY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    580901 | PA      | $580618.75    | 0.02%             | 2065-07-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38376REW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    118917 | PA      | $118891.50    | 0.00%             | 2065-06-20      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38376RHF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    246806 | PA      | $246924.30    | 0.01%             | 2065-09-20      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38376RKA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    155607 | PA      | $155683.41    | 0.00%             | 2065-10-20      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_10-47                             | CUSIP: 38376YT68<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    337274 | PA      | $20507.46     | 0.00%             | 2037-06-20      | Variable      | 2.55%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_10-107     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_10-107                            | CUSIP: 38377JFF5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    216126 | PA      | $41906.61     | 0.00%             | 2039-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38377LK72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    136447 | PA      | $146151.57    | 0.00%             | 2040-10-16      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38377NF41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    177473 | PA      | $153718.83    | 0.00%             | 2040-12-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38377RKA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1088548 | PA      | $1082577.17   | 0.03%             | 2040-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38377WFA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    149388 | PA      | $10214.87     | 0.00%             | 2041-05-20      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_11-137                            | CUSIP: 38377YX39<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    311990 | PA      | $324081.18    | 0.01%             | 2040-07-20      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_12-141     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_12-141                            | CUSIP: 38378GPG7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    228393 | PA      | $218469.19    | 0.01%             | 2042-01-20      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38378J4C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    152344 | PA      | $156399.03    | 0.00%             | 2040-06-20      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38378MRL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    624316 | PA      | $638350.97    | 0.02%             | 2042-11-20      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38378UWV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1275367 | PA      | $1191765.10   | 0.03%             | 2043-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38379GQX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    965793 | PA      | $876919.91    | 0.02%             | 2044-09-20      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38379GSW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    962825 | PA      | $893022.59    | 0.02%             | 2044-07-16      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38379HMV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    903972 | PA      | $825921.08    | 0.02%             | 2044-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38379QD93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1390412 | PA      | $1238756.82   | 0.03%             | 2045-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38379XN63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    402217 | PA      | $340977.65    | 0.01%             | 2044-04-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38379XX47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1819062 | PA      | $1545392.17   | 0.04%             | 2044-07-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38380BNN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    820919 | PA      | $750388.97    | 0.02%             | 2044-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38380H3A8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    581956 | PA      | $553046.23    | 0.01%             | 2044-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38380HEJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3158990 | PA      | $2883324.03   | 0.08%             | 2047-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38380L4U4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2240428 | PA      | $2228610.39   | 0.06%             | 2070-03-20      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38380WV71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1258696 | PA      | $1177856.87   | 0.03%             | 2048-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38382DF20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2279744 | PA      | $2319658.46   | 0.06%             | 2048-03-20      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38382MUU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1003517 | PA      | $1001372.02   | 0.03%             | 2051-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38382NFF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1151833 | PA      | $1149492.39   | 0.03%             | 2051-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38382NFU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1173467 | PA      | $1171466.84   | 0.03%             | 2051-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38382NJU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1291125 | PA      | $1275517.33   | 0.03%             | 2051-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38382NLJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1436222 | PA      | $1433934.53   | 0.04%             | 2051-02-20      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38382NPQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1378233 | PA      | $1088598.10   | 0.03%             | 2051-02-20      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38382QB90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2372621 | PA      | $1974389.69   | 0.05%             | 2051-05-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38382TXL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3287082 | PA      | $2708277.25   | 0.07%             | 2051-06-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38382UDH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3080324 | PA      | $2542372.99   | 0.07%             | 2051-04-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38382VCK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5658185 | PA      | $4724419.39   | 0.12%             | 2051-06-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38382XAA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    984874 | PA      | $824248.06    | 0.02%             | 2051-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38383D2L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6494008 | PA      | $5703155.59   | 0.15%             | 2051-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38383FF57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4985976 | PA      | $4379981.24   | 0.11%             | 2049-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38383FR62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1138836 | PA      | $951812.07    | 0.02%             | 2052-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38383FX73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    392390 | PA      | $339287.86    | 0.01%             | 2052-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38383FZF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    596115 | PA      | $513322.41    | 0.01%             | 2051-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38383GS44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3198314 | PA      | $2903288.54   | 0.08%             | 2049-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38383HAG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1968270 | PA      | $1592382.18   | 0.04%             | 2051-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38383MFU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2471050 | PA      | $2383991.10   | 0.06%             | 2041-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38383PLD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4420177 | PA      | $4006227.85   | 0.11%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38383PXJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    470000 | PA      | $394701.86    | 0.01%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38383RGE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2736799 | PA      | $2628500.84   | 0.07%             | 2052-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38383RU96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1621875 | PA      | $1402607.56   | 0.04%             | 2052-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38383RWC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1053000 | PA      | $847747.87    | 0.02%             | 2052-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38383YJQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1238441 | PA      | $1224082.74   | 0.03%             | 2049-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38384BFM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3930000 | PA      | $3449922.99   | 0.09%             | 2053-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38384KGP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    995130 | PA      | $924794.79    | 0.02%             | 2054-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38384QH76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    502925 | PA      | $481820.88    | 0.01%             | 2047-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38384QXH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1262000 | PA      | $1098432.81   | 0.03%             | 2049-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38385BN55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    543000 | PA      | $382938.37    | 0.01%             | 2055-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38385CKW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15303533 | PA      | $14797263.13  | 0.39%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GRAPHIC PACKAGING INTERN                                 | Graphic Packaging International LLC                                             | CUSIP: 38869AAE7<br>LEI: SO75N4VY5NXGQSK8YQ65 | Long             | DBT              | CORP              | US        |    395000 | PA      | $401750.64    | 0.01%             | 2032-07-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| GRAY MEDIA INC                                           | Gray Media Inc                                                                  | CUSIP: 389375AL0<br>LEI: 529900TM5726KDN7UU35 | Long             | DBT              | CORP              | US        |    350000 | PA      | $271270.07    | 0.01%             | 2030-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GRAY MEDIA INC                                           | Gray Media Inc                                                                  | CUSIP: 389375AP1<br>LEI: 529900TM5726KDN7UU35 | Long             | DBT              | CORP              | US        |    150000 | PA      | $153354.01    | 0.00%             | 2033-08-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| GREENKO DUTCH BV                                         | Greenko Dutch BV                                                                | CUSIP: 39530LAD2<br>LEI: 724500PT585P4JPVRP08 | Long             | DBT              | CORP              | NL        |    173000 | PA      | $171807.56    | 0.00%             | 2026-03-29      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| GRIFFON CORPORATION                                      | Griffon Corp                                                                    | CUSIP: 398433AP7<br>LEI: 5493000C2SGNC7ZN3242 | Long             | DBT              | CORP              | US        |    436000 | PA      | $436762.19    | 0.01%             | 2028-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GRUPO NUTRESA SA                                         | Grupo Nutresa SA                                                                | CUSIP: 40055CAB9<br>LEI: 254900KKAX7B7RJUE255 | Long             | DBT              | CORP              | CO        |    250000 | PA      | $282381.14    | 0.01%             | 2035-05-12      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF GUATEMALA                                    | Guatemala Government Bond                                                       | CUSIP: 401494BA6<br>LEI: 529900QKDFFU9UWW5315 | Long             | DBT              | NUSS              | GT        |    500000 | PA      | $522418.03    | 0.01%             | 2036-08-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| HGI CRE CLO LTD HGI_22-FL3                               | HGI CRE CLO LTD HGI_22-FL3                                                      | CUSIP: 403950AG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3998500 | PA      | $3991608.59   | 0.10%             | 2037-04-20      | Variable      | 8.10%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                  | HCA Inc                                                                         | CUSIP: 404119BX6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    600000 | PA      | $597866.61    | 0.02%             | 2029-06-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                  | HCA Inc                                                                         | CUSIP: 404119BZ1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1618000 | PA      | $1464646.60   | 0.04%             | 2049-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                  | HCA Inc                                                                         | CUSIP: 404119CR8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    833000 | PA      | $816322.33    | 0.02%             | 2053-06-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                  | HCA Inc                                                                         | CUSIP: 404119CU1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    192000 | PA      | $200285.28    | 0.01%             | 2034-04-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                  | HCA Inc                                                                         | CUSIP: 404119DA4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   2680000 | PA      | $2793372.52   | 0.07%             | 2032-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                  | HCA Inc                                                                         | CUSIP: 404119DC0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    787000 | PA      | $803337.92    | 0.02%             | 2055-03-01      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                  | HCA Inc                                                                         | CUSIP: 404119DE6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    682000 | PA      | $676890.99    | 0.02%             | 2032-11-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                  | HCA Inc                                                                         | CUSIP: 404121AL9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    261000 | PA      | $258191.84    | 0.01%             | 2054-09-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                        | HSBC Holdings PLC                                                               | CUSIP: 404280CC1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1394000 | PA      | $1376909.80   | 0.04%             | 2030-05-22      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                        | HSBC Holdings PLC                                                               | CUSIP: 404280CK3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    284000 | PA      | $258332.41    | 0.01%             | 2031-08-18      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                        | HSBC Holdings PLC                                                               | CUSIP: 404280CL1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1401000 | PA      | $1352188.97   | 0.04%             | 2028-09-22      | Fixed         | 2.01%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                        | HSBC Holdings PLC                                                               | CUSIP: 404280CT4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1032000 | PA      | $943124.64    | 0.02%             | 2032-05-24      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                        | HSBC Holdings PLC                                                               | CUSIP: 404280DG1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1217000 | PA      | $1237329.02   | 0.03%             | 2028-08-11      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                        | HSBC Holdings PLC                                                               | CUSIP: 404280EG0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    896000 | PA      | $944417.16    | 0.02%             | 2032-05-17      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                        | HSBC Holdings PLC                                                               | CUSIP: 404280EN5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1929000 | PA      | $1989990.46   | 0.05%             | 2030-11-19      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                        | HSBC Holdings PLC                                                               | CUSIP: 404280FE4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   2923000 | PA      | $2930621.61   | 0.08%             | 2031-11-06      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                        | HSBC Holdings PLC                                                               | CUSIP: 404280FG9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1967000 | PA      | $1971086.56   | 0.05%             | 2036-11-06      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                           | HarborView Mortgage Loan Trust 2004-3                                           | CUSIP: 41161PEC3<br>LEI: 549300SZXFEQICAU3R39 | Long             | ABS-MBS          | CORP              | US        |    255899 | PA      | $243849.13    | 0.01%             | 2034-05-19      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| HARVEST MIDSTREAM I LP                                   | Harvest Midstream I LP                                                          | CUSIP: 417558AB9<br>LEI: 549300DW5M17KJOXCY66 | Long             | DBT              | CORP              | US        |    420000 | PA      | $437767.56    | 0.01%             | 2032-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| KINGDOM OF JORDAN                                        | Jordan Government International Bond                                            | CUSIP: 418097AJ0<br>LEI: 5493000JZ4MYPVMBVN50 | Long             | DBT              | NUSS              | JO        |    200000 | PA      | $200524.19    | 0.01%             | 2047-10-10      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| KINGDOM OF JORDAN                                        | Jordan Government International Bond                                            | CUSIP: 418097AP6<br>LEI: 5493000JZ4MYPVMBVN50 | Long             | DBT              | NUSS              | JO        |    683000 | PA      | $670897.77    | 0.02%             | 2032-11-12      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| HERC HOLDINGS INC                                        | Herc Holdings Inc                                                               | CUSIP: 42704LAF1<br>LEI: 549300TP80QLITMSBP82 | Long             | DBT              | CORP              | US        |    303000 | PA      | $318689.94    | 0.01%             | 2030-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| HERO Funding Trust                                       | HERO Funding Trust 2016-3                                                       | CUSIP: 42770XAA5<br>LEI: 549300Z5C0ID42MSJA91 | Long             | ABS-O            | CORP              | US        |    176402 | PA      | $165354.76    | 0.00%             | 2042-09-20      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| HERO Funding Trust                                       | Hero Funding 2017-3                                                             | CUSIP: 42771AAB2<br>LEI: 549300Z5C0ID42MSJA91 | Long             | ABS-O            | CORP              | KY        |    380104 | PA      | $356934.66    | 0.01%             | 2048-09-20      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| HERO Funding Trust                                       | HERO Funding Trust 2017-1A                                                      | CUSIP: 42771XAC0<br>LEI: 549300Z5C0ID42MSJA91 | Long             | ABS-O            | CORP              | US        |    300456 | PA      | $286813.27    | 0.01%             | 2047-09-20      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| HERTZ CORP/THE                                           | Hertz Corp/The                                                                  | CUSIP: 428040DA4<br>LEI: 549300PD0C69OJ0NLB27 | Long             | DBT              | CORP              | US        |    200000 | PA      | $191154.22    | 0.01%             | 2026-12-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                | Hess Corp                                                                       | CUSIP: 42809HAD9<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |   1227000 | PA      | $1268988.41   | 0.03%             | 2041-02-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| HESS MIDSTREAM OPERATION                                 | Hess Midstream Operations LP                                                    | CUSIP: 428102AH0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    415000 | PA      | $422757.43    | 0.01%             | 2028-03-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| HILCORP ENERGY I/HILCORP                                 | Hilcorp Energy I LP / Hilcorp Finance Co                                        | CUSIP: 431318AU8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    540000 | PA      | $532889.25    | 0.01%             | 2029-02-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| HILLENBRAND INC                                          | Hillenbrand Inc                                                                 | CUSIP: 431571AE8<br>LEI: U246OE781574J2BUD366 | Long             | DBT              | CORP              | US        |    505000 | PA      | $505432.87    | 0.01%             | 2031-03-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATIN                                 | Hilton Domestic Operating Co Inc                                                | CUSIP: 432833AF8<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |    145000 | PA      | $145442.58    | 0.00%             | 2030-01-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATIN                                 | Hilton Domestic Operating Co Inc                                                | CUSIP: 432833AJ0<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |    490000 | PA      | $476327.22    | 0.01%             | 2029-05-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATIN                                 | Hilton Domestic Operating Co Inc                                                | CUSIP: 432833AR2<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |    285000 | PA      | $293202.85    | 0.01%             | 2033-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATIN                                 | Hilton Domestic Operating Co Inc                                                | CUSIP: 432833AS0<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |    133000 | PA      | $136099.67    | 0.00%             | 2033-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                             | Hilton Grand Vacations Trust 2025-3EXT                                          | CUSIP: 43283DAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1290000 | PA      | $1291184.22   | 0.03%             | 2044-10-25      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| HILTON WORLDWIDE FIN LLC                                 | Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp                    | CUSIP: 432891AK5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    305000 | PA      | $305007.02    | 0.01%             | 2027-04-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| HOLOGIC INC                                              | Hologic Inc                                                                     | CUSIP: 436440AP6<br>LEI: 549300DYP6F5ZJL0LB74 | Long             | DBT              | CORP              | US        |    525000 | PA      | $517437.75    | 0.01%             | 2029-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                           | Home Depot Inc/The                                                              | CUSIP: 437076CQ3<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |   1185000 | PA      | $865888.46    | 0.02%             | 2052-04-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                           | Home Depot Inc/The                                                              | CUSIP: 437076DE9<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    857000 | PA      | $876262.48    | 0.02%             | 2034-06-25      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables Owner Trust                       | Honda Auto Receivables 2025-3 Owner Trust                                       | CUSIP: 43813QAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2143000 | PA      | $2153407.27   | 0.06%             | 2031-11-21      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables Owner Trust                       | Honda Auto Receivables 2025-4 Owner Trust                                       | CUSIP: 43814XAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2245000 | PA      | $2254748.46   | 0.06%             | 2030-06-17      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| HONDURAS GOVERNMENT                                      | Honduras Government International Bond                                          | CUSIP: 438180AK7<br>LEI: 5493002DW1JNBNG17615 | Long             | DBT              | NUSS              | HN        |    300000 | PA      | $339031.70    | 0.01%             | 2034-11-27      | Fixed         | 8.63%                 | No            |                  2 | On Loan: No      |
| HONEYWELL INTERNATIONAL                                  | Honeywell International Inc                                                     | CUSIP: 438516CT1<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |    245000 | PA      | $231596.91    | 0.01%             | 2054-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| HOWARD MIDSTREAM ENERGY                                  | Howard Midstream Energy Partners LLC                                            | CUSIP: 442722AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    160000 | PA      | $168848.94    | 0.00%             | 2032-07-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| HOWMET AEROSPACE INC                                     | Howmet Aerospace Inc                                                            | CUSIP: 443201AC2<br>LEI: 549300HO5WFZUT5N2T22 | Long             | DBT              | CORP              | US        |   1048000 | PA      | $1075534.24   | 0.03%             | 2031-10-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON BANCSHARES                                    | Huntington Bancshares Inc/OH                                                    | CUSIP: 446150BD5<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |    254000 | PA      | $265554.83    | 0.01%             | 2035-02-02      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                  | Hyundai Capital America                                                         | CUSIP: 44891ABS5<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    239000 | PA      | $238842.84    | 0.01%             | 2026-01-08      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                  | Hyundai Capital America                                                         | CUSIP: 44891ABT3<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    196000 | PA      | $186991.25    | 0.00%             | 2028-01-10      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                  | Hyundai Capital America                                                         | CUSIP: 44891ADQ7<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   1157000 | PA      | $1184347.98   | 0.03%             | 2030-03-27      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                  | Hyundai Capital America                                                         | CUSIP: 44891AEA1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   1019000 | PA      | $1017357.45   | 0.03%             | 2030-09-18      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust                           | Hyundai Auto Receivables Trust 2023-A                                           | CUSIP: 448979AE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1844000 | PA      | $1849456.03   | 0.05%             | 2028-07-17      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust                           | Hyundai Auto Receivables Trust 2023-B                                           | CUSIP: 44933XAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    545941 | PA      | $549490.93    | 0.01%             | 2028-04-17      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Lease Securitization Trust                  | Hyundai Auto Lease Securitization Trust 2025-B                                  | CUSIP: 44935DAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4103000 | PA      | $4141693.75   | 0.11%             | 2028-04-17      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| INEOS FINANCE PLC                                        | INEOS Finance PLC                                                               | CUSIP: 44984WAH0<br>LEI: 2138002D68XDR4LZCG32 | Long             | DBT              | CORP              | GB        |    500000 | PA      | $442261.49    | 0.01%             | 2028-05-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| IQVIA INC                                                | IQVIA Inc                                                                       | CUSIP: 449934AD0<br>LEI: 549300PLWY28YB00C717 | Long             | DBT              | CORP              | US        |    260000 | PA      | $259849.15    | 0.01%             | 2026-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES/FIN                                    | Icahn Enterprises LP / Icahn Enterprises Finance Corp                           | CUSIP: 451102BZ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    276000 | PA      | $272245.38    | 0.01%             | 2027-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| IHEARTCOMMUNICATIONS INC                                 | iHeartCommunications Inc                                                        | CUSIP: 45174HBJ5<br>LEI: 54930076J6KDZL504O62 | Long             | DBT              | CORP              | US        |    394250 | PA      | $379773.26    | 0.01%             | 2029-05-01      | Fixed         | 9.13%                 | No            |                  2 | On Loan: No      |
| IHEARTCOMMUNICATIONS INC                                 | iHeartCommunications Inc                                                        | CUSIP: 45174HBM8<br>LEI: 54930076J6KDZL504O62 | Long             | DBT              | CORP              | US        |    372700 | PA      | $325692.94    | 0.01%             | 2030-08-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                          | IMPAC CMB TRUST IMM_05-4                                                        | CUSIP: 45254NPE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     80052 | PA      | $77737.56     | 0.00%             | 2035-05-25      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp.                               | IMSA_03-3                                                                       | CUSIP: 45254TNG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     31873 | PA      | $31664.78     | 0.00%             | 2033-08-25      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp.                               | Impac Secured Assets Trust 2006-1                                               | CUSIP: 45254TTN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20575 | PA      | $19509.51     | 0.00%             | 2036-05-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| IMOLA MERGER CORP                                        | Imola Merger Corp                                                               | CUSIP: 45258LAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    540000 | PA      | $533455.99    | 0.01%             | 2029-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FIN PLC                                  | Imperial Brands Finance PLC                                                     | CUSIP: 45262BAH6<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |   1816000 | PA      | $1898299.30   | 0.05%             | 2034-07-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FIN PLC                                  | Imperial Brands Finance PLC                                                     | CUSIP: 45262BAK9<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |   1593000 | PA      | $1636229.85   | 0.04%             | 2035-07-01      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| CRESCENT ENERGY FINANCE                                  | Crescent Energy Finance LLC                                                     | CUSIP: 45344LAC7<br>LEI: 54930061FUL6DBLFUW14 | Long             | DBT              | CORP              | US        |    631000 | PA      | $650785.86    | 0.02%             | 2028-02-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                                    | Indonesia Government International Bond                                         | CUSIP: 455780EC6<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |   2237000 | PA      | $2230344.85   | 0.06%             | 2031-04-16      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                                    | Indonesia Government International Bond                                         | CUSIP: 455780ED4<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |   2216000 | PA      | $2212971.02   | 0.06%             | 2036-04-16      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                   | Residential Asset Securitization Trust 2004-IP2                                 | CUSIP: 45660LAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    130091 | PA      | $129925.17    | 0.00%             | 2034-12-25      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                               | Intel Corp                                                                      | CUSIP: 458140BJ8<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    389000 | PA      | $249094.36    | 0.01%             | 2049-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                               | Intel Corp                                                                      | CUSIP: 458140BV1<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    664000 | PA      | $463417.99    | 0.01%             | 2041-08-12      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                               | Intel Corp                                                                      | CUSIP: 458140CH1<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    443000 | PA      | $425824.29    | 0.01%             | 2043-02-10      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                               | Intel Corp                                                                      | CUSIP: 458140CK4<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    582000 | PA      | $545653.90    | 0.01%             | 2063-02-10      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                      | Intesa Sanpaolo SpA                                                             | CUSIP: 46115HBS5<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |   1199000 | PA      | $1022863.34   | 0.03%             | 2042-06-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                      | Intesa Sanpaolo SpA                                                             | CUSIP: 46115HCD7<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |   1062000 | PA      | $1214169.77   | 0.03%             | 2033-11-28      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OP                                      | Invitation Homes Operating Partnership LP                                       | CUSIP: 46188BAA0<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              |  | US        |    231000 | PA      | $201925.25    | 0.01%             | 2031-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OP                                      | Invitation Homes Operating Partnership LP                                       | CUSIP: 46188BAD4<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              |  | US        |   1326000 | PA      | $1287910.19   | 0.03%             | 2032-04-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OP                                      | Invitation Homes Operating Partnership LP                                       | CUSIP: 46188BAH5<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              |  | US        |   1344000 | PA      | $1363944.45   | 0.04%             | 2033-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| IQVIA INC                                                | IQVIA Inc                                                                       | CUSIP: 46266TAA6<br>LEI: 549300PLWY28YB00C717 | Long             | DBT              | CORP              | US        |    358000 | PA      | $358078.23    | 0.01%             | 2027-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| IQVIA INC                                                | IQVIA Inc                                                                       | CUSIP: 46266TAG3<br>LEI: 549300PLWY28YB00C717 | Long             | DBT              | CORP              | US        |    395000 | PA      | $413036.64    | 0.01%             | 2032-06-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| IRON MOUNTAIN INC                                        | Iron Mountain Inc                                                               | CUSIP: 46284VAC5<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              |  | US        |    750000 | PA      | $749007.85    | 0.02%             | 2027-09-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| STATE OF ISRAEL                                          | Israel Government International Bond                                            | CUSIP: 46513JB42<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |   1088000 | PA      | $792053.34    | 0.02%             | 2050-07-03      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| STATE OF ISRAEL                                          | Israel Government International Bond                                            | CUSIP: 46514BRM1<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |   1335000 | PA      | $1280776.75   | 0.03%             | 2054-03-12      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ISTANBUL METROPOLITAN MU                                 | Istanbul Metropolitan Municipality                                              | CUSIP: 46522TAC2<br>LEI: 213800T1VDQSNKA2MD76 | Long             | DBT              | NUSS              | TR        |    455000 | PA      | $499442.37    | 0.01%             | 2028-12-06      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| ITC HOLDINGS CORP                                        | ITC Holdings Corp                                                               | CUSIP: 465685AQ8<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |    310000 | PA      | $292590.42    | 0.01%             | 2030-05-14      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| ITC HOLDINGS CORP                                        | ITC Holdings Corp                                                               | CUSIP: 465685AR6<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |    193000 | PA      | $195520.55    | 0.01%             | 2027-09-22      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ITC HOLDINGS CORP                                        | ITC Holdings Corp                                                               | CUSIP: 465685AS4<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |    409000 | PA      | $422113.10    | 0.01%             | 2033-06-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| ITC HOLDINGS CORP                                        | ITC Holdings Corp                                                               | CUSIP: 465685AT2<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |    689000 | PA      | $718799.83    | 0.02%             | 2034-05-09      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD/LUX CO                                 | JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl                      | CUSIP: 46590XAP1<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |   1959000 | PA      | $1757262.46   | 0.05%             | 2032-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD/LUX CO                                 | JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl                      | CUSIP: 46590XAU0<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |   2776000 | PA      | $2599995.09   | 0.07%             | 2032-01-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD/LUX CO                                 | JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl                      | CUSIP: 46590XAX4<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |   1067000 | PA      | $1096336.97   | 0.03%             | 2052-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD/LUX CO                                 | JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl                      | CUSIP: 46590XAY2<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    505000 | PA      | $526915.59    | 0.01%             | 2033-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                 | JP Morgan Mortgage Trust 2006-A2                                                | CUSIP: 466247K93<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     34548 | PA      | $34341.39     | 0.00%             | 2033-11-25      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                 | JP Morgan Mortgage Trust 2007-A1                                                | CUSIP: 46630GAV7<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     38346 | PA      | $38258.87     | 0.00%             | 2035-07-25      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                      | JPMorgan Chase & Co                                                             | CUSIP: 46647PFE1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1203000 | PA      | $1195274.71   | 0.03%             | 2036-10-22      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| JAPAN TOBACCO INC                                        | Japan Tobacco Inc                                                               | CUSIP: 471105AD8<br>LEI: 353800Z0ENYBQO0XRJ31 | Long             | DBT              | CORP              | JP        |    545000 | PA      | $565064.54    | 0.01%             | 2030-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| JAPAN TOBACCO INC                                        | Japan Tobacco Inc                                                               | CUSIP: 471105AE6<br>LEI: 353800Z0ENYBQO0XRJ31 | Long             | DBT              | CORP              | JP        |    320000 | PA      | $340990.29    | 0.01%             | 2035-06-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| JBS USA SARL/FOOD/GRP                                    | JBS USA LUX Sarl / JBS USA Food Co / JBS USA Foods Group                        | CUSIP: 472140AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    383000 | PA      | $402528.63    | 0.01%             | 2035-04-20      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD GRP/CO                                 | JBS USA Holding Lux Sarl / JBS USA Foods Group Holdings Inc / JBS USA Food Co   | CUSIP: 472140AE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1430000 | PA      | $1451206.15   | 0.04%             | 2036-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD GRP/CO                                 | JBS USA Holding Lux Sarl / JBS USA Foods Group Holdings Inc / JBS USA Food Co   | CUSIP: 472140AJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    527000 | PA      | $523676.04    | 0.01%             | 2066-04-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD/LUX CO                                 | JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl                      | CUSIP: 47214BAD0<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |   1633000 | PA      | $1821081.71   | 0.05%             | 2053-11-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| JERSEY CENTRAL PWR & LT                                  | Jersey Central Power & Light Co                                                 | CUSIP: 476556DD4<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |   2944000 | PA      | $2646289.95   | 0.07%             | 2032-03-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| JERSEY CENTRAL PWR & LT                                  | Jersey Central Power & Light Co                                                 | CUSIP: 476556DF9<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |    918000 | PA      | $929285.78    | 0.02%             | 2035-01-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| JERSEY CENTRAL PWR & LT                                  | Jersey Central Power & Light Co                                                 | CUSIP: 476556DG7<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |   1824000 | PA      | $1817720.04   | 0.05%             | 2031-01-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| JERSEY CENTRAL PWR & LT                                  | Jersey Central Power & Light Co                                                 | CUSIP: 476556DJ1<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |   1094000 | PA      | $1092881.84   | 0.03%             | 2029-01-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| JETBLUE AIRWAYS/LOYALTY                                  | JetBlue Airways Corp / JetBlue Loyalty LP                                       | CUSIP: 476920AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    490000 | PA      | $493557.68    | 0.01%             | 2031-09-20      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                 | KGS-Alpha SBA COOF Trust 2012-2                                                 | CUSIP: 48247KAA5<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    332603 | PA      | $5058.13      | 0.00%             | 2038-08-25      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                 | KGS-Alpha SBA COOF Trust 2013-2                                                 | CUSIP: 48248XAA6<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    474248 | PA      | $12069.04     | 0.00%             | 2039-03-25      | Variable      | 1.57%                 | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                 | KGS-Alpha SBA COOF Trust 2014-2                                                 | CUSIP: 48249GAA2<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |     72914 | PA      | $4174.18      | 0.00%             | 2040-04-25      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| EVERGY METRO                                             | Evergy Metro Inc                                                                | CUSIP: 485134BQ2<br>LEI: 1128SIJQ26096WL7IO82 | Long             | DBT              | CORP              | US        |    219000 | PA      | $177542.73    | 0.00%             | 2047-06-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF KENYA                                        | Republic of Kenya Government International Bond                                 | CUSIP: 491798AN4<br>LEI: 549300VVURQQYU45PR87 | Long             | DBT              | NUSS              | KE        |    200000 | PA      | $212376.07    | 0.01%             | 2036-03-05      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF KENYA                                        | Republic of Kenya Government International Bond                                 | CUSIP: 491798AP9<br>LEI: 549300VVURQQYU45PR87 | Long             | DBT              | NUSS              | KE        |    240000 | PA      | $239946.71    | 0.01%             | 2033-10-09      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF KENYA                                        | Republic of Kenya Government International Bond                                 | CUSIP: 491798AQ7<br>LEI: 549300VVURQQYU45PR87 | Long             | DBT              | NUSS              | KE        |    340000 | PA      | $343775.26    | 0.01%             | 2038-10-09      | Fixed         | 8.80%                 | No            |                  2 | On Loan: No      |
| KEYCORP                                                  | KeyCorp                                                                         | CUSIP: 49326EEN9<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |    488000 | PA      | $487696.35    | 0.01%             | 2033-06-01      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| KEYCORP                                                  | KeyCorp                                                                         | CUSIP: 49326EEQ2<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |    874000 | PA      | $897610.05    | 0.02%             | 2031-04-04      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| KIMCO REALTY OP LLC                                      | Kimco Realty OP LLC                                                             | CUSIP: 49447BAB9<br>LEI: 549300EA7I6T15IBYS12 | Long             | DBT              |  | US        |   1060000 | PA      | $1055359.07   | 0.03%             | 2035-03-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| KIMCO REALTY OP LLC                                      | Kimco Realty OP LLC                                                             | CUSIP: 49447BAC7<br>LEI: 549300EA7I6T15IBYS12 | Long             | DBT              |  | US        |   1218000 | PA      | $1246867.22   | 0.03%             | 2036-02-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                        | Kinder Morgan Inc                                                               | CUSIP: 49456BAS0<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    704000 | PA      | $466386.84    | 0.01%             | 2050-08-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                        | Kinder Morgan Inc                                                               | CUSIP: 49456BBB6<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |   1381000 | PA      | $1428011.68   | 0.04%             | 2030-06-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| KINETIK HOLDINGS LP                                      | Kinetik Holdings LP                                                             | CUSIP: 49461MAA8<br>LEI: 549300RD6AJIMYC0HY12 | Long             | DBT              | CORP              | US        |   1603000 | PA      | $1616691.20   | 0.04%             | 2030-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| KINETIK HOLDINGS LP                                      | Kinetik Holdings LP                                                             | CUSIP: 49461MAB6<br>LEI: 549300RD6AJIMYC0HY12 | Long             | DBT              | CORP              | US        |    549000 | PA      | $565239.41    | 0.01%             | 2028-12-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| KIOXIA HOLDINGS CORP                                     | Kioxia Holdings Corp                                                            | CUSIP: 49726JAA6<br>LEI: 35380080RTKRARNH4R73 | Long             | DBT              | CORP              | JP        |    400000 | PA      | $411832.76    | 0.01%             | 2030-07-24      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| KNIFE RIVER CORP                                         | Knife River Corp                                                                | CUSIP: 498894AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    355000 | PA      | $371326.43    | 0.01%             | 2031-05-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| KODIAK GAS SERVICES LLC                                  | Kodiak Gas Services LLC                                                         | CUSIP: 50012LAD6<br>LEI: 549300ZQBRWEUOVOM131 | Long             | DBT              | CORP              | US        |    208000 | PA      | $212317.84    | 0.01%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| KUWAIT INTL BOND                                         | Kuwait International Government Bond                                            | CUSIP: 501499AD9<br>LEI: 549300FSC1YD0D9XX589 | Long             | DBT              | NUSS              | KW        |   3705000 | PA      | $3704325.55   | 0.10%             | 2028-10-09      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| KUWAIT INTL BOND                                         | Kuwait International Government Bond                                            | CUSIP: 501499AE7<br>LEI: 549300FSC1YD0D9XX589 | Long             | DBT              | NUSS              | KW        |   5705000 | PA      | $5691407.55   | 0.15%             | 2030-10-09      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| KUWAIT INTL BOND                                         | Kuwait International Government Bond                                            | CUSIP: 501499AF4<br>LEI: 549300FSC1YD0D9XX589 | Long             | DBT              | NUSS              | KW        |   2096000 | PA      | $2086408.27   | 0.05%             | 2035-10-09      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| BATH & BODY WORKS INC                                    | Bath & Body Works Inc                                                           | CUSIP: 501797AR5<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |    590000 | PA      | $602945.03    | 0.02%             | 2029-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Ladder Capital Commercial Mortgage Securities LLC        | Ladder Capital Commercial Mortgage 2013-GCP Mortgage Trust                      | CUSIP: 50184BAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1535000 | PA      | $1444664.79   | 0.04%             | 2036-02-15      | Fixed         | 3.99%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                     | LHOME Mortgage Trust 2023-RTL4                                                  | CUSIP: 50204VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4165000 | PA      | $4171283.32   | 0.11%             | 2028-11-25      | Variable      | 7.63%                 | No            |                  2 | On Loan: No      |
| LAMAR MEDIA CORP                                         | Lamar Media Corp                                                                | CUSIP: 513075BT7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    530000 | PA      | $511538.43    | 0.01%             | 2030-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LAMB WESTON HLD                                          | Lamb Weston Holdings Inc                                                        | CUSIP: 513272AC8<br>LEI: 5493005SMYID1D2OY946 | Long             | DBT              | CORP              | US        |    345000 | PA      | $344264.79    | 0.01%             | 2028-05-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                   | Lending Funding Trust 2020-2                                                    | CUSIP: 51507KAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $5989745.40   | 0.16%             | 2031-04-21      | Fixed         | 6.77%                 | No            |                  2 | On Loan: No      |
| VITAL ENERGY INC                                         | Vital Energy Inc                                                                | CUSIP: 516806AK2<br>LEI: 549300X0PTWU2QSLSL14 | Long             | DBT              | CORP              | US        |    210000 | PA      | $206932.47    | 0.01%             | 2032-04-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| LEIDOS INC                                               | Leidos Inc                                                                      | CUSIP: 52532XAK1<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |    841000 | PA      | $874705.59    | 0.02%             | 2032-03-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                   | LENDMARK FUNDING TRUST LFT_21-2                                                 | CUSIP: 52604DAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $5563371.60   | 0.15%             | 2032-04-20      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| LendingPoint Asset Securitization Trust                  | LendingPoint 2020-REV1 Asset Securitization Trust                               | CUSIP: 52606YAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    857129 | PA      | $856761.75    | 0.02%             | 2028-10-15      | Fixed         | 7.70%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                   | Lendmark Funding Trust 2021-1                                                   | CUSIP: 52607MAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1625000 | PA      | $1552331.46   | 0.04%             | 2031-11-20      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                   | Lendmark Funding Trust 2021-1                                                   | CUSIP: 52607MAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4797968.50   | 0.13%             | 2031-11-20      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                   | Lendmark Funding Trust 2021-1                                                   | CUSIP: 52607MAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2850483.60   | 0.07%             | 2031-11-20      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                                    | Level 3 Financing Inc                                                           | CUSIP: 527298CN1<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |    200000 | PA      | $206045.09    | 0.01%             | 2034-03-31      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                                           | Eli Lilly & Co                                                                  | CUSIP: 532457CL0<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |    772000 | PA      | $782271.99    | 0.02%             | 2034-02-09      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                                           | Eli Lilly & Co                                                                  | CUSIP: 532457CQ9<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |   2459000 | PA      | $2483091.65   | 0.07%             | 2029-08-14      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                                           | Eli Lilly & Co                                                                  | CUSIP: 532457CR7<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |   1398000 | PA      | $1403039.63   | 0.04%             | 2034-08-14      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                                           | Eli Lilly & Co                                                                  | CUSIP: 532457CS5<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |    189000 | PA      | $177217.96    | 0.00%             | 2054-08-14      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                                           | Eli Lilly & Co                                                                  | CUSIP: 532457CW6<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |    594000 | PA      | $614698.84    | 0.02%             | 2032-02-12      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                                           | Eli Lilly & Co                                                                  | CUSIP: 532457CX4<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |    443000 | PA      | $458247.08    | 0.01%             | 2035-02-12      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                                           | Eli Lilly & Co                                                                  | CUSIP: 532457CY2<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |    978000 | PA      | $980388.37    | 0.03%             | 2055-02-12      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                                           | Eli Lilly & Co                                                                  | CUSIP: 532457CZ9<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |   1079000 | PA      | $1082370.11   | 0.03%             | 2065-02-12      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                                           | Eli Lilly & Co                                                                  | CUSIP: 532457DC9<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |   2364000 | PA      | $2382511.53   | 0.06%             | 2031-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                                           | Eli Lilly & Co                                                                  | CUSIP: 532457DF2<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |    493000 | PA      | $497159.79    | 0.01%             | 2055-10-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| LITHIA MOTORS INC                                        | Lithia Motors Inc                                                               | CUSIP: 536797AE3<br>LEI: SE8N1EZEHPZQBCBVKD53 | Long             | DBT              | CORP              | US        |    405000 | PA      | $404377.98    | 0.01%             | 2027-12-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| LIVE NATION ENTERTAINMEN                                 | Live Nation Entertainment Inc                                                   | CUSIP: 538034AR0<br>LEI: 5493007B9BM9ZXJINO78 | Long             | DBT              | CORP              | US        |    435000 | PA      | $436075.39    | 0.01%             | 2027-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| LIVE NATION ENTERTAINMEN                                 | Live Nation Entertainment Inc                                                   | CUSIP: 538034AV1<br>LEI: 5493007B9BM9ZXJINO78 | Long             | DBT              | CORP              | US        |    475000 | PA      | $478509.13    | 0.01%             | 2027-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                 | Lloyds Banking Group PLC                                                        | CUSIP: 53944YAP8<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    356000 | PA      | $352726.67    | 0.01%             | 2027-05-11      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                 | Lloyds Banking Group PLC                                                        | CUSIP: 53944YAX1<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    220000 | PA      | $231565.68    | 0.01%             | 2035-01-05      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                 | Lloyds Banking Group PLC                                                        | CUSIP: 53944YAZ6<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    205000 | PA      | $207782.66    | 0.01%             | 2028-01-05      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                 | Lloyds Banking Group PLC                                                        | CUSIP: 53944YBD4<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   2218000 | PA      | $2211378.70   | 0.06%             | 2031-11-04      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                 | Lloyds Banking Group PLC                                                        | CUSIP: 53944YBE2<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   2617000 | PA      | $2588923.53   | 0.07%             | 2036-11-04      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                           | Lowe's Cos Inc                                                                  | CUSIP: 548661EB9<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    937000 | PA      | $650573.58    | 0.02%             | 2051-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                           | Lowe's Cos Inc                                                                  | CUSIP: 548661EJ2<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |   1727000 | PA      | $1361164.24   | 0.04%             | 2052-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                           | Lowe's Cos Inc                                                                  | CUSIP: 548661EV5<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |   1822000 | PA      | $1814771.26   | 0.05%             | 2031-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                           | Lowe's Cos Inc                                                                  | CUSIP: 548661EX1<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |   1696000 | PA      | $1681913.55   | 0.04%             | 2035-10-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| LUMEN TECHNOLOGIES INC                                   | Lumen Technologies Inc                                                          | CUSIP: 550241AH6<br>LEI: 8M3THTGWLTYZVE6BBY25 | Long             | DBT              | CORP              | US        |   1045883 | PA      | $1041734.20   | 0.03%             | 2030-04-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| M&T BANK CORPORATION                                     | M&T Bank Corp                                                                   | CUSIP: 55261FAT1<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |    531000 | PA      | $564841.06    | 0.01%             | 2032-03-13      | Fixed         | 6.08%                 | No            |                  2 | On Loan: No      |
| M&T BANK CORPORATION                                     | M&T Bank Corp                                                                   | CUSIP: 55261FAV6<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |    657000 | PA      | $667567.87    | 0.02%             | 2036-01-16      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| MASTR Seasoned Securitization Trust                      | MASTR Seasoned Securitization Trust 2004-2                                      | CUSIP: 55265WCA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     49734 | PA      | $49457.34     | 0.00%             | 2032-08-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| MASTR Seasoned Securitization Trust                      | MASTR Seasoned Securitization Trust 2004-2                                      | CUSIP: 55265WCB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     78331 | PA      | $78346.47     | 0.00%             | 2032-08-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                               | MFA 2021-NQM2 Trust                                                             | CUSIP: 55283WAA9<br>LEI: 2549007EHG79GWD49I44 | Long             | ABS-MBS          | CORP              | US        |    542885 | PA      | $491242.76    | 0.01%             | 2064-11-25      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| MGM RESORTS INTL                                         | MGM Resorts International                                                       | CUSIP: 552953CJ8<br>LEI: 54930066VBP7DZEGGJ87 | Long             | DBT              | CORP              | US        |    320000 | PA      | $329577.64    | 0.01%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MGM RESORTS INTL                                         | MGM Resorts International                                                       | CUSIP: 552953CK5<br>LEI: 54930066VBP7DZEGGJ87 | Long             | DBT              | CORP              | US        |    300000 | PA      | $308369.14    | 0.01%             | 2029-09-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                  | MPLX LP                                                                         | CUSIP: 55336VCA6<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   1550000 | PA      | $1566986.86   | 0.04%             | 2031-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| MRCD Mortgage Trust                                      | MRCD 2019-MARK Mortgage Trust                                                   | CUSIP: 55348UAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $3360000.00   | 0.09%             | 2036-12-15      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| MRCD Mortgage Trust                                      | MRCD 2019-MARK Mortgage Trust                                                   | CUSIP: 55348UAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2375000 | PA      | $1740424.23   | 0.05%             | 2036-12-15      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| MSD INVESTMENT CORP                                      | MSD Investment Corp                                                             | CUSIP: 55354LAC3<br>LEI: 549300K4HV7AOWFSAO65 | Long             | DBT              | CORP              | US        |   1606000 | PA      | $1596618.14   | 0.04%             | 2031-02-05      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| MV24 CAPITAL BV                                          | MV24 Capital BV                                                                 | CUSIP: 55388RAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    277612 | PA      | $275320.86    | 0.01%             | 2034-06-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                                          | MVW 2023-2 LLC                                                                  | CUSIP: 55400WAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1139765 | PA      | $1166806.25   | 0.03%             | 2040-11-20      | Fixed         | 9.33%                 | No            |                  2 | On Loan: No      |
| MACQUARIE BANK LTD                                       | Macquarie Bank Ltd                                                              | CUSIP: 556079AD3<br>LEI: 4ZHCHI4KYZG2WVRT8631 | Long             | DBT              | CORP              | AU        |    280000 | PA      | $254883.01    | 0.01%             | 2036-03-03      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| MACQUARIE GROUP LTD                                      | Macquarie Group Ltd                                                             | CUSIP: 55608JAP3<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |    219000 | PA      | $222970.63    | 0.01%             | 2030-01-15      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| MADISON IAQ LLC                                          | Madison IAQ LLC                                                                 | CUSIP: 55760LAA5<br>LEI: 549300IXDNBXNHUPBU73 | Long             | DBT              | CORP              | US        |    300000 | PA      | $294787.42    | 0.01%             | 2028-06-30      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                 | Warnermedia Holdings Inc                                                        | CUSIP: 55903VBQ5<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    110000 | PA      | $96568.64     | 0.00%             | 2032-03-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                 | Warnermedia Holdings Inc                                                        | CUSIP: 55903VBW2<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |     65000 | PA      | $45909.94     | 0.00%             | 2042-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| MARINER FINANCE ISSUANCE TRUST MFIT_24-BA                | MARINER FINANCE ISSUANCE TRUST MFIT_24-BA                                       | CUSIP: 56847GAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6500000 | PA      | $6841241.55   | 0.18%             | 2038-11-20      | Fixed         | 8.80%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                           | Mariner Finance Issuance Trust 2021-A                                           | CUSIP: 56848DAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4864806.50   | 0.13%             | 2036-03-20      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                 | Mars Inc                                                                        | CUSIP: 571676AY1<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   3392000 | PA      | $3465780.92   | 0.09%             | 2030-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                 | Mars Inc                                                                        | CUSIP: 571676AZ8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   1578000 | PA      | $1625757.31   | 0.04%             | 2032-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                 | Mars Inc                                                                        | CUSIP: 571676BA2<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   1512000 | PA      | $1552726.52   | 0.04%             | 2035-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                 | Mars Inc                                                                        | CUSIP: 571676BB0<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    259000 | PA      | $261248.99    | 0.01%             | 2045-05-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                                   | Marvell Technology Inc                                                          | CUSIP: 573874AR5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    140000 | PA      | $141880.39    | 0.00%             | 2030-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                                   | Marvell Technology Inc                                                          | CUSIP: 573874AS3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    469000 | PA      | $483107.98    | 0.01%             | 2035-07-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| MASTERBRAND INC                                          | Masterbrand Inc                                                                 | CUSIP: 57638PAA2<br>LEI: 549300E0Y4BR5Z9RDZ64 | Long             | DBT              | CORP              | US        |    425000 | PA      | $440800.74    | 0.01%             | 2032-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                    | MASTR Adjustable Rate Mortgages Trust 2004-13                                   | CUSIP: 576433UE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40809 | PA      | $40155.78     | 0.00%             | 2034-04-21      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                    | MASTR Adjustable Rate Mortgages Trust 2004-13                                   | CUSIP: 576433UM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     72212 | PA      | $71697.29     | 0.00%             | 2034-11-21      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                         | MASTR ASSET SECURITIZATION TRUST MASTR_04-P7                                    | CUSIP: 57643MCH5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     13286 | PA      | $11252.50     | 0.00%             | 2033-12-27      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MATADOR RESOURCES CO                                     | Matador Resources Co                                                            | CUSIP: 576485AF3<br>LEI: 549300CI3Q2UUK5R4G79 | Long             | DBT              | CORP              | US        |    270000 | PA      | $275756.00    | 0.01%             | 2028-04-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| MATADOR RESOURCES CO                                     | Matador Resources Co                                                            | CUSIP: 576485AG1<br>LEI: 549300CI3Q2UUK5R4G79 | Long             | DBT              | CORP              | US        |    225000 | PA      | $227846.59    | 0.01%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MAUSER PACKAGING SOLUT                                   | Mauser Packaging Solutions Holding Co                                           | CUSIP: 57763RAE7<br>LEI: 549300DNGHXL0OMHW304 | Long             | DBT              | CORP              | US        |    360000 | PA      | $358537.53    | 0.01%             | 2030-04-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                          | McDonald's Corp                                                                 | CUSIP: 58013MEF7<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |   1183000 | PA      | $1308123.88   | 0.03%             | 2038-03-01      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                          | McDonald's Corp                                                                 | CUSIP: 58013MFT6<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    558000 | PA      | $518345.35    | 0.01%             | 2052-09-09      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| MERCADOLIBRE INC                                         | MercadoLibre Inc                                                                | CUSIP: 58733RAG7<br>LEI: 549300DKPDN9M5S8GB14 | Long             | DBT              | CORP              | US        |   1607000 | PA      | $1591656.67   | 0.04%             | 2033-01-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ AUTO RECEIVABLES TRUST                     | Mercedes-Benz Auto Receivables Trust 2022-1                                     | CUSIP: 58768PAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2122000 | PA      | $2142578.73   | 0.06%             | 2029-02-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ AUTO RECEIVABLES TRUST                     | Mercedes-Benz Auto Receivables Trust 2025-1                                     | CUSIP: 58773DAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1384000 | PA      | $1405651.99   | 0.04%             | 2029-12-17      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC                                           | Merck & Co Inc                                                                  | CUSIP: 58933YAW5<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |    191000 | PA      | $153032.87    | 0.00%             | 2049-03-07      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC                                           | Merck & Co Inc                                                                  | CUSIP: 58933YBA2<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |    656000 | PA      | $473705.35    | 0.01%             | 2040-06-24      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC                                           | Merck & Co Inc                                                                  | CUSIP: 58933YBY0<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |   1394000 | PA      | $1396610.41   | 0.04%             | 2032-12-04      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC                                           | Merck & Co Inc                                                                  | CUSIP: 58933YBZ7<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |   1045000 | PA      | $1042820.58   | 0.03%             | 2035-12-04      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC                                           | Merck & Co Inc                                                                  | CUSIP: 58933YCB9<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |    662000 | PA      | $654316.40    | 0.02%             | 2055-12-04      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc                              | Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A                       | CUSIP: 589929G28<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | ABS-MBS          | CORP              | US        |     10226 | PA      | $8940.33      | 0.00%             | 2028-03-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc                              | Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E                       | CUSIP: 589929Y36<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | ABS-MBS          | CORP              | US        |     60849 | PA      | $57998.13     | 0.00%             | 2028-10-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc                              | Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A                       | CUSIP: 59020UAR6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | ABS-MBS          | CORP              | US        |     56350 | PA      | $52651.27     | 0.00%             | 2029-04-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                   | MLMI_04-A4                                                                      | CUSIP: 59020ULR4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     63029 | PA      | $60007.39     | 0.00%             | 2034-08-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc                              | Merrill Lynch Mortgage Investors Trust Series MLCC 2004-1                       | CUSIP: 59020UNN1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | ABS-MBS          | CORP              | US        |     50668 | PA      | $47488.94     | 0.00%             | 2034-12-25      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc                              | Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G                       | CUSIP: 59020UPA7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | ABS-MBS          | CORP              | US        |      4901 | PA      | $4773.38      | 0.00%             | 2030-01-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY PENN ELECTRI                                 | FirstEnergy Pennsylvania Electric Co                                            | CUSIP: 591894CC2<br>LEI: O1PLQWO3TX952VMBJ146 | Long             | DBT              | CORP              | US        |   1213000 | PA      | $1213220.00   | 0.03%             | 2029-01-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY PENN ELECTRI                                 | FirstEnergy Pennsylvania Electric Co                                            | CUSIP: 591894CE8<br>LEI: O1PLQWO3TX952VMBJ146 | Long             | DBT              | CORP              | US        |    794000 | PA      | $810264.26    | 0.02%             | 2028-04-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| MET LIFE GLOB FUNDING I                                  | Metropolitan Life Global Funding I                                              | CUSIP: 59217GFP9<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |    799000 | PA      | $821685.53    | 0.02%             | 2033-03-28      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| MID-STATE TRUST MDST_06-1                                | MID-STATE TRUST MDST_06-1                                                       | CUSIP: 59548PAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    314940 | PA      | $317029.20    | 0.01%             | 2040-10-15      | Fixed         | 6.08%                 | No            |                  2 | On Loan: No      |
| MIDAMERICAN ENERGY CO                                    | MidAmerican Energy Co                                                           | CUSIP: 595620AE5<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |    346000 | PA      | $368735.93    | 0.01%             | 2035-11-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MIDAMERICAN ENERGY CO                                    | MidAmerican Energy Co                                                           | CUSIP: 595620AW5<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |    894000 | PA      | $546837.69    | 0.01%             | 2052-08-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| MIDAMERICAN ENERGY CO                                    | MidAmerican Energy Co                                                           | CUSIP: 595620BA2<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |    877000 | PA      | $858853.30    | 0.02%             | 2056-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MIDAS OPCO HOLDINGS LLC                                  | Stagwell Global LLC                                                             | CUSIP: 59565JAA9<br>LEI: 984500904E015Z0C1F82 | Long             | DBT              | CORP              | US        |    450000 | PA      | $439527.55    | 0.01%             | 2029-08-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| MISSISSIPPI POWER CO                                     | Mississippi Power Co                                                            | CUSIP: 605417BZ6<br>LEI: LNZ0J6YZ5SC6ILIRU850 | Long             | DBT              | CORP              | US        |    525000 | PA      | $450677.97    | 0.01%             | 2042-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| MISSISSIPPI POWER CO                                     | Mississippi Power Co                                                            | CUSIP: 605417CD4<br>LEI: LNZ0J6YZ5SC6ILIRU850 | Long             | DBT              | CORP              | US        |   1237000 | PA      | $810665.62    | 0.02%             | 2051-07-30      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                                   | Mitsubishi UFJ Financial Group Inc                                              | CUSIP: 606822BK9<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    242000 | PA      | $211206.79    | 0.01%             | 2039-07-18      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                                   | Mitsubishi UFJ Financial Group Inc                                              | CUSIP: 606822BU7<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    349000 | PA      | $316784.60    | 0.01%             | 2030-07-17      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                                   | Mitsubishi UFJ Financial Group Inc                                              | CUSIP: 606822DN1<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   2247000 | PA      | $2257964.49   | 0.06%             | 2031-09-12      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                                   | Mitsubishi UFJ Financial Group Inc                                              | CUSIP: 606822DQ4<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   2261000 | PA      | $2297769.37   | 0.06%             | 2036-09-12      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                                   | Mizuho Financial Group Inc                                                      | CUSIP: 60687YBA6<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    219000 | PA      | $208010.99    | 0.01%             | 2030-09-13      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                                   | Mizuho Financial Group Inc                                                      | CUSIP: 60687YDF3<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    300000 | PA      | $310226.94    | 0.01%             | 2030-07-10      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                           | Morgan Stanley Capital I Trust 2018-L1                                          | CUSIP: 61691QAE8<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |    888000 | PA      | $889052.64    | 0.02%             | 2051-10-15      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                           | Morgan Stanley Capital I Trust 2020-HR8                                         | CUSIP: 61692BBJ8<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |    845266 | PA      | $765652.54    | 0.02%             | 2053-07-15      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                           | Morgan Stanley                                                                  | CUSIP: 6174468G7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    318000 | PA      | $319779.77    | 0.01%             | 2030-01-23      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                           | Morgan Stanley                                                                  | CUSIP: 6174468U6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2719000 | PA      | $2388688.08   | 0.06%             | 2032-02-13      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                           | Morgan Stanley                                                                  | CUSIP: 6174468X0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1905000 | PA      | $1671476.64   | 0.04%             | 2032-04-28      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                           | Morgan Stanley                                                                  | CUSIP: 61744YAP3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    192000 | PA      | $190896.28    | 0.01%             | 2029-01-24      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                           | MORGAN STANELY CAPITAL I TRUST MSC_06-T21                                       | CUSIP: 617451CU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1553571 | PA      | $15.54        | 0.00%             | 2052-10-12      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                       | Morgan Stanley Mortgage Loan Trust 2004-3                                       | CUSIP: 61745MA52<br>LEI: 5493001INKZRJR8O7L63 | Long             | ABS-MBS          | CORP              | US        |     69512 | PA      | $68736.24     | 0.00%             | 2034-04-25      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                           | Morgan Stanley                                                                  | CUSIP: 61747YEF8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    251000 | PA      | $220627.20    | 0.01%             | 2036-09-16      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                           | Morgan Stanley                                                                  | CUSIP: 61747YEL5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    169000 | PA      | $154246.60    | 0.00%             | 2033-01-21      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                           | Morgan Stanley                                                                  | CUSIP: 61747YFA8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    579000 | PA      | $590942.73    | 0.02%             | 2029-02-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                           | Morgan Stanley                                                                  | CUSIP: 61747YFB6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    855000 | PA      | $901197.82    | 0.02%             | 2038-01-19      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                           | Morgan Stanley                                                                  | CUSIP: 61747YFF7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1531000 | PA      | $1579993.17   | 0.04%             | 2029-07-20      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                           | Morgan Stanley                                                                  | CUSIP: 61747YFG5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    323000 | PA      | $335962.08    | 0.01%             | 2034-07-21      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                           | Morgan Stanley                                                                  | CUSIP: 61747YFK6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1117000 | PA      | $1147293.30   | 0.03%             | 2030-01-16      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                           | Morgan Stanley                                                                  | CUSIP: 61747YFR1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   3865000 | PA      | $4107665.56   | 0.11%             | 2035-04-19      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                           | Morgan Stanley                                                                  | CUSIP: 61747YFS9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   3545000 | PA      | $3636281.42   | 0.10%             | 2030-07-19      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                           | Morgan Stanley                                                                  | CUSIP: 61747YFT7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    624000 | PA      | $642464.14    | 0.02%             | 2035-07-19      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                           | Morgan Stanley                                                                  | CUSIP: 61747YFY6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   3995000 | PA      | $4074530.23   | 0.11%             | 2029-04-12      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                           | Morgan Stanley                                                                  | CUSIP: 61747YFZ3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1820000 | PA      | $1876232.04   | 0.05%             | 2031-04-17      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                           | Morgan Stanley                                                                  | CUSIP: 61748UAE2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    483000 | PA      | $497887.76    | 0.01%             | 2031-01-15      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                           | Morgan Stanley                                                                  | CUSIP: 61748UAK8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   4309000 | PA      | $4305301.38   | 0.11%             | 2029-10-18      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                           | Morgan Stanley                                                                  | CUSIP: 61748UAN2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2339000 | PA      | $2320143.10   | 0.06%             | 2036-10-22      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PVT BANK                                  | Morgan Stanley Private Bank NA                                                  | CUSIP: 61776NVE0<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |   2426000 | PA      | $2442322.49   | 0.06%             | 2028-07-06      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PVT BANK                                  | Morgan Stanley Private Bank NA                                                  | CUSIP: 61776NVG5<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |   7328000 | PA      | $7427512.50   | 0.19%             | 2031-07-18      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PVT BANK                                  | Morgan Stanley Private Bank NA                                                  | CUSIP: 61776NZU0<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |   4844000 | PA      | $4857759.65   | 0.13%             | 2028-11-17      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PVT BANK                                  | Morgan Stanley Private Bank NA                                                  | CUSIP: 61776NZW6<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |  10767000 | PA      | $10789739.18  | 0.28%             | 2031-11-19      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| MEDLINE BORROWER LP                                      | Medline Borrower LP                                                             | CUSIP: 62482BAA0<br>LEI: 254900QT3R363TVK6F09 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1173308.95   | 0.03%             | 2029-04-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| MULTIFAMILY CONNECTICUT AVENUE SECURITIES TRUST 2020-01  | Multifamily Connecticut Avenue Securities Trust 2020-01                         | CUSIP: 62548QAD3<br>LEI: 5493002KQF9IH3CTQZ40 | Long             | ABS-MBS          | CORP              | US        |   6838122 | PA      | $6974845.84   | 0.18%             | 2050-03-25      | Floating      | 7.74%                 | No            |                  2 | On Loan: No      |
| NCR VOYIX CORP                                           | NCR Voyix Corp                                                                  | CUSIP: 62886EAY4<br>LEI: 549300YKTY8JX1DV2R67 | Long             | DBT              | CORP              | US        |    417000 | PA      | $413931.54    | 0.01%             | 2028-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NCL CORPORATION LTD                                      | NCL Corp Ltd                                                                    | CUSIP: 62886HBY6<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | BM        |    105000 | PA      | $104638.13    | 0.00%             | 2031-01-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| NGL ENRGY OP/FIN CORP                                    | NGL Energy Operating LLC / NGL Energy Finance Corp                              | CUSIP: 62922LAC2<br>LEI: 5299005YSRP46BE8Z459 | Long             | DBT              | CORP              | US        |    280000 | PA      | $290703.15    | 0.01%             | 2029-02-15      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                           | NRG Energy Inc                                                                  | CUSIP: 629377CH3<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |   1165000 | PA      | $1168142.49   | 0.03%             | 2029-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                           | NRG Energy Inc                                                                  | CUSIP: 629377CP5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    191000 | PA      | $184512.58    | 0.00%             | 2027-12-02      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                           | NRG Energy Inc                                                                  | CUSIP: 629377DA7<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    180000 | PA      | $179944.97    | 0.00%             | 2030-10-15      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                           | NRG Energy Inc                                                                  | CUSIP: 629377DB5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    255000 | PA      | $254137.99    | 0.01%             | 2035-10-15      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                           | NRG Energy Inc                                                                  | CUSIP: 629377DC3<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    175000 | PA      | $176496.13    | 0.00%             | 2034-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corporation                      | NACC Reperforming Loan REMIC Trust 2004-R2                                      | CUSIP: 62951MAM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59889 | PA      | $53382.41     | 0.00%             | 2034-10-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                         | NTT Finance Corp                                                                | CUSIP: 62954WAN5<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |    250000 | PA      | $256906.71    | 0.01%             | 2031-07-02      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| NATIONAL AUSTRALIA BANK                                  | National Australia Bank Ltd                                                     | CUSIP: 632525AS0<br>LEI: F8SB4JFBSYQFRQEH3Z21 | Long             | DBT              | CORP              | AU        |    366000 | PA      | $356658.43    | 0.01%             | 2034-08-02      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| NATIONAL AUSTRALIA BANK                                  | National Australia Bank Ltd                                                     | CUSIP: 632525AU5<br>LEI: F8SB4JFBSYQFRQEH3Z21 | Long             | DBT              | CORP              | AU        |    409000 | PA      | $370753.59    | 0.01%             | 2030-08-21      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| NNN REIT INC                                             | NNN REIT Inc                                                                    | CUSIP: 637417AQ9<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              |  | US        |    288000 | PA      | $203101.92    | 0.01%             | 2051-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BLDG SOCIETY                                  | Nationwide Building Society                                                     | CUSIP: 63861VAF4<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    210000 | PA      | $207413.01    | 0.01%             | 2028-02-16      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BLDG SOCIETY                                  | Nationwide Building Society                                                     | CUSIP: 63861VAJ6<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    210000 | PA      | $213915.85    | 0.01%             | 2027-10-18      | Fixed         | 6.56%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BLDG SOCIETY                                  | Nationwide Building Society                                                     | CUSIP: 63861VAK3<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    356000 | PA      | $365945.42    | 0.01%             | 2029-07-29      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| NCR ATLEOS LLC                                           | NCR Atleos Corp                                                                 | CUSIP: 638962AA8<br>LEI: 9845005FC3S0VA714741 | Long             | DBT              | CORP              | US        |    505000 | PA      | $548525.04    | 0.01%             | 2029-04-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| Navient Refinance Loan Trust                             | Navient Refinance Loan Trust 2025-C                                             | CUSIP: 638973AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1998301 | PA      | $1998093.13   | 0.05%             | 2055-10-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                        | NatWest Group PLC                                                               | CUSIP: 639057AK4<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    380000 | PA      | $395909.78    | 0.01%             | 2029-09-13      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                        | NatWest Group PLC                                                               | CUSIP: 639057AQ1<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    340000 | PA      | $382303.81    | 0.01%             | 2033-11-10      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                        | NatWest Group PLC                                                               | CUSIP: 639057AV0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    400000 | PA      | $410439.65    | 0.01%             | 2031-05-23      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                                      | NatWest Markets PLC                                                             | CUSIP: 63906YAP3<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |    988000 | PA      | $1014234.21   | 0.03%             | 2030-03-21      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                               | Navient Private Education Refi Loan Trust 2019-F                                | CUSIP: 63935CAB7<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |    669207 | PA      | $648243.38    | 0.02%             | 2068-08-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                               | Navient Private Education Refi Loan Trust 2018-D                                | CUSIP: 63940UAB0<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |    621715 | PA      | $618347.22    | 0.02%             | 2059-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                               | Navient Private Education Refi Loan Trust 2019-C                                | CUSIP: 63940YAB2<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |    188649 | PA      | $186439.89    | 0.00%             | 2068-02-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                               | Navient Private Education Refi Loan Trust 2019-A                                | CUSIP: 63941BAB1<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |    140902 | PA      | $140105.10    | 0.00%             | 2043-01-15      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                               | Navient Private Education Refi Loan Trust 2019-D                                | CUSIP: 63941CAB9<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |    972596 | PA      | $952033.36    | 0.02%             | 2059-12-15      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                               | Navient Private Education Refi Loan Trust 2020-E                                | CUSIP: 63941TAA4<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |   1768528 | PA      | $1671487.21   | 0.04%             | 2069-05-15      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                               | Navient Private Education Refi Loan Trust 2020-G                                | CUSIP: 63941UAA1<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |    636673 | PA      | $597838.51    | 0.02%             | 2069-09-16      | Fixed         | 1.17%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                               | Navient Private Education Refi Loan Trust 2021-E                                | CUSIP: 63942EAA6<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |   2557204 | PA      | $2300719.62   | 0.06%             | 2069-12-16      | Fixed         | 0.97%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                               | Navient Private Education Refi Loan Trust 2021-F                                | CUSIP: 63942GAA1<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |   1655711 | PA      | $1478374.17   | 0.04%             | 2070-02-18      | Fixed         | 1.11%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                               | Navient Private Education Refi Loan Trust 2021-C                                | CUSIP: 63942JAA5<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |   1144455 | PA      | $1053011.59   | 0.03%             | 2069-10-15      | Fixed         | 1.06%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                               | Navient Private Education Refi Loan Trust 2021-G                                | CUSIP: 63942KAA2<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |    417208 | PA      | $380888.61    | 0.01%             | 2070-04-15      | Fixed         | 1.58%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                               | Navient Student Loan Trust 2021-3                                               | CUSIP: 63942WAA6<br>LEI: 549300761SV59SBM0Z40 | Long             | ABS-O            | CORP              | US        |   1785136 | PA      | $1608556.65   | 0.04%             | 2070-08-25      | Fixed         | 1.77%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                | Nelnet Student Loan Trust 2004-4                                                | CUSIP: 64031QBK6<br>LEI: 5493000EBJ0T2MCM3713 | Long             | ABS-O            | CORP              | US        |    566520 | PA      | $565412.51    | 0.01%             | 2037-01-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                | Nelnet Student Loan Trust 2005-1                                                | CUSIP: 64031QBR1<br>LEI: 5493000EBJ0T2MCM3713 | Long             | ABS-O            | CORP              | US        |    976399 | PA      | $969632.07    | 0.03%             | 2033-10-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                | Nelnet Student Loan Trust 2005-2                                                | CUSIP: 64031QBX8<br>LEI: 5493000EBJ0T2MCM3713 | Long             | ABS-O            | CORP              | US        |   1745711 | PA      | $1733407.53   | 0.05%             | 2037-03-23      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                | Nelnet Student Loan Trust 2005-3                                                | CUSIP: 64031QCD1<br>LEI: 5493000EBJ0T2MCM3713 | Long             | ABS-O            | CORP              | US        |   1454197 | PA      | $1445668.46   | 0.04%             | 2035-12-24      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| NEVADA POWER CO                                          | Nevada Power Co                                                                 | CUSIP: 641423BZ0<br>LEI: MJZFGXRJ52U8U4MKJ519 | Long             | DBT              | CORP              | US        |    287000 | PA      | $286834.37    | 0.01%             | 2040-09-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST NRMLT_22-SFR1        | NEW RESIDENTIAL MORTGAGE LOAN TRUST NRMLT_22-SFR1                               | CUSIP: 64831KAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7036000 | PA      | $6889563.25   | 0.18%             | 2039-02-17      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                      | New Residential Mortgage Loan Trust 2024-RTL1                                   | CUSIP: 64831PAA3<br>LEI: 213800CVLC5IFCJL6C96 | Long             | ABS-MBS          | CORP              | US        |   4515000 | PA      | $4538089.71   | 0.12%             | 2039-03-25      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateralized Notes                   | NRM FHT1 Excess Owner LLC                                                       | CUSIP: 64832EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4573790 | PA      | $4647508.43   | 0.12%             | 2032-03-25      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| NEW YORK LIFE INSURANCE                                  | New York Life Insurance Co                                                      | CUSIP: 64952GAE8<br>LEI: TAE73CY392TBWJ3O3305 | Long             | DBT              | CORP              | US        |    999000 | PA      | $1061061.70   | 0.03%             | 2033-05-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| NEW YORK LIFE GLOBAL FDG                                 | New York Life Global Funding                                                    | CUSIP: 64952WCX9<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |    229000 | PA      | $224914.93    | 0.01%             | 2028-01-10      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NEWELL BRANDS INC                                        | Newell Brands Inc                                                               | CUSIP: 651229BD7<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |   1080000 | PA      | $1076419.01   | 0.03%             | 2029-09-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                                   | NextEra Energy Capital Holdings Inc                                             | CUSIP: 65339KDB3<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    286000 | PA      | $305027.03    | 0.01%             | 2054-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                                   | NextEra Energy Capital Holdings Inc                                             | CUSIP: 65339KDE7<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    299000 | PA      | $308704.92    | 0.01%             | 2055-08-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                                   | NextEra Energy Capital Holdings Inc                                             | CUSIP: 65339KDF4<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    225000 | PA      | $237002.86    | 0.01%             | 2055-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NEXSTAR MEDIA INC                                        | Nexstar Media Inc                                                               | CUSIP: 65343HAA9<br>LEI: 5493006PK6I4I2OOT688 | Long             | DBT              | CORP              | US        |    550000 | PA      | $550804.76    | 0.01%             | 2027-07-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF NIGERIA                                      | Nigeria Government International Bond                                           | CUSIP: 65412AFG2<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |    260000 | PA      | $279131.90    | 0.01%             | 2046-01-13      | Fixed         | 9.13%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF NIGERIA                                      | NIGERIA (FEDERAL REPUBLIC OF)                                                   | CUSIP: 65412JAC7<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |    400000 | PA      | $403999.15    | 0.01%             | 2027-11-28      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF NIGERIA                                      | Nigeria Government International Bond                                           | CUSIP: 65412JAR4<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |    200000 | PA      | $200816.98    | 0.01%             | 2028-09-28      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                             | NiSource Inc                                                                    | CUSIP: 65473PAL9<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    180000 | PA      | $157965.56    | 0.00%             | 2031-02-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                             | NiSource Inc                                                                    | CUSIP: 65473PAR6<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    275000 | PA      | $286440.68    | 0.01%             | 2054-11-30      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                             | NiSource Inc                                                                    | CUSIP: 65473QAZ6<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    222000 | PA      | $223320.45    | 0.01%             | 2042-02-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Nissan Auto Receivables Owner Trust                      | Nissan Auto Receivables 2022-B Owner Trust                                      | CUSIP: 65480JAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1270000 | PA      | $1274982.72   | 0.03%             | 2029-11-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| NOBLE FINANCE II LLC                                     | Noble Finance II LLC                                                            | CUSIP: 65505PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    435000 | PA      | $452142.88    | 0.01%             | 2030-04-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| NORDEA BANK ABP                                          | Nordea Bank Abp                                                                 | CUSIP: 65558RAD1<br>LEI: 529900ODI3047E2LIV03 | Long             | DBT              | CORP              | FI        |    200000 | PA      | $204839.77    | 0.01%             | 2027-09-22      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| NORFOLK SOUTHERN CORP                                    | Norfolk Southern Corp                                                           | CUSIP: 655844CV8<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |   1352000 | PA      | $1380604.61   | 0.04%             | 2035-05-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| North Texas Tollway Authority                            | N TX TOLLWAY AUTH REVENUE                                                       | CUSIP: 66285WFB7<br>LEI: PQGZGRE0F2WPMYQQ1B78 | Long             | DBT              | MUN               | US        |   1033000 | PA      | $1135735.88   | 0.03%             | 2049-01-01      | Fixed         | 6.72%                 | No            |                  2 | On Loan: No      |
| NORTHERN STATES PWR-MINN                                 | Northern States Power Co/MN                                                     | CUSIP: 665772CV9<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |    258000 | PA      | $219302.78    | 0.01%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NORTHERN STATES PWR-MINN                                 | Northern States Power Co/MN                                                     | CUSIP: 665772CY3<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |    624000 | PA      | $605296.18    | 0.02%             | 2054-03-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| NORTHERN STATES PWR-MINN                                 | Northern States Power Co/MN                                                     | CUSIP: 665772CZ0<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |   1688000 | PA      | $1721555.77   | 0.05%             | 2035-05-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| NORTHERN STATES PWR-WISC                                 | Northern States Power Co/WI                                                     | CUSIP: 665789BC6<br>LEI: OOVRSRHKQSBLKRB7QM17 | Long             | DBT              | CORP              | US        |    677000 | PA      | $683038.74    | 0.02%             | 2054-06-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| NORTHRIVER MIDSTREAM FIN                                 | Northriver Midstream Finance LP                                                 | CUSIP: 66679NAB6<br>LEI: 549300SOLNLY3BL6GF18 | Long             | DBT              | CORP              | CA        |    340000 | PA      | $346541.83    | 0.01%             | 2032-07-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                    | Northrop Grumman Corp                                                           | CUSIP: 666807CN0<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |   1123000 | PA      | $1143169.46   | 0.03%             | 2030-07-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                    | Northrop Grumman Corp                                                           | CUSIP: 666807CP5<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |   1042000 | PA      | $1078812.87   | 0.03%             | 2035-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| NORTHWESTERN MUTUAL GLBL                                 | Northwestern Mutual Global Funding                                              | CUSIP: 66815L2S7<br>LEI: 635400LZXFVELZDVP257 | Long             | DBT              | CORP              | US        |    270000 | PA      | $280181.80    | 0.01%             | 2031-05-28      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| NOVA CHEMICALS CORP                                      | NOVA Chemicals Corp                                                             | CUSIP: 66977WAS8<br>LEI: 549300ZOD6N7RI2FJP09 | Long             | DBT              | CORP              | CA        |    160000 | PA      | $156643.10    | 0.00%             | 2029-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| NOVA CHEMICALS CORP                                      | NOVA Chemicals Corp                                                             | CUSIP: 66977WAU3<br>LEI: 549300ZOD6N7RI2FJP09 | Long             | DBT              | CORP              | CA        |    500000 | PA      | $533944.83    | 0.01%             | 2030-02-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| AMSR TRUST AMSR_22-SFR3                                  | AMSR TRUST AMSR_22-SFR3                                                         | CUSIP: 66981YAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4100000 | PA      | $3990098.68   | 0.10%             | 2039-10-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMSR TRUST AMSR_21-SFR4                                  | AMSR TRUST AMSR_21-SFR4                                                         | CUSIP: 66982FAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $3922732.40   | 0.10%             | 2038-12-17      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| NOVARTIS CAPITAL CORP                                    | Novartis Capital Corp                                                           | CUSIP: 66989HAY4<br>LEI: 5493002KF87V5RSRQS84 | Long             | DBT              | CORP              | US        |   1806000 | PA      | $1804781.82   | 0.05%             | 2030-11-05      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| NOVARTIS CAPITAL CORP                                    | Novartis Capital Corp                                                           | CUSIP: 66989HBA5<br>LEI: 5493002KF87V5RSRQS84 | Long             | DBT              | CORP              | US        |   2986000 | PA      | $2960506.19   | 0.08%             | 2035-11-05      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| NUSTAR LOGISTICS LP                                      | NuStar Logistics LP                                                             | CUSIP: 67059TAH8<br>LEI: N62BF2PKP51FIIOIUN20 | Long             | DBT              | CORP              | US        |    530000 | PA      | $557861.69    | 0.01%             | 2030-10-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| OFFICE CHERIFIEN DES PHO                                 | OCP SA                                                                          | CUSIP: 67091TAG0<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |    300000 | PA      | $331303.68    | 0.01%             | 2054-05-02      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| OFFICE CHERIFIEN DES PHO                                 | OCP SA                                                                          | CUSIP: 67091TAJ4<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |    200000 | PA      | $213913.22    | 0.01%             | 2036-03-01      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| OAKTREE SPECIALTY LEND                                   | Oaktree Specialty Lending Corp                                                  | CUSIP: 67401PAE8<br>LEI: 549300J6MGCEU5928620 | Long             | DBT              | CORP              | US        |   1337000 | PA      | $1345044.08   | 0.04%             | 2030-02-27      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| CHORD ENERGY CORP                                        | Chord Energy Corp                                                               | CUSIP: 674215AN8<br>LEI: 529900FA4V2YNIKZ0M71 | Long             | DBT              | CORP              | US        |    230000 | PA      | $237854.64    | 0.01%             | 2033-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CHORD ENERGY CORP                                        | Chord Energy Corp                                                               | CUSIP: 674215AQ1<br>LEI: 529900FA4V2YNIKZ0M71 | Long             | DBT              | CORP              | US        |     25000 | PA      | $25253.37     | 0.00%             | 2030-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OHIO EDISON CO                                           | Ohio Edison Co                                                                  | CUSIP: 677347CJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1016000 | PA      | $1038783.03   | 0.03%             | 2029-12-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| OHIO POWER COMPANY                                       | Ohio Power Co                                                                   | CUSIP: 677415CU3<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |    381000 | PA      | $234925.57    | 0.01%             | 2051-10-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Ohio State University/The                                | OHIO ST UNIV                                                                    | CUSIP: 677632PA3<br>LEI: JFC10ZULKO4X2E3HBY86 | Long             | DBT              | MUN               | US        |    500000 | PA      | $412175.80    | 0.01%             | 2111-06-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| ON SEMICONDUCTOR CORP                                    | ON Semiconductor Corp                                                           | CUSIP: 682189AQ8<br>LEI: ZV20P4CNJVT8V1ZGJ064 | Long             | DBT              | CORP              | US        |    150000 | PA      | $146523.73    | 0.00%             | 2028-09-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                                  | Oncor Electric Delivery Co LLC                                                  | CUSIP: 68233JCZ5<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |    555000 | PA      | $572512.26    | 0.02%             | 2035-04-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                                  | Oncor Electric Delivery Co LLC                                                  | CUSIP: 68233JDA9<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |   1107000 | PA      | $1114927.60   | 0.03%             | 2055-04-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                | ONEOK Inc                                                                       | CUSIP: 682680CD3<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    565000 | PA      | $568199.56    | 0.01%             | 2031-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                | ONEOK Inc                                                                       | CUSIP: 682680CE1<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    407000 | PA      | $403819.90    | 0.01%             | 2034-11-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                | ONEOK Inc                                                                       | CUSIP: 682680CF8<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |   1691000 | PA      | $1577411.49   | 0.04%             | 2054-11-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                | ONEOK Inc                                                                       | CUSIP: 682680CG6<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    315000 | PA      | $295939.80    | 0.01%             | 2064-11-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                | ONEOK Inc                                                                       | CUSIP: 682680CR2<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    699000 | PA      | $749530.49    | 0.02%             | 2030-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                | ONEOK Inc                                                                       | CUSIP: 682680DD2<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |   1014000 | PA      | $1017120.13   | 0.03%             | 2055-10-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                     | OneMain Finance Corp                                                            | CUSIP: 682691AH3<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    530000 | PA      | $548910.79    | 0.01%             | 2029-05-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| CADILLAC FAIRVIEW PRP TR                                 | Ontario Teachers' Cadillac Fairview Properties Trust                            | CUSIP: 68327LAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    274000 | PA      | $273588.41    | 0.01%             | 2027-03-20      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FIBERCOP SPA                                             | Fibercop SpA                                                                    | CUSIP: 683879AD2<br>LEI: 8156007022402E114A31 | Long             | DBT              | CORP              | IT        |    315000 | PA      | $300886.00    | 0.01%             | 2034-09-30      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                              | Oracle Corp                                                                     | CUSIP: 68389XBG9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    432000 | PA      | $298729.65    | 0.01%             | 2055-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                              | Oracle Corp                                                                     | CUSIP: 68389XBJ3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1342000 | PA      | $931853.14    | 0.02%             | 2046-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                              | Oracle Corp                                                                     | CUSIP: 68389XBW4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    537000 | PA      | $398194.72    | 0.01%             | 2040-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                              | Oracle Corp                                                                     | CUSIP: 68389XCQ6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    835000 | PA      | $694715.69    | 0.02%             | 2053-02-06      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                              | Oracle Corp                                                                     | CUSIP: 68389XCU7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1009000 | PA      | $817294.15    | 0.02%             | 2054-09-27      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                              | Oracle Corp                                                                     | CUSIP: 68389XDB8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   4276000 | PA      | $3778853.99   | 0.10%             | 2055-08-03      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                              | Oracle Corp                                                                     | CUSIP: 68389XDK8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1249000 | PA      | $1206195.42   | 0.03%             | 2032-09-26      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                              | Oracle Corp                                                                     | CUSIP: 68389XDM4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    827000 | PA      | $793877.89    | 0.02%             | 2035-09-26      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                              | Oracle Corp                                                                     | CUSIP: 68389XDP7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1590000 | PA      | $1439261.18   | 0.04%             | 2045-09-26      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| ORGANON & CO/ORGANON FOR                                 | Organon & Co / Organon Foreign Debt Co-Issuer BV                                | CUSIP: 68622TAA9<br>LEI: 549300SH15FO4Y2G3V63 | Long             | DBT              | CORP              | US        |    450000 | PA      | $438387.97    | 0.01%             | 2028-04-30      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| ORGANON & CO/ORGANON FOR                                 | Organon & Co / Organon Foreign Debt Co-Issuer BV                                | CUSIP: 68622TAB7<br>LEI: 549300SH15FO4Y2G3V63 | Long             | DBT              | CORP              | US        |    275000 | PA      | $227891.88    | 0.01%             | 2031-04-30      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| OUTFRONT MEDIA CAP LLC/C                                 | Outfront Media Capital LLC / Outfront Media Capital Corp                        | CUSIP: 69007TAE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    375000 | PA      | $365726.10    | 0.01%             | 2029-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| OWENS-BROCKWAY                                           | Owens-Brockway Glass Container Inc                                              | CUSIP: 69073TAT0<br>LEI: V2UQUCDZJ9WY98W8QU33 | Long             | DBT              | CORP              | US        |    150000 | PA      | $150505.00    | 0.00%             | 2027-05-13      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| PECO ENERGY CO                                           | PECO Energy Co                                                                  | CUSIP: 693304AY3<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |    286000 | PA      | $179162.43    | 0.00%             | 2050-06-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| PECO ENERGY CO                                           | PECO Energy Co                                                                  | CUSIP: 693304BC0<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |   1245000 | PA      | $773929.15    | 0.02%             | 2051-09-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| PG&E CORP                                                | PG&E Corp                                                                       | CUSIP: 69331CAH1<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |    186000 | PA      | $185851.45    | 0.00%             | 2028-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PG&E CORP                                                | PG&E Corp                                                                       | CUSIP: 69331CAJ7<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |    210000 | PA      | $208580.15    | 0.01%             | 2030-07-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| PG&E CORP                                                | PG&E Corp                                                                       | CUSIP: 69331CAM0<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |   1310000 | PA      | $1364446.43   | 0.04%             | 2055-03-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| PG&E WILDFIRE RECOVERY                                   | PG&E Wildfire Recovery Funding LLC                                              | CUSIP: 693342AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    165000 | PA      | $160597.75    | 0.00%             | 2036-06-01      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| PG&E WILDFIRE RECOVERY                                   | PG&E Wildfire Recovery Funding LLC                                              | CUSIP: 693342AJ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    270000 | PA      | $261628.92    | 0.01%             | 2047-12-01      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| PG&E WILDFIRE RECOVERY                                   | PG&E Wildfire Recovery Funding LLC                                              | CUSIP: 693342AK3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    510000 | PA      | $475550.04    | 0.01%             | 2052-06-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| PERFORMANCE FOOD GROUP I                                 | Performance Food Group Inc                                                      | CUSIP: 69346VAA7<br>LEI: 549300OMUOGBYK0FFO76 | Long             | DBT              | CORP              | US        |    400000 | PA      | $400214.08    | 0.01%             | 2027-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                   | PNC Financial Services Group Inc/The                                            | CUSIP: 693475BS3<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    324000 | PA      | $347771.16    | 0.01%             | 2034-08-18      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                   | PNC Financial Services Group Inc/The                                            | CUSIP: 693475BU8<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    984000 | PA      | $1113220.46   | 0.03%             | 2034-10-20      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                   | PNC Financial Services Group Inc/The                                            | CUSIP: 693475BW4<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    201000 | PA      | $211903.59    | 0.01%             | 2035-01-22      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                   | PNC Financial Services Group Inc/The                                            | CUSIP: 693475CA1<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   2219000 | PA      | $2258888.71   | 0.06%             | 2032-10-21      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                   | PNC Financial Services Group Inc/The                                            | CUSIP: 693475CE3<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   1210000 | PA      | $1246158.13   | 0.03%             | 2036-07-21      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| PPL CAPITAL FUNDING INC                                  | PPL Capital Funding Inc                                                         | CUSIP: 69352PAT0<br>LEI: 549300MROK5WY0D2NU17 | Long             | DBT              | CORP              | US        |    717000 | PA      | $734666.98    | 0.02%             | 2034-09-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| PNC BANK NA                                              | PNC Bank NA                                                                     | CUSIP: 69353RFZ6<br>LEI: AD6GFRVSDT01YPT1CS68 | Long             | DBT              | CORP              | US        |   3208000 | PA      | $3229618.01   | 0.08%             | 2028-07-21      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                   | Pacific Gas and Electric Co                                                     | CUSIP: 694308HY6<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   2405000 | PA      | $1790406.87   | 0.05%             | 2047-12-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                   | Pacific Gas and Electric Co                                                     | CUSIP: 694308JJ7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    391000 | PA      | $264243.90    | 0.01%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                   | Pacific Gas and Electric Co                                                     | CUSIP: 694308JM0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1000068 | PA      | $996090.96    | 0.03%             | 2030-07-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                   | Pacific Gas and Electric Co                                                     | CUSIP: 694308JN8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   2947000 | PA      | $2495337.44   | 0.07%             | 2050-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                   | Pacific Gas and Electric Co                                                     | CUSIP: 694308JU2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    599000 | PA      | $498923.61    | 0.01%             | 2041-06-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                   | Pacific Gas and Electric Co                                                     | CUSIP: 694308KM8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   2201000 | PA      | $2374795.01   | 0.06%             | 2033-06-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                   | Pacific Gas and Electric Co                                                     | CUSIP: 694308KW6<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    334000 | PA      | $339793.75    | 0.01%             | 2028-06-04      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                   | Pacific Gas and Electric Co                                                     | CUSIP: 694308KY2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1707000 | PA      | $1717503.88   | 0.05%             | 2032-10-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                   | Pacific Gas and Electric Co                                                     | CUSIP: 694308KZ9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1094000 | PA      | $1075772.07   | 0.03%             | 2055-10-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| ISLAMIC REP OF PAKISTAN                                  | Pakistan Government International Bond                                          | CUSIP: 695847AT0<br>LEI: 529900LOP29R5WKHOD86 | Long             | DBT              | NUSS              | PK        |    300000 | PA      | $298506.15    | 0.01%             | 2031-04-08      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| ISLAMIC REP OF PAKISTAN                                  | Pakistan Government International Bond                                          | CUSIP: 695847AU7<br>LEI: 529900LOP29R5WKHOD86 | Long             | DBT              | NUSS              | PK        |    500000 | PA      | $491185.88    | 0.01%             | 2051-04-08      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| PALOMINO FUNDING TRUST I                                 | Palomino Funding Trust I                                                        | CUSIP: 69754AAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    250000 | PA      | $264184.13    | 0.01%             | 2028-05-17      | Fixed         | 7.23%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PARAGUAY                                     | Paraguay Government International Bond                                          | CUSIP: 699149AF7<br>LEI: 529900UXKJTJPCU0HK83 | Long             | DBT              | NUSS              | PY        |   1300000 | PA      | $1251342.31   | 0.03%             | 2048-03-13      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PARAGUAY                                     | Paraguay Government International Bond                                          | CUSIP: 699149AH3<br>LEI: 529900UXKJTJPCU0HK83 | Long             | DBT              | NUSS              | PY        |   2386000 | PA      | $2231436.55   | 0.06%             | 2050-03-30      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY PENN ELECTRI                                 | FirstEnergy Pennsylvania Electric Co                                            | CUSIP: 708696BY4<br>LEI: O1PLQWO3TX952VMBJ146 | Long             | DBT              | CORP              | US        |   1005000 | PA      | $984321.77    | 0.03%             | 2028-03-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING/PTL                                 | Penske Truck Leasing Co Lp / PTL Finance Corp                                   | CUSIP: 709599CA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    388000 | PA      | $398745.70    | 0.01%             | 2029-07-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| PENSKE AUTOMOTIVE GROUP                                  | Penske Automotive Group Inc                                                     | CUSIP: 70959WAK9<br>LEI: 549300W7UTQ0M4C7LB15 | Long             | DBT              | CORP              | US        |    400000 | PA      | $387732.06    | 0.01%             | 2029-06-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                                              | PepsiCo Inc                                                                     | CUSIP: 713448CC0<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |    546000 | PA      | $444226.47    | 0.01%             | 2042-08-13      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                                              | PepsiCo Inc                                                                     | CUSIP: 713448GH5<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |   1092000 | PA      | $1103138.77   | 0.03%             | 2030-07-23      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                                              | PepsiCo Inc                                                                     | CUSIP: 713448GL6<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |   1970000 | PA      | $1980834.66   | 0.05%             | 2029-01-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| PERU LNG SRL                                             | Peru LNG Srl                                                                    | CUSIP: 715604AA2<br>LEI: 254900F70J1LOALV5K70 | Long             | DBT              | CORP              | PE        |    150020 | PA      | $144743.71    | 0.00%             | 2030-03-22      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                      | Petroleos Mexicanos                                                             | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    520000 | PA      | $518478.63    | 0.01%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                      | Petroleos Mexicanos                                                             | CUSIP: 71654QDD1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   1390000 | PA      | $1245219.24   | 0.03%             | 2050-01-23      | Fixed         | 7.69%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                      | Petroleos Mexicanos                                                             | CUSIP: 71654QDE9<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    720000 | PA      | $696687.12    | 0.02%             | 2031-01-28      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                      | Petroleos Mexicanos                                                             | CUSIP: 71654QDP4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    300000 | PA      | $347296.69    | 0.01%             | 2033-02-07      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| PFIZER INVESTMENT ENTER                                  | Pfizer Investment Enterprises Pte Ltd                                           | CUSIP: 716973AG7<br>LEI: 5493000FQO8XF9C0RT95 | Long             | DBT              | CORP              | SG        |    468000 | PA      | $443481.20    | 0.01%             | 2053-05-19      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| PFIZER INC                                               | Pfizer Inc                                                                      | CUSIP: 717081FD0<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |   2245000 | PA      | $2254841.57   | 0.06%             | 2030-11-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| PFIZER INC                                               | Pfizer Inc                                                                      | CUSIP: 717081FE8<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |   1822000 | PA      | $1825921.45   | 0.05%             | 2032-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PFIZER INC                                               | Pfizer Inc                                                                      | CUSIP: 717081FF5<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |    946000 | PA      | $949593.04    | 0.02%             | 2035-11-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| PFIZER INC                                               | Pfizer Inc                                                                      | CUSIP: 717081FJ7<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |   1576000 | PA      | $1581331.79   | 0.04%             | 2027-11-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| PG&E RECOVERY FND LLC                                    | PG&E Recovery Funding LLC                                                       | CUSIP: 71710TAF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    825000 | PA      | $830520.61    | 0.02%             | 2047-07-15      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| PG&E RECOVERY FND LLC                                    | PG&E Recovery Funding LLC                                                       | CUSIP: 71710TAH1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    280000 | PA      | $284667.23    | 0.01%             | 2042-06-01      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| PG&E RECOVERY FND LLC                                    | PG&E Recovery Funding LLC                                                       | CUSIP: 71710TAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    335000 | PA      | $335585.85    | 0.01%             | 2049-06-01      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                   | Philip Morris International Inc                                                 | CUSIP: 718172DB2<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   1332000 | PA      | $1394081.99   | 0.04%             | 2033-02-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                   | Philip Morris International Inc                                                 | CUSIP: 718172DE6<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   1125000 | PA      | $1193090.83   | 0.03%             | 2033-09-07      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                   | Philip Morris International Inc                                                 | CUSIP: 718172DJ5<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    456000 | PA      | $471564.38    | 0.01%             | 2034-02-13      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                   | Philip Morris International Inc                                                 | CUSIP: 718172DR7<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   3426000 | PA      | $3441518.06   | 0.09%             | 2028-04-28      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                   | Philip Morris International Inc                                                 | CUSIP: 718172DT3<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   2900000 | PA      | $2918264.55   | 0.08%             | 2030-04-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                   | Philip Morris International Inc                                                 | CUSIP: 718172DU0<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   3074000 | PA      | $3084414.40   | 0.08%             | 2035-04-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| PIEDMONT NATURAL GAS CO                                  | Piedmont Natural Gas Co Inc                                                     | CUSIP: 720186AM7<br>LEI: VXB4M3BDPKF3I2AZ3G89 | Long             | DBT              | CORP              | US        |    291000 | PA      | $200174.30    | 0.01%             | 2050-06-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCE                                 | Pioneer Natural Resources Co                                                    | CUSIP: 723787AQ0<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |    255000 | PA      | $231036.09    | 0.01%             | 2030-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Port Authority of New York & New Jersey                  | PORT AUTH OF NEW YORK & NEW JERSEY NY                                           | CUSIP: 73358WJA3<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |   1850000 | PA      | $1550161.25   | 0.04%             | 2062-10-01      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| POST HOLDINGS INC                                        | Post Holdings Inc                                                               | CUSIP: 737446AQ7<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |    475000 | PA      | $462469.33    | 0.01%             | 2030-04-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| ISLAMIC REP OF PAKISTAN                                  | Pakistan Government International Bond                                          | CUSIP: 740840AC7<br>LEI: 529900LOP29R5WKHOD86 | Long             | DBT              | NUSS              | PK        |    200000 | PA      | $201006.31    | 0.01%             | 2027-12-05      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| ADT SEC CORP                                             | ADT Security Corp/The                                                           | CUSIP: 74166NAA2<br>LEI: 5493009JEEDYLVRA0J13 | Long             | DBT              | CORP              | US        |    580000 | PA      | $562021.16    | 0.01%             | 2032-07-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL FINANCIAL GRP                                  | Principal Financial Group Inc                                                   | CUSIP: 74251VAP7<br>LEI: CUMYEZJOAF02RYZ1JJ85 | Long             | DBT              | CORP              | US        |    468000 | PA      | $467068.87    | 0.01%             | 2028-02-15      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                               | Progress Residential 2022-SFR3 Trust                                            | CUSIP: 74331UAN8<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |   5560000 | PA      | $5601566.56   | 0.15%             | 2039-04-17      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                               | Progress Residential 2022-SFR2 Trust                                            | CUSIP: 74332VAJ4<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |   3100000 | PA      | $3063524.78   | 0.08%             | 2027-04-17      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                               | Progress Residential 2021-SFR7 Trust                                            | CUSIP: 74333PAJ6<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2348459.75   | 0.06%             | 2040-08-17      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                               | Progress Residential 2021-SFR9 Trust                                            | CUSIP: 74333QAL9<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |   2899000 | PA      | $2730710.44   | 0.07%             | 2040-11-17      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                               | Progress Residential 2021-SFR8 Trust                                            | CUSIP: 74333TAN9<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $984820.90    | 0.03%             | 2038-10-17      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| PROLOGIS LP                                              | Prologis LP                                                                     | CUSIP: 74340XBP5<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              |  | US        |    300000 | PA      | $197802.25    | 0.01%             | 2050-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PROTECTIVE LIFE CORP                                     | Protective Life Corp                                                            | CUSIP: 743674BF9<br>LEI: 549300ZWIT8J8Y2EXL07 | Long             | DBT              | CORP              | US        |   1970000 | PA      | $1975538.28   | 0.05%             | 2031-01-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| PROTECTIVE LIFE CORP                                     | Protective Life Corp                                                            | CUSIP: 743674BG7<br>LEI: 549300ZWIT8J8Y2EXL07 | Long             | DBT              | CORP              | US        |   1217000 | PA      | $1231496.78   | 0.03%             | 2035-12-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| PROTECTIVE LIFE GLOBAL                                   | Protective Life Global Funding                                                  | CUSIP: 74368CBV5<br>LEI: 635400EVYITCJYWL2I50 | Long             | DBT              | CORP              | US        |    466000 | PA      | $482381.94    | 0.01%             | 2028-12-08      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE COLORADO                                  | Public Service Co of Colorado                                                   | CUSIP: 744448CU3<br>LEI: 5BANEF6PGSEK0SNMQF44 | Long             | DBT              | CORP              | US        |    265000 | PA      | $159765.25    | 0.00%             | 2051-01-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE OKLAHOMA                                  | Public Service Co of Oklahoma                                                   | CUSIP: 744533BP4<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |    698000 | PA      | $459597.85    | 0.01%             | 2051-08-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ELECTRIC                                  | Public Service Electric and Gas Co                                              | CUSIP: 74456QCD6<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |    482000 | PA      | $299195.76    | 0.01%             | 2050-05-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ELECTRIC                                  | Public Service Electric and Gas Co                                              | CUSIP: 74456QCE4<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |    286000 | PA      | $154724.70    | 0.00%             | 2050-08-01      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ELECTRIC                                  | Public Service Electric and Gas Co                                              | CUSIP: 74456QCH7<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |   1773000 | PA      | $1565490.86   | 0.04%             | 2031-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| PUGET SOUND ENERGY INC                                   | Puget Sound Energy Inc                                                          | CUSIP: 745332CK0<br>LEI: 8MNFJR7KOMBQ7X62LK44 | Long             | DBT              | CORP              | US        |    421000 | PA      | $267867.99    | 0.01%             | 2051-09-15      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| PUGET SOUND ENERGY INC                                   | Puget Sound Energy Inc                                                          | CUSIP: 745332CN4<br>LEI: 8MNFJR7KOMBQ7X62LK44 | Long             | DBT              | CORP              | US        |    843000 | PA      | $837374.61    | 0.02%             | 2054-06-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| QNITY ELECTRONICS INC                                    | Qnity Electronics Inc                                                           | CUSIP: 74743LAA8<br>LEI: 254900RSUG4J9TFFZX53 | Long             | DBT              | CORP              | US        |    405000 | PA      | $414860.48    | 0.01%             | 2032-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                                      | Quanta Services Inc                                                             | CUSIP: 74762EAL6<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |    714000 | PA      | $733350.27    | 0.02%             | 2034-08-09      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| QUEST DIAGNOSTICS INC                                    | Quest Diagnostics Inc                                                           | CUSIP: 74834LBF6<br>LEI: 8MCWUBXQ0WE04KMXBX50 | Long             | DBT              | CORP              | US        |    432000 | PA      | $439162.62    | 0.01%             | 2029-12-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| ROCKETMTGE CO-ISSUER INC                                 | Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc                             | CUSIP: 74841CAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    400000 | PA      | $386430.84    | 0.01%             | 2029-03-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| RHP HOTEL PPTY/RHP FINAN                                 | RHP Hotel Properties LP / RHP Finance Corp                                      | CUSIP: 749571AF2<br>LEI: N/A                  | Long             | DBT              |  | US        |    805000 | PA      | $803460.56    | 0.02%             | 2027-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                                 | RTX Corp                                                                        | CUSIP: 75513ECX7<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    504000 | PA      | $554740.23    | 0.01%             | 2054-03-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                       | Realty Income Corp                                                              | CUSIP: 756109BL7<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              |  | US        |    964000 | PA      | $864979.90    | 0.02%             | 2032-12-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                       | Realty Income Corp                                                              | CUSIP: 756109CA0<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              |  | US        |    747000 | PA      | $717438.63    | 0.02%             | 2028-03-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                       | Realty Income Corp                                                              | CUSIP: 756109CC6<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              |  | US        |    798000 | PA      | $775683.74    | 0.02%             | 2030-01-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                       | Realty Income Corp                                                              | CUSIP: 756109CE2<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              |  | US        |    316000 | PA      | $285338.71    | 0.01%             | 2032-02-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                       | Realty Income Corp                                                              | CUSIP: 756109CW2<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              |  | US        |   1195000 | PA      | $1191190.40   | 0.03%             | 2029-02-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                       | Realty Income Corp                                                              | CUSIP: 756109CX0<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              |  | US        |   1018000 | PA      | $1007764.58   | 0.03%             | 2033-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| REGENCY CENTERS LP                                       | Regency Centers LP                                                              | CUSIP: 75884RAZ6<br>LEI: 5493008PTR2GAOYBXW28 | Long             | DBT              |  | US        |   1824000 | PA      | $1748253.15   | 0.05%             | 2029-09-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| REGENCY CENTERS LP                                       | Regency Centers LP                                                              | CUSIP: 75884RBB8<br>LEI: 5493008PTR2GAOYBXW28 | Long             | DBT              |  | US        |   1563000 | PA      | $1606787.36   | 0.04%             | 2034-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| REGENCY CENTERS LP                                       | Regency Centers LP                                                              | CUSIP: 75884RBD4<br>LEI: 5493008PTR2GAOYBXW28 | Long             | DBT              |  | US        |   1152000 | PA      | $1179928.97   | 0.03%             | 2032-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| REGIONAL MANAGEMENT ISSUANCE TRUST RMIT_21-2             | REGIONAL MANAGEMENT ISSUANCE TRUST RMIT_21-2                                    | CUSIP: 75907UAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4300000 | PA      | $4089641.42   | 0.11%             | 2033-08-15      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| Renew Financial                                          | Renew 2023-1                                                                    | CUSIP: 75973HAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3141353 | PA      | $3084377.96   | 0.08%             | 2058-11-20      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Renew Financial                                          | Renew 2017-1                                                                    | CUSIP: 75973LAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    156058 | PA      | $145314.92    | 0.00%             | 2052-09-20      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, INC.                | RESIDENTIAL ASSET MORTGAGE PRODUCTS INC RAMP_04-SL2                             | CUSIP: 7609856C0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     88879 | PA      | $90248.44     | 0.00%             | 2031-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| RINGCENTRAL INC                                          | RingCentral Inc                                                                 | CUSIP: 76680RAJ6<br>LEI: 549300C8EH0H1614VE84 | Long             | DBT              | CORP              | US        |    445000 | PA      | $471812.33    | 0.01%             | 2030-08-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| RB GLOBAL HOLDINGS INC                                   | Ritchie Bros Holdings Inc                                                       | CUSIP: 76774LAC1<br>LEI: 254900LH3N0EGB1LQ203 | Long             | DBT              | CORP              | US        |    265000 | PA      | $277073.63    | 0.01%             | 2031-03-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| ROCHE HOLDINGS INC                                       | Roche Holdings Inc                                                              | CUSIP: 771196CS9<br>LEI: PVJRP0EQNV6OGDPZGY95 | Long             | DBT              | CORP              | US        |   1501000 | PA      | $1496967.68   | 0.04%             | 2030-12-02      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| ROCHE HOLDINGS INC                                       | Roche Holdings Inc                                                              | CUSIP: 771196CT7<br>LEI: PVJRP0EQNV6OGDPZGY95 | Long             | DBT              | CORP              | US        |   2260000 | PA      | $2251863.72   | 0.06%             | 2032-12-02      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| ROCKIES EXPRESS PIPELINE                                 | Rockies Express Pipeline LLC                                                    | CUSIP: 77340RAT4<br>LEI: W2ZGZGZKY5GGNY6F3V51 | Long             | DBT              | CORP              | US        |    670000 | PA      | $659300.24    | 0.02%             | 2030-05-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| ROPER TECHNOLOGIES INC                                   | Roper Technologies Inc                                                          | CUSIP: 776696AJ5<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |    658000 | PA      | $656459.48    | 0.02%             | 2034-10-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| ROPER TECHNOLOGIES INC                                   | Roper Technologies Inc                                                          | CUSIP: 776696AL0<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |    215000 | PA      | $215903.52    | 0.01%             | 2030-09-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                        | NatWest Group PLC                                                               | CUSIP: 780097BL4<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    208000 | PA      | $208811.35    | 0.01%             | 2030-05-08      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                     | Royal Bank of Canada                                                            | CUSIP: 78017DAM0<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |   2705000 | PA      | $2739197.49   | 0.07%             | 2031-08-06      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                     | Royal Bank of Canada                                                            | CUSIP: 78017FZT3<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |   2440000 | PA      | $2473331.49   | 0.06%             | 2030-10-18      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| SCF EQUIPMENT LEASING LLC SCFET_22-2                     | SCF EQUIPMENT LEASING LLC SCFET_22-2                                            | CUSIP: 78397WAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4484000 | PA      | $4472991.33   | 0.12%             | 2035-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SFS Auto Receivables Securitization Trust                | SFS Auto Receivables Securitization Trust 2024-2                                | CUSIP: 78397XAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1603002 | PA      | $1620518.32   | 0.04%             | 2029-11-20      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| SBNA Auto Lease Trust                                    | SBNA Auto Lease Trust 2024-C                                                    | CUSIP: 78398DAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1174000 | PA      | $1180488.93   | 0.03%             | 2029-03-20      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| SFS Auto Receivables Securitization Trust                | SFS Auto Receivables Securitization Trust 2025-2                                | CUSIP: 78398HAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1469000 | PA      | $1496462.66   | 0.04%             | 2031-05-20      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| SFS Auto Receivables Securitization Trust                | SFS Auto Receivables Securitization Trust 2025-3                                | CUSIP: 78398KAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2315000 | PA      | $2325248.51   | 0.06%             | 2031-04-21      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| S&P GLOBAL INC                                           | S&P Global Inc                                                                  | CUSIP: 78409VBK9<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |    938000 | PA      | $865176.09    | 0.02%             | 2032-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| SBA COMMUNICATIONS CORP                                  | SBA Communications Corp                                                         | CUSIP: 78410GAG9<br>LEI: 5299001HX8ZN8Y8QIT49 | Long             | DBT              |  | US        |    300000 | PA      | $286712.70    | 0.01%             | 2029-02-01      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| SCE RECOVERY FUNDING LLC                                 | SCE Recovery Funding LLC                                                        | CUSIP: 78433LAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    109921 | PA      | $109898.80    | 0.00%             | 2040-06-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| SFS Auto Receivables Securitization Trust                | SFS Auto Receivables Securitization Trust 2024-1                                | CUSIP: 78435VAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2017320 | PA      | $2031124.26   | 0.05%             | 2029-05-21      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| SFS Auto Receivables Securitization Trust                | SFS Auto Receivables Securitization Trust 2024-1                                | CUSIP: 78435VAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    462000 | PA      | $468503.39    | 0.01%             | 2031-01-21      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| SBNA Auto Receivables Trust                              | SBNA Auto Receivables Trust 2024-A                                              | CUSIP: 78437PAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    534080 | PA      | $535959.01    | 0.01%             | 2028-12-15      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| SBNA Auto Receivables Trust                              | SBNA Auto Receivables Trust 2024-A                                              | CUSIP: 78437PAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    525000 | PA      | $528948.05    | 0.01%             | 2029-04-16      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                         | SMB Private Education Loan Trust 2021-A                                         | CUSIP: 78448YAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2311639 | PA      | $2108944.86   | 0.06%             | 2053-01-15      | Fixed         | 1.07%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                         | SMB Private Education Loan Trust 2018-A                                         | CUSIP: 78449PAB5<br>LEI: 549300QHI21JZK7YIR34 | Long             | ABS-O            | CORP              | US        |    852395 | PA      | $848005.96    | 0.02%             | 2036-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SM ENERGY CO                                             | SM Energy Co                                                                    | CUSIP: 78454LAN0<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |    280000 | PA      | $280364.29    | 0.01%             | 2026-09-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| SM ENERGY CO                                             | SM Energy Co                                                                    | CUSIP: 78454LAP5<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |    300000 | PA      | $300804.42    | 0.01%             | 2027-01-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| SS&C TECHNOLOGIES INC                                    | SS&C Technologies Inc                                                           | CUSIP: 78466CAC0<br>LEI: 549300KY09TR3J12JU49 | Long             | DBT              | CORP              | US        |    475000 | PA      | $475414.28    | 0.01%             | 2027-09-30      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SWCH Commercial Mortgage Trust                           | SWCH Commercial Mortgage Trust 2025-DATA                                        | CUSIP: 78489CAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2176000 | PA      | $2151994.61   | 0.06%             | 2042-02-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| SAAVI ENERGIA SARL                                       | Saavi Energia Sarl                                                              | CUSIP: 78518PAA3<br>LEI: 254900A2V0IO8K56UH35 | Long             | DBT              | CORP              | LU        |    549000 | PA      | $595268.58    | 0.02%             | 2035-02-10      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| SABRA HEALTH CARE LP                                     | Sabra Health Care LP                                                            | CUSIP: 78574MAA1<br>LEI: 549300OVKLRFSIQG0H81 | Long             | DBT              |  | US        |    257000 | PA      | $235031.29    | 0.01%             | 2031-12-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| SALESFORCE INC                                           | Salesforce Inc                                                                  | CUSIP: 79466LAK0<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |    347000 | PA      | $251654.99    | 0.01%             | 2041-07-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO G & E                                          | San Diego Gas & Electric Co                                                     | CUSIP: 797440CA0<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |    318000 | PA      | $202297.19    | 0.01%             | 2051-08-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO G & E                                          | San Diego Gas & Electric Co                                                     | CUSIP: 797440CE2<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |    365000 | PA      | $374219.93    | 0.01%             | 2028-08-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                                 | Santander UK Group Holdings PLC                                                 | CUSIP: 80281LAU9<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   2382000 | PA      | $2408477.92   | 0.06%             | 2030-09-11      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                                 | Santander UK Group Holdings PLC                                                 | CUSIP: 80281LAV7<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    279000 | PA      | $290643.85    | 0.01%             | 2031-04-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                   | Santander Drive Auto Receivables Trust 2024-2                                   | CUSIP: 80286YAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2647000 | PA      | $2738861.22   | 0.07%             | 2031-08-15      | Fixed         | 6.28%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                   | Santander Drive Auto Receivables Trust 2024-3                                   | CUSIP: 80287LAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1103230 | PA      | $1107489.19   | 0.03%             | 2029-01-16      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                   | Santander Drive Auto Receivables Trust 2025-2                                   | CUSIP: 80287NAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1551000 | PA      | $1558676.36   | 0.04%             | 2029-08-15      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                   | Santander Drive Auto Receivables Trust 2025-3                                   | CUSIP: 80288JAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2399000 | PA      | $2409932.72   | 0.06%             | 2030-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                      | Charles Schwab Corp/The                                                         | CUSIP: 808513CK9<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |   3640000 | PA      | $3633559.02   | 0.10%             | 2031-11-14      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                      | Charles Schwab Corp/The                                                         | CUSIP: 808513CL7<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |   4103000 | PA      | $4085064.25   | 0.11%             | 2036-11-14      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| SCIENCE APPLICATIONS INT                                 | Science Applications International Corp                                         | CUSIP: 808625AB3<br>LEI: 549300LZPNZIXQGZPZ48 | Long             | DBT              | CORP              | US        |    100000 | PA      | $101386.79    | 0.00%             | 2033-11-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| SCOTTS MIRACLE-GRO CO                                    | Scotts Miracle-Gro Co/The                                                       | CUSIP: 810186AS5<br>LEI: 2TH9E0JTOUXOEGI2R879 | Long             | DBT              | CORP              | US        |    695000 | PA      | $681570.85    | 0.02%             | 2029-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SCRIPPS ESCROW II INC                                    | Scripps Escrow II Inc                                                           | CUSIP: 81105DAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    185000 | PA      | $170028.09    | 0.00%             | 2029-01-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Seagate Data Storage Technology Pte Ltd                  | SEAGATE DATA STORAGE TECHNOLOG                                                  | CUSIP: 81180LAL9<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |    480000 | PA      | $422167.99    | 0.01%             | 2029-07-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Seagate Data Storage Technology Pte Ltd                  | SEAGATE DATA STOR                                                               | CUSIP: 81180LAN5<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |    200000 | PA      | $190427.43    | 0.00%             | 2031-01-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| SEMPRA                                                   | Sempra                                                                          | CUSIP: 816851BS7<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |    245000 | PA      | $251769.44    | 0.01%             | 2054-10-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| SEMPRA                                                   | Sempra                                                                          | CUSIP: 816851BW8<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |    163000 | PA      | $166575.17    | 0.00%             | 2056-04-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| SENSATA TECHNOLOGIES BV                                  | Sensata Technologies BV                                                         | CUSIP: 81725WAK9<br>LEI: PUCKW5P5O3XMOZVH7T53 | Long             | DBT              | CORP              | NL        |    263000 | PA      | $256684.76    | 0.01%             | 2029-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SENSATA TECHNOLOGIES INC                                 | Sensata Technologies Inc                                                        | CUSIP: 81728UAB0<br>LEI: 5493002MMDDCUNV7NY90 | Long             | DBT              | CORP              | US        |    225000 | PA      | $211372.87    | 0.01%             | 2031-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| SENSATA TECHNOLOGIES INC                                 | Sensata Technologies Inc                                                        | CUSIP: 81728UAC8<br>LEI: 5493002MMDDCUNV7NY90 | Long             | DBT              | CORP              | US        |    200000 | PA      | $209361.30    | 0.01%             | 2032-07-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                   | Sequoia Mortgage Trust 2003-1                                                   | CUSIP: 81743PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    138266 | PA      | $130456.53    | 0.00%             | 2033-04-20      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                   | Sequoia Mortgage Trust 2003-8                                                   | CUSIP: 81743PDX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     82569 | PA      | $80672.82     | 0.00%             | 2034-01-20      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                   | Sequoia Mortgage Trust 2004-11                                                  | CUSIP: 81744FFJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     65297 | PA      | $60476.54     | 0.00%             | 2034-12-20      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                   | SEQUOIA MORTGAGE TRUST SEMT_04-12                                               | CUSIP: 81744FGA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     43698 | PA      | $43340.53     | 0.00%             | 2035-01-20      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| SERVICE CORP INTL                                        | Service Corp International/US                                                   | CUSIP: 817565CE2<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |    430000 | PA      | $433165.46    | 0.01%             | 2029-06-01      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| SHERWIN-WILLIAMS CO                                      | Sherwin-Williams Co/The                                                         | CUSIP: 824348BT2<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | DBT              | CORP              | US        |    411000 | PA      | $420703.23    | 0.01%             | 2031-09-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| SHIFT4 PAYMENTS LLC/FIN                                  | Shift4 Payments LLC / Shift4 Payments Finance Sub Inc                           | CUSIP: 82453AAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    565000 | PA      | $583546.60    | 0.02%             | 2032-08-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| SIEMENS FUNDING BV                                       | Siemens Funding BV                                                              | CUSIP: 82622RAA4<br>LEI: 213800CCRGH2TO338X64 | Long             | DBT              | CORP              | NL        |   2606000 | PA      | $2637418.84   | 0.07%             | 2028-05-26      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| SIEMENS FUNDING BV                                       | Siemens Funding BV                                                              | CUSIP: 82622RAC0<br>LEI: 213800CCRGH2TO338X64 | Long             | DBT              | CORP              | NL        |   1739000 | PA      | $1774333.99   | 0.05%             | 2030-05-28      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| SIEMENS FUNDING BV                                       | Siemens Funding BV                                                              | CUSIP: 82622RAD8<br>LEI: 213800CCRGH2TO338X64 | Long             | DBT              | CORP              | NL        |   2095000 | PA      | $2156124.49   | 0.06%             | 2032-05-28      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| SIEMENS FUNDING BV                                       | Siemens Funding BV                                                              | CUSIP: 82622RAE6<br>LEI: 213800CCRGH2TO338X64 | Long             | DBT              | CORP              | NL        |   2095000 | PA      | $2173434.17   | 0.06%             | 2035-05-28      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| SIEMENS FUNDING BV                                       | Siemens Funding BV                                                              | CUSIP: 82622RAF3<br>LEI: 213800CCRGH2TO338X64 | Long             | DBT              | CORP              | NL        |   1062000 | PA      | $1105834.79   | 0.03%             | 2055-05-28      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co LLC                        | Sierra Timeshare 2024-2 Receivables Funding LLC                                 | CUSIP: 82650DAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    974327 | PA      | $989058.22    | 0.03%             | 2041-06-20      | Fixed         | 7.48%                 | No            |                  2 | On Loan: No      |
| SIGECO SECURITIZATION I                                  | Sigeco Securitization I LLC                                                     | CUSIP: 82655KAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    104175 | PA      | $106646.78    | 0.00%             | 2036-11-15      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| SIGECO SECURITIZATION I                                  | Sigeco Securitization I LLC                                                     | CUSIP: 82655KAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    112000 | PA      | $111569.15    | 0.00%             | 2041-05-15      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co LLC                        | Sierra Timeshare 2024-1 Receivables Funding LLC                                 | CUSIP: 826935AD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    853645 | PA      | $873210.99    | 0.02%             | 2043-01-20      | Fixed         | 8.02%                 | No            |                  2 | On Loan: No      |
| SINCLAIR TELEVISION GROU                                 | Sinclair Television Group Inc                                                   | CUSIP: 829259BH2<br>LEI: 549300CQGEN0CH65UD62 | Long             | DBT              | CORP              | US        |    150000 | PA      | $156848.95    | 0.00%             | 2033-02-15      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO LLC                                      | Sirius XM Radio LLC                                                             | CUSIP: 82967NBJ6<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |   1539000 | PA      | $1503832.35   | 0.04%             | 2028-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SIX FLAGS ENTERTAINME                                    | Six Flags Entertainment Corp                                                    | CUSIP: 83001AAD4<br>LEI: 529900AS2CYWYFHRS781 | Long             | DBT              | CORP              | US        |    340000 | PA      | $326559.26    | 0.01%             | 2031-05-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| SIX FLAGS ENT/SIX FLAG                                   | Six Flags Entertainment Corp /Six Flags Theme Parks Inc/ Canada's Wonderland Co | CUSIP: 83002YAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    385000 | PA      | $388443.09    | 0.01%             | 2032-05-01      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| SOUTH BOW USA INFRA HLDS                                 | South Bow USA Infrastructure Holdings LLC                                       | CUSIP: 83007CAB8<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |    568000 | PA      | $572849.56    | 0.02%             | 2027-09-01      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| SOUTH BOW USA INFRA HLDS                                 | South Bow USA Infrastructure Holdings LLC                                       | CUSIP: 83007CAD4<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |    300000 | PA      | $304440.85    | 0.01%             | 2029-10-01      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES/SKYMILES                                 | Delta Air Lines Inc / SkyMiles IP Ltd                                           | CUSIP: 830867AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |   2547000 | PA      | $2562414.69   | 0.07%             | 2028-10-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                         | Societe Generale SA                                                             | CUSIP: 83368RAW2<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    354000 | PA      | $333448.54    | 0.01%             | 2030-01-22      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                         | Societe Generale SA                                                             | CUSIP: 83368RBD3<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    914000 | PA      | $827381.37    | 0.02%             | 2032-06-09      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                         | Societe Generale SA                                                             | CUSIP: 83368RBH4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   1114000 | PA      | $1096795.00   | 0.03%             | 2028-01-19      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                         | Societe Generale SA                                                             | CUSIP: 83368RBQ4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    400000 | PA      | $400212.56    | 0.01%             | 2027-01-12      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                         | Societe Generale SA                                                             | CUSIP: 83368RBR2<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    400000 | PA      | $415940.38    | 0.01%             | 2029-01-10      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                         | Societe Generale SA                                                             | CUSIP: 83368RBX9<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    351000 | PA      | $370623.67    | 0.01%             | 2035-01-19      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                         | Societe Generale SA                                                             | CUSIP: 83368RCF7<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    918000 | PA      | $969627.82    | 0.03%             | 2033-04-13      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                         | Societe Generale SA                                                             | CUSIP: 83368RCG5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    350000 | PA      | $361148.53    | 0.01%             | 2031-05-22      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Program LLC                     | SoFi Professional Loan Program 2021-B Trust                                     | CUSIP: 83405NAA4<br>LEI: 5493002WMPR84WZ75V46 | Long             | ABS-O            | CORP              | US        |   1292173 | PA      | $1135765.56   | 0.03%             | 2047-02-15      | Fixed         | 1.14%                 | No            |                  2 | On Loan: No      |
| SOLSTICE ADVANCED MATERI                                 | Solstice Advanced Materials Inc                                                 | CUSIP: 83443QAA1<br>LEI: 2138004GZ4H9TW6HK435 | Long             | DBT              | CORP              | US        |    275000 | PA      | $277611.63    | 0.01%             | 2033-09-30      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| SONIC AUTOMOTIVE INC                                     | Sonic Automotive Inc                                                            | CUSIP: 83545GBD3<br>LEI: 549300NTLRGJ2JCBZU03 | Long             | DBT              | CORP              | US        |    380000 | PA      | $372821.49    | 0.01%             | 2029-11-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| SONOCO PRODUCTS CO                                       | Sonoco Products Co                                                              | CUSIP: 835495AL6<br>LEI: GKOMIK4RDJGHEF0VNP11 | Long             | DBT              | CORP              | US        |    657000 | PA      | $621570.61    | 0.02%             | 2030-05-01      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                                 | Republic of South Africa Government International Bond                          | CUSIP: 836205BF0<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    587000 | PA      | $628587.85    | 0.02%             | 2036-11-19      | Fixed         | 7.10%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                                 | Republic of South Africa Government International Bond                          | CUSIP: 836205BG8<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    509000 | PA      | $547247.86    | 0.01%             | 2054-11-19      | Fixed         | 7.95%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                                 | Republic of South Africa Government International Bond                          | CUSIP: 836205BJ2<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    285000 | PA      | $282259.86    | 0.01%             | 2055-12-11      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                      | Southern California Edison Co                                                   | CUSIP: 842400GK3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    118000 | PA      | $89651.44     | 0.00%             | 2048-03-01      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                      | Southern California Edison Co                                                   | CUSIP: 842400HV8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    387000 | PA      | $359706.54    | 0.01%             | 2053-03-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                      | Southern California Edison Co                                                   | CUSIP: 842400HX4<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    534000 | PA      | $512264.39    | 0.01%             | 2053-12-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                      | Southern California Edison Co                                                   | CUSIP: 842400HZ9<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    155000 | PA      | $155810.90    | 0.00%             | 2034-06-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                      | Southern California Edison Co                                                   | CUSIP: 842400JE4<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    257000 | PA      | $265984.86    | 0.01%             | 2031-06-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                      | Southern California Edison Co                                                   | CUSIP: 842400JG9<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    895000 | PA      | $907994.51    | 0.02%             | 2035-03-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                      | Southern California Edison Co                                                   | CUSIP: 842400JJ3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    723000 | PA      | $741853.59    | 0.02%             | 2030-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIF GAS CO                                    | Southern California Gas Co                                                      | CUSIP: 842434CU4<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |    215000 | PA      | $202663.41    | 0.01%             | 2030-02-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL                                  | Southern Co Gas Capital Corp                                                    | CUSIP: 8426EPAE8<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |    348000 | PA      | $225924.46    | 0.01%             | 2051-09-30      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL                                  | Southern Co Gas Capital Corp                                                    | CUSIP: 8426EPAG3<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |   1090000 | PA      | $1156004.26   | 0.03%             | 2033-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SOUTHERN POWER CO                                        | Southern Power Co                                                               | CUSIP: 843646AH3<br>LEI: 5LADC78JBG2BMZD5XF57 | Long             | DBT              | CORP              | US        |    232000 | PA      | $223594.37    | 0.01%             | 2041-09-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| SOUTHWEST AIRLINES CO                                    | Southwest Airlines Co                                                           | CUSIP: 844741BM9<br>LEI: UDTZ87G0STFETI6HGH41 | Long             | DBT              | CORP              | US        |   2354000 | PA      | $2303679.49   | 0.06%             | 2035-11-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ELEC POWER                                  | Southwestern Electric Power Co                                                  | CUSIP: 845437BN1<br>LEI: R64UBJHEC74EB3HGQ410 | Long             | DBT              | CORP              | US        |    249000 | PA      | $193098.27    | 0.01%             | 2045-04-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ELEC POWER                                  | Southwestern Electric Power Co                                                  | CUSIP: 845437BU5<br>LEI: R64UBJHEC74EB3HGQ410 | Long             | DBT              | CORP              | US        |    199000 | PA      | $204292.14    | 0.01%             | 2033-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| EXPAND ENERGY CORP                                       | Expand Energy Corp                                                              | CUSIP: 845467AR0<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |    400000 | PA      | $400578.35    | 0.01%             | 2029-02-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| EXPAND ENERGY CORP                                       | Expand Energy Corp                                                              | CUSIP: 845467AT6<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |   2962000 | PA      | $2925946.51   | 0.08%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN PUBLIC SERV                                 | Southwestern Public Service Co                                                  | CUSIP: 845743BN2<br>LEI: OL6FE7QD5EQ3DOYEO258 | Long             | DBT              | CORP              | US        |    192000 | PA      | $171062.04    | 0.00%             | 2041-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SPRINT CAPITAL CORP                                      | Sprint Capital Corp                                                             | CUSIP: 852060AD4<br>LEI: 549300L17W0GQBR1PO80 | Long             | DBT              | CORP              | US        |    229000 | PA      | $245787.42    | 0.01%             | 2028-11-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| BLOCK INC                                                | Block Inc                                                                       | CUSIP: 852234AS2<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |    710000 | PA      | $738255.83    | 0.02%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SMYRNA READY MIX CONCRET                                 | Smyrna Ready Mix Concrete LLC                                                   | CUSIP: 85236FAA1<br>LEI: 549300S7RFWHQFOIOY93 | Long             | DBT              | CORP              | US        |    575000 | PA      | $578153.65    | 0.02%             | 2028-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                   | Standard Chartered PLC                                                          | CUSIP: 853254BZ2<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    260000 | PA      | $259802.34    | 0.01%             | 2027-01-14      | Fixed         | 1.46%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                   | Standard Chartered PLC                                                          | CUSIP: 853254CN8<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    885000 | PA      | $942430.36    | 0.02%             | 2028-11-16      | Fixed         | 7.77%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                   | Standard Chartered PLC                                                          | CUSIP: 853254CS7<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    569000 | PA      | $591061.58    | 0.02%             | 2029-01-09      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                   | Standard Chartered PLC                                                          | CUSIP: 853254DB3<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    515000 | PA      | $525430.51    | 0.01%             | 2028-05-14      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| STANDARD INDUSTRI INC/NY                                 | Standard Industries Inc/NY                                                      | CUSIP: 853496AD9<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |    300000 | PA      | $299060.87    | 0.01%             | 2028-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| STANDARD INDUSTRI INC/NY                                 | Standard Industries Inc/NY                                                      | CUSIP: 853496AG2<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |    500000 | PA      | $483417.57    | 0.01%             | 2030-07-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY TRUST                                  | Starwood Property Trust Inc                                                     | CUSIP: 85571BBB0<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              |  | US        |    360000 | PA      | $379917.49    | 0.01%             | 2029-04-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust 2020-INV1            | Starwood Mortgage Residential Trust 2020-INV                                    | CUSIP: 85573EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    151066 | PA      | $146850.29    | 0.00%             | 2055-11-25      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust                      | Starwood Mortgage Residential Trust 2021-4                                      | CUSIP: 85573PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1267789 | PA      | $1139036.82   | 0.03%             | 2056-08-25      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORP                                        | State Street Corp                                                               | CUSIP: 857477CH4<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    325000 | PA      | $337688.44    | 0.01%             | 2029-03-15      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORP                                        | State Street Corp                                                               | CUSIP: 857477CW1<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |   3147000 | PA      | $3221643.61   | 0.08%             | 2030-02-28      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORP                                        | State Street Corp                                                               | CUSIP: 857477DE0<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    782000 | PA      | $778437.31    | 0.02%             | 2036-10-23      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| STATION CASINOS LLC                                      | Station Casinos LLC                                                             | CUSIP: 857691AG4<br>LEI: 5493004E7Q60TX54WL62 | Long             | DBT              | CORP              | US        |    300000 | PA      | $297751.75    | 0.01%             | 2028-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Stellantis Financial Underwritten Enhanced Lease Trust   | Stellantis Financial Underwritten Enhanced Lease Trust 2025-C                   | CUSIP: 85855EAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2402000 | PA      | $2404943.89   | 0.06%             | 2029-04-20      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| STORE CAPITAL LLC                                        | Store Capital LLC                                                               | CUSIP: 862121AC4<br>LEI: 254900Z9PIEFQ6AYXK50 | Long             | DBT              |  | US        |    937000 | PA      | $852222.74    | 0.02%             | 2030-11-18      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| STORE CAPITAL LLC                                        | Store Capital LLC                                                               | CUSIP: 862121AD2<br>LEI: 254900Z9PIEFQ6AYXK50 | Long             | DBT              |  | US        |    463000 | PA      | $408790.82    | 0.01%             | 2031-12-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| STRE_24-1A                                               | STRE_24-1A                                                                      | CUSIP: 86324CAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2267125 | PA      | $2528588.32   | 0.07%             | 2044-07-15      | Fixed         | 11.40%                | No            |                  2 | On Loan: No      |
| STREAM INNOVATIONS ISSUER TRUST                          | Stream Innovations 2024-2 Issuer Trust                                          | CUSIP: 86324EAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1626606 | PA      | $1713567.62   | 0.04%             | 2045-02-15      | Fixed         | 9.05%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corporation                  | Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-34A        | CUSIP: 86359A5B5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     65464 | PA      | $64953.78     | 0.00%             | 2033-11-25      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corporation                  | Structured Asset Sec Corp Mort Passthr Certs Ser 2003 40A                       | CUSIP: 86359BEK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     49283 | PA      | $47808.75     | 0.00%             | 2034-01-25      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corporation                  | STRUCTURED ASSET SECURITIES CORPORATION SASC_04-4XS                             | CUSIP: 86359BHL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    145781 | PA      | $143464.79    | 0.00%             | 2034-02-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust           | Structured Adjustable Rate Mortgage Loan Trust Series 2004-4                    | CUSIP: 86359BPD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50720 | PA      | $47348.54     | 0.00%             | 2034-04-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc                | Structured Asset Mortgage Investments II Trust 2004-AR5                         | CUSIP: 86359LDX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     85015 | PA      | $82342.16     | 0.00%             | 2034-10-19      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc                | Structured Asset Mortgage Investments II Trust 2005-AR5                         | CUSIP: 86359LPF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     41905 | PA      | $41514.63     | 0.00%             | 2035-07-19      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                                 | Sumitomo Mitsui Financial Group Inc                                             | CUSIP: 86562MBP4<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    567000 | PA      | $544731.00    | 0.01%             | 2029-07-16      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                                 | Sumitomo Mitsui Financial Group Inc                                             | CUSIP: 86562MCR9<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    310000 | PA      | $319266.12    | 0.01%             | 2028-01-13      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                                 | Sumitomo Mitsui Financial Group Inc                                             | CUSIP: 86562MDN7<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    350000 | PA      | $366299.09    | 0.01%             | 2031-07-09      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| SUMITOM MITSUI TRST                                      | Sumitomo Mitsui Trust Group Inc                                                 | CUSIP: 86566AAA0<br>LEI: 353800P843RLCDBLNT17 | Long             | DBT              | CORP              | JP        |   1981000 | PA      | $1989419.39   | 0.05%             | 2036-09-11      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP                                                | Sunoco LP                                                                       | CUSIP: 86765KAC3<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |    360000 | PA      | $380260.97    | 0.01%             | 2032-05-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP                                                | Sunoco LP                                                                       | CUSIP: 86765KAF6<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |    164000 | PA      | $164862.13    | 0.00%             | 2031-03-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP/FINANCE CORP                                   | Sunoco LP / Sunoco Finance Corp                                                 | CUSIP: 86765LAQ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    300000 | PA      | $300148.99    | 0.01%             | 2027-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SUPERIOR PLUS/GEN PRTNR                                  | Superior Plus LP / Superior General Partner Inc                                 | CUSIP: 86828LAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    550000 | PA      | $537228.92    | 0.01%             | 2029-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SURINAME INT                                 | Suriname Government International Bond                                          | CUSIP: 86886PAE2<br>LEI: 254900SYU4G5JM13TN77 | Long             | DBT              | NUSS              | SR        |    400000 | PA      | $413264.14    | 0.01%             | 2030-11-06      | Fixed         | 7.70%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SURINAME INT                                 | Suriname Government International Bond                                          | CUSIP: 86886PAF9<br>LEI: 254900SYU4G5JM13TN77 | Long             | DBT              | NUSS              | SR        |    400000 | PA      | $432235.19    | 0.01%             | 2035-11-06      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| SUZANO NETHERLANDS BV                                    | Suzano Netherlands BV                                                           | CUSIP: 86960YAA0<br>LEI: 9845009ZB9F5D6DB3602 | Long             | DBT              | CORP              | NL        |    709000 | PA      | $701685.32    | 0.02%             | 2036-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SYNAPTICS INC                                            | Synaptics Inc                                                                   | CUSIP: 87157DAG4<br>LEI: 549300AJ3LI4FWNRQX29 | Long             | DBT              | CORP              | US        |    340000 | PA      | $329213.14    | 0.01%             | 2029-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                             | Synopsys Inc                                                                    | CUSIP: 871607AB3<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |   1180000 | PA      | $1196271.14   | 0.03%             | 2028-04-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                             | Synopsys Inc                                                                    | CUSIP: 871607AC1<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |   1687000 | PA      | $1722209.28   | 0.05%             | 2030-04-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                             | Synopsys Inc                                                                    | CUSIP: 871607AD9<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |   1350000 | PA      | $1378462.03   | 0.04%             | 2032-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                             | Synopsys Inc                                                                    | CUSIP: 871607AE7<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |   1189000 | PA      | $1208100.39   | 0.03%             | 2035-04-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                             | Synopsys Inc                                                                    | CUSIP: 871607AG2<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |   1508000 | PA      | $1497162.15   | 0.04%             | 2055-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Synchrony Card Issuance Trust                            | Synchrony Card Issuance Trust                                                   | CUSIP: 87166PAP6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2784000 | PA      | $2834291.57   | 0.07%             | 2031-02-15      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| Synchrony Card Issuance Trust                            | Synchrony Card Funding LLC                                                      | CUSIP: 87166PAQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2070000 | PA      | $2101083.95   | 0.06%             | 2031-05-15      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| Synchrony Card Issuance Trust                            | Synchrony Card Issuance Trust                                                   | CUSIP: 87166PAR2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4395000 | PA      | $4416141.71   | 0.12%             | 2031-11-15      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                         | T-Mobile USA Inc                                                                | CUSIP: 87264ABV6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   1361000 | PA      | $1327040.20   | 0.03%             | 2029-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                         | T-Mobile USA Inc                                                                | CUSIP: 87264ADV4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    206000 | PA      | $230801.70    | 0.01%             | 2033-12-15      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| T-Mobile US Trust                                        | T-Mobile US Trust 2024-2                                                        | CUSIP: 87268CAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5293000 | PA      | $5318349.24   | 0.14%             | 2029-05-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| TSMC ARIZONA CORP                                        | TSMC Arizona Corp                                                               | CUSIP: 872898AC5<br>LEI: 2549005GOBWLCSY63Q97 | Long             | DBT              | CORP              | US        |    470000 | PA      | $428041.63    | 0.01%             | 2031-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| TAKE-TWO INTERACTIVE SOF                                 | Take-Two Interactive Software Inc                                               | CUSIP: 874054AM1<br>LEI: BOMSTHHJK882EWYX3334 | Long             | DBT              | CORP              | US        |    193000 | PA      | $199567.29    | 0.01%             | 2029-06-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| TAKE-TWO INTERACTIVE SOF                                 | Take-Two Interactive Software Inc                                               | CUSIP: 874054AN9<br>LEI: BOMSTHHJK882EWYX3334 | Long             | DBT              | CORP              | US        |    771000 | PA      | $804103.33    | 0.02%             | 2034-06-12      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| TAKEDA PHARMACEUTICAL                                    | Takeda Pharmaceutical Co Ltd                                                    | CUSIP: 874060AZ9<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |    439000 | PA      | $293165.59    | 0.01%             | 2050-07-09      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| TAKEDA PHARMACEUTICAL                                    | Takeda Pharmaceutical Co Ltd                                                    | CUSIP: 874060BL9<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |    200000 | PA      | $201407.26    | 0.01%             | 2044-07-05      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| TALLGRASS NRG PRTNR/FIN                                  | Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp                    | CUSIP: 87470LAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    260000 | PA      | $260187.80    | 0.01%             | 2028-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TEACHERS INSUR & ANNUITY                                 | Teachers Insurance & Annuity Association of America                             | CUSIP: 878091BF3<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |    496000 | PA      | $409417.86    | 0.01%             | 2047-05-15      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| TEGNA INC                                                | TEGNA Inc                                                                       | CUSIP: 87901JAH8<br>LEI: 549300YC5EDBGX85AO10 | Long             | DBT              | CORP              | US        |    396000 | PA      | $392765.54    | 0.01%             | 2029-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TEGNA INC                                                | TEGNA Inc                                                                       | CUSIP: 87901JAJ4<br>LEI: 549300YC5EDBGX85AO10 | Long             | DBT              | CORP              | US        |    362000 | PA      | $357977.05    | 0.01%             | 2028-03-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| SOMNIGROUP INTL INC                                      | Somnigroup International Inc                                                    | CUSIP: 88023UAH4<br>LEI: 549300HFEKVR3US71V91 | Long             | DBT              | CORP              | US        |    705000 | PA      | $687374.70    | 0.02%             | 2029-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                    | Tenet Healthcare Corp                                                           | CUSIP: 88033GDQ0<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2048126.26   | 0.05%             | 2030-06-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| TEREX CORP                                               | Terex Corp                                                                      | CUSIP: 880779BA0<br>LEI: YAWJZJYEQ7M1SYMOS462 | Long             | DBT              | CORP              | US        |    520000 | PA      | $518364.82    | 0.01%             | 2029-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TEXAS INSTRUMENTS INC                                    | Texas Instruments Inc                                                           | CUSIP: 882508CC6<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |    924000 | PA      | $847461.25    | 0.02%             | 2053-03-14      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TEXAS INSTRUMENTS INC                                    | Texas Instruments Inc                                                           | CUSIP: 882508CJ1<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |    346000 | PA      | $326081.46    | 0.01%             | 2054-02-08      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Texas Natural Gas Securitization Finance Corp            | TEXAS NATURAL GAS SECURITIZTN FIN CORP REVENUE                                  | CUSIP: 88258MAB1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    140000 | PA      | $142779.03    | 0.00%             | 2041-04-01      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| TEXAS INSTRUMENTS INC                                    | Texas Instruments Inc                                                           | CUSIP: 882926AA6<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |    412000 | PA      | $368354.66    | 0.01%             | 2063-05-18      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust                      | Thornburg Mortgage Securities Trust 2004-4                                      | CUSIP: 885220GF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45139 | PA      | $44333.35     | 0.00%             | 2044-12-25      | Variable      | 5.28%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                    | Time Warner Cable LLC                                                           | CUSIP: 88732JBB3<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    460000 | PA      | $403508.74    | 0.01%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TOPBUILD CORP                                            | TopBuild Corp                                                                   | CUSIP: 89055FAD5<br>LEI: 5493007YSKHOL4RWII46 | Long             | DBT              | CORP              | US        |     56000 | PA      | $56628.18     | 0.00%             | 2034-01-31      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                    | Toronto-Dominion Bank/The                                                       | CUSIP: 89115A2U5<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    195000 | PA      | $202138.82    | 0.01%             | 2028-07-17      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                    | Toronto-Dominion Bank/The                                                       | CUSIP: 89115KAJ9<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   2030000 | PA      | $2029897.28   | 0.05%             | 2035-10-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES CAP INTL                                   | TotalEnergies Capital International SA                                          | CUSIP: 89153VAV1<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |    729000 | PA      | $486553.38    | 0.01%             | 2050-05-29      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES CAP INTL                                   | TotalEnergies Capital International SA                                          | CUSIP: 89153VAX7<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |    280000 | PA      | $211778.92    | 0.01%             | 2041-06-29      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES CAPITAL SA                                 | TotalEnergies Capital SA                                                        | CUSIP: 89157XAB7<br>LEI: 529900QI55ZLJVCMPA71 | Long             | DBT              | CORP              | FR        |    322000 | PA      | $312008.41    | 0.01%             | 2054-04-05      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES CAPITAL SA                                 | TotalEnergies Capital SA                                                        | CUSIP: 89157XAC5<br>LEI: 529900QI55ZLJVCMPA71 | Long             | DBT              | CORP              | FR        |    950000 | PA      | $923056.23    | 0.02%             | 2064-04-05      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES CAPITAL SA                                 | TotalEnergies Capital SA                                                        | CUSIP: 89157XAE1<br>LEI: 529900QI55ZLJVCMPA71 | Long             | DBT              | CORP              | FR        |    285000 | PA      | $268221.15    | 0.01%             | 2054-09-10      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner Trust                      | Toyota Auto Receivables 2022-D Owner Trust                                      | CUSIP: 89239HAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1158000 | PA      | $1175885.77   | 0.03%             | 2028-04-17      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| TRANS-ALLEGHENY INTERSTA                                 | Trans-Allegheny Interstate Line Co                                              | CUSIP: 893045AF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1471000 | PA      | $1511090.42   | 0.04%             | 2031-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TRANSCANADA PIPELINES                                    | TransCanada PipeLines Ltd                                                       | CUSIP: 89352HAM1<br>LEI: 5BV01I6231JPDAPMGH09 | Long             | DBT              | CORP              | CA        |    620000 | PA      | $604369.57    | 0.02%             | 2034-03-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| TRANSCANADA TRUST                                        | Transcanada Trust                                                               | CUSIP: 89356BAE8<br>LEI: 549300Y0MFCAXLBWUV51 | Long             | DBT              | CORP              | CA        |   1155000 | PA      | $1146631.16   | 0.03%             | 2079-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                            | TransDigm Inc                                                                   | CUSIP: 893647BV8<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    900000 | PA      | $936267.81    | 0.02%             | 2032-03-01      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| TRIMAS CORP                                              | TriMas Corp                                                                     | CUSIP: 896215AH3<br>LEI: 75G1WUQ8QK4P5MZOYD78 | Long             | DBT              | CORP              | US        |    505000 | PA      | $491661.41    | 0.01%             | 2029-04-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| TRINIDAD GEN UNLTD                                       | Trinidad Generation UnLtd                                                       | CUSIP: 89636DAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | TT        |    213000 | PA      | $221066.94    | 0.01%             | 2033-06-16      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| TRUIST BANK                                              | Truist Bank                                                                     | CUSIP: 89788JAF6<br>LEI: JJKC32MCHWDI71265Z06 | Long             | DBT              | CORP              | US        |   2694000 | PA      | $2709151.29   | 0.07%             | 2028-07-24      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                    | Truist Financial Corp                                                           | CUSIP: 89788MAM4<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   1099000 | PA      | $1119425.13   | 0.03%             | 2034-01-26      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                    | Truist Financial Corp                                                           | CUSIP: 89788MAP7<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    352000 | PA      | $374207.49    | 0.01%             | 2034-06-08      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                    | Truist Financial Corp                                                           | CUSIP: 89788MAQ5<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    695000 | PA      | $749547.37    | 0.02%             | 2029-10-30      | Fixed         | 7.16%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                    | Truist Financial Corp                                                           | CUSIP: 89788MAS1<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    260000 | PA      | $273701.08    | 0.01%             | 2035-01-24      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| TUCSON ELECTRIC POWER CO                                 | Tucson Electric Power Co                                                        | CUSIP: 898813AV2<br>LEI: YLF139GXSRKPBBTNZL03 | Long             | DBT              | CORP              | US        |    112000 | PA      | $107714.82    | 0.00%             | 2053-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Turkiye Government International Bonds                   | Turkiye Government International Bonds                                          | CUSIP: 900123DK3<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    200000 | PA      | $216902.19    | 0.01%             | 2034-05-15      | Fixed         | 7.63%                 | No            |                  2 | On Loan: No      |
| Turkiye Government International Bonds                   | Turkiye Government International Bonds                                          | CUSIP: 900123DP2<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    200000 | PA      | $211757.24    | 0.01%             | 2032-02-12      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| TC ZIRAAT BANKASI AS                                     | TC Ziraat Bankasi AS                                                            | CUSIP: 90014TAM3<br>LEI: 213800K5KTZFSUS8MR51 | Long             | DBT              | CORP              | TR        |    238000 | PA      | $247073.15    | 0.01%             | 2030-02-04      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| COHERENT CORP                                            | Coherent Corp                                                                   | CUSIP: 902104AC2<br>LEI: 549300O5C25A0MMHHU33 | Long             | DBT              | CORP              | US        |    440000 | PA      | $438720.90    | 0.01%             | 2029-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                             | UBS Group AG                                                                    | CUSIP: 902613AA6<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   2774000 | PA      | $2658471.68   | 0.07%             | 2030-08-13      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                             | UBS Group AG                                                                    | CUSIP: 902613AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1091000 | PA      | $1099597.28   | 0.03%             | 2028-05-12      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                             | UBS Group AG                                                                    | CUSIP: 902613BE7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    320000 | PA      | $375449.86    | 0.01%             | 2033-11-13      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                             | UBS Group AG                                                                    | CUSIP: 902613BF4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    315000 | PA      | $345671.80    | 0.01%             | 2028-11-13      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                             | UBS Group AG                                                                    | CUSIP: 902613BL1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    683000 | PA      | $713523.84    | 0.02%             | 2030-09-13      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                             | UBS Group AG                                                                    | CUSIP: 902613BU1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1926000 | PA      | $1902640.33   | 0.05%             | 2047-05-06      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| UDR INC                                                  | UDR Inc                                                                         | CUSIP: 90265EAL4<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              |  | US        |    212000 | PA      | $210413.79    | 0.01%             | 2026-09-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| UDR INC                                                  | UDR Inc                                                                         | CUSIP: 90265EAW0<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              |  | US        |    280000 | PA      | $283063.02    | 0.01%             | 2034-09-01      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                    | Uber Technologies Inc                                                           | CUSIP: 90353TAP5<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |   3553000 | PA      | $3545827.60   | 0.09%             | 2034-09-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                    | Uber Technologies Inc                                                           | CUSIP: 90353TAQ3<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |    934000 | PA      | $887868.56    | 0.02%             | 2054-09-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                    | Uber Technologies Inc                                                           | CUSIP: 90353TAT7<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |   2038000 | PA      | $2028549.41   | 0.05%             | 2031-01-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                    | Uber Technologies Inc                                                           | CUSIP: 90353TAU4<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |   2083000 | PA      | $2067556.29   | 0.05%             | 2035-09-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| USASF RECEIVABLES LLC USAUT_21-1A                        | USASF RECEIVABLES LLC USAUT_21-1A                                               | CUSIP: 90355EAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1316356 | PA      | $1093371.85   | 0.03%             | 2026-05-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| US AUTO FUNDING LLC USAUT_22-1                           | US AUTO FUNDING LLC USAUT_22-1                                                  | CUSIP: 90355FAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $50.00        | 0.00%             | 2027-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| USB Auto Owner Trust                                     | USB Auto Owner Trust 2025-1                                                     | CUSIP: 90367VAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1793000 | PA      | $1811003.69   | 0.05%             | 2030-06-17      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| USB Auto Owner Trust                                     | USB Auto Owner Trust 2025-1                                                     | CUSIP: 90367VAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    536000 | PA      | $545757.50    | 0.01%             | 2030-12-16      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UNION ELECTRIC CO                                        | Union Electric Co                                                               | CUSIP: 906548CX8<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |    263000 | PA      | $245774.09    | 0.01%             | 2054-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                       | Union Pacific Corp                                                              | CUSIP: 907818GH5<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    609000 | PA      | $607442.89    | 0.02%             | 2054-12-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2018-1 AA PTT                                 | United Airlines 2018-1 Class AA Pass Through Trust                              | CUSIP: 909318AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    259588 | PA      | $249918.25    | 0.01%             | 2030-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2019-1 AA PTT                                 | United Airlines 2019-1 Class AA Pass Through Trust                              | CUSIP: 90931CAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    485361 | PA      | $475889.77    | 0.01%             | 2031-08-25      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2019-1 A PTT                                  | United Airlines 2019-1 Class A Pass Through Trust                               | CUSIP: 90931EAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    457697 | PA      | $445159.40    | 0.01%             | 2031-08-25      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2016-1 AA PTT                                 | United Airlines 2016-1 Class AA Pass Through Trust                              | CUSIP: 90931LAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    307428 | PA      | $299398.69    | 0.01%             | 2028-07-07      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2018-1 A PTT                                  | United Airlines 2018-1 Class A Pass Through Trust                               | CUSIP: 90931VAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    820401 | PA      | $781842.61    | 0.02%             | 2030-03-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2016-2 A PTT                                  | United Airlines 2016-2 Class A Pass Through Trust                               | CUSIP: 90932DAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    638949 | PA      | $608453.10    | 0.02%             | 2028-10-07      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                                      | United Airlines Inc                                                             | CUSIP: 90932LAG2<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |    535000 | PA      | $534696.52    | 0.01%             | 2026-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UNITED AUTO CREDIT SECURITIZATION TRUST UACST_22-2       | UNITED AUTO CREDIT SECURITIZATION TRUST UACST_22-2                              | CUSIP: 90944KAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $423093.80    | 0.01%             | 2029-04-10      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                    | Mexico Government International Bonds                                           | CUSIP: 91086QBB3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   1070000 | PA      | $881241.27    | 0.02%             | 2044-03-08      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                    | Mexico Government International Bonds                                           | CUSIP: 91086QBF4<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   1151000 | PA      | $905352.79    | 0.02%             | 2046-01-23      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                    | Mexico Government International Bonds                                           | CUSIP: 91087BAD2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    974000 | PA      | $753831.16    | 0.02%             | 2048-02-10      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                    | Mexico Government International Bonds                                           | CUSIP: 91087BAR1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   1399000 | PA      | $1208752.48   | 0.03%             | 2034-02-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                    | Mexico Government International Bonds                                           | CUSIP: 91087BAS9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   1044000 | PA      | $761953.06    | 0.02%             | 2052-02-12      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                    | Mexico Government International Bond                                            | CUSIP: 91087BBE9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    569000 | PA      | $584707.94    | 0.02%             | 2032-07-02      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                    | Mexico Government International Bond                                            | CUSIP: 91087BBK5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   3870000 | PA      | $3833972.59   | 0.10%             | 2033-03-22      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AM                                  | United Rentals North America Inc                                                | CUSIP: 911365BL7<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |    765000 | PA      | $775363.11    | 0.02%             | 2030-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AM                                  | United Rentals North America Inc                                                | CUSIP: 911365BS2<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |    425000 | PA      | $424680.49    | 0.01%             | 2033-11-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                               | US Bancorp                                                                      | CUSIP: 91159HJQ4<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    228000 | PA      | $236064.56    | 0.01%             | 2030-01-23      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                               | US Bancorp                                                                      | CUSIP: 91159HJR2<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    147000 | PA      | $155215.17    | 0.00%             | 2035-01-23      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                               | US Bancorp                                                                      | CUSIP: 91159HJS0<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    434000 | PA      | $446744.28    | 0.01%             | 2030-07-23      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                               | US Bancorp                                                                      | CUSIP: 91159HJV3<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    415000 | PA      | $427695.16    | 0.01%             | 2031-05-15      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                    | VENDEE MORTGAGE TRUST VENDE_98-2                                                | CUSIP: 911760LQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     36846 | PA      | $37864.66     | 0.00%             | 2028-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Bonds                                                             | CUSIP: 912810QT8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1443000 | PA      | $1194307.97   | 0.03%             | 2041-11-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Bonds                                                             | CUSIP: 912810QZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1799000 | PA      | $1456908.91   | 0.04%             | 2043-02-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Bonds                                                             | CUSIP: 912810RD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3558000 | PA      | $3121589.06   | 0.08%             | 2043-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Bonds                                                             | CUSIP: 912810RE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8623000 | PA      | $7411737.97   | 0.19%             | 2044-02-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Bonds                                                             | CUSIP: 912810RG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4501000 | PA      | $3719654.53   | 0.10%             | 2044-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Bonds                                                             | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10645000 | PA      | $7546307.03   | 0.20%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Bonds                                                             | CUSIP: 912810RV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11431000 | PA      | $8616116.25   | 0.23%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Bonds                                                             | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  27047000 | PA      | $20154241.09  | 0.53%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Bonds                                                             | CUSIP: 912810SC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11557000 | PA      | $8792348.91   | 0.23%             | 2048-05-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Bonds                                                             | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  27384000 | PA      | $20311226.25  | 0.53%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Bonds                                                             | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4434000 | PA      | $3513252.19   | 0.09%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Bonds                                                             | CUSIP: 912810SF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  27315000 | PA      | $20157616.41  | 0.53%             | 2049-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Bonds                                                             | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  27289000 | PA      | $17149430.94  | 0.45%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Bonds                                                             | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2074000 | PA      | $1218150.94   | 0.03%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Bonds                                                             | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9295000 | PA      | $4580692.19   | 0.12%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Bonds                                                             | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3927000 | PA      | $2065970.16   | 0.05%             | 2050-11-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Bonds                                                             | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5352000 | PA      | $3478800.00   | 0.09%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Bonds                                                             | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2997000 | PA      | $1677851.72   | 0.04%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Bonds                                                             | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11127000 | PA      | $7025657.34   | 0.18%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Bonds                                                             | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9815000 | PA      | $7227827.34   | 0.19%             | 2041-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Bonds                                                             | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  40499000 | PA      | $27368464.84  | 0.72%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Bonds                                                             | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  32276000 | PA      | $22557898.13  | 0.59%             | 2041-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Bonds                                                             | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6249000 | PA      | $3799196.72   | 0.10%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Bonds                                                             | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8506000 | PA      | $6269187.81   | 0.16%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Bonds                                                             | CUSIP: 912810TW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4972700 | PA      | $4979692.86   | 0.13%             | 2043-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Bonds                                                             | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3758700 | PA      | $3552558.80   | 0.09%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Bonds                                                             | CUSIP: 912810UM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  50492000 | PA      | $49750398.75  | 1.31%             | 2055-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Bonds                                                             | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2190000 | PA      | $2214295.31   | 0.06%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Bonds                                                             | CUSIP: 912810UP1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11937000 | PA      | $11524800.47  | 0.30%             | 2055-11-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Bonds                                                             | CUSIP: 912810UQ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  55257000 | PA      | $54065520.94  | 1.42%             | 2045-11-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Notes                                                             | CUSIP: 91282CGS4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  42884000 | PA      | $42806942.81  | 1.12%             | 2030-03-31      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Notes                                                             | CUSIP: 91282CHJ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16315000 | PA      | $16357062.11  | 0.43%             | 2030-06-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Notes                                                             | CUSIP: 91282CHW4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15553000 | PA      | $15827607.66  | 0.42%             | 2030-08-31      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Notes                                                             | CUSIP: 91282CHZ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16175000 | PA      | $16811890.63  | 0.44%             | 2030-09-30      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Notes                                                             | CUSIP: 91282CKU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2710000 | PA      | $2821364.06   | 0.07%             | 2031-05-31      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Notes                                                             | CUSIP: 91282CLK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4130000 | PA      | $4130000.00   | 0.11%             | 2029-08-31      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Notes                                                             | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18613800 | PA      | $18826113.66  | 0.49%             | 2034-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Notes                                                             | CUSIP: 91282CPJ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  68070000 | PA      | $67144673.44  | 1.76%             | 2035-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Notes                                                             | CUSIP: 91282CPL9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18517000 | PA      | $18481557.30  | 0.49%             | 2027-11-30      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Notes                                                             | CUSIP: 91282CPM7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  49258000 | PA      | $48719240.63  | 1.28%             | 2032-11-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Notes                                                             | CUSIP: 91282CPN5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  69415000 | PA      | $68737119.14  | 1.80%             | 2030-11-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Notes                                                             | CUSIP: 91282CPP0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  37908000 | PA      | $37866538.13  | 0.99%             | 2028-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury Notes                                                             | CUSIP: 91282CPR6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    407000 | PA      | $405123.98    | 0.01%             | 2030-12-31      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 9128334T4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8418000 | PA      | $6602867.40   | 0.17%             | 2032-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 9128334X5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4400000 | PA      | $3135895.53   | 0.08%             | 2034-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 9128337U8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2083000 | PA      | $1503068.74   | 0.04%             | 2033-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 9128337V6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2400000 | PA      | $1690123.13   | 0.04%             | 2034-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 9128337W4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1850000 | PA      | $1269251.32   | 0.03%             | 2034-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 912834JH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  32426000 | PA      | $15857991.52  | 0.42%             | 2040-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 912834JP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6430822 | PA      | $3098589.66   | 0.08%             | 2041-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES STEEL CORP                                 | United States Steel Corp                                                        | CUSIP: 912909AU2<br>LEI: JNLUVFYJT1OZSIQ24U47 | Long             | DBT              | CORP              | US        |    275000 | PA      | $276235.60    | 0.01%             | 2029-03-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                   | UnitedHealth Group Inc                                                          | CUSIP: 91324PEE8<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    363000 | PA      | $275141.55    | 0.01%             | 2041-05-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                   | UnitedHealth Group Inc                                                          | CUSIP: 91324PER9<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   1340000 | PA      | $1396395.63   | 0.04%             | 2033-02-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                   | UnitedHealth Group Inc                                                          | CUSIP: 91324PES7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   1432000 | PA      | $1445865.43   | 0.04%             | 2053-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                   | UnitedHealth Group Inc                                                          | CUSIP: 91324PEW8<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    911000 | PA      | $823542.25    | 0.02%             | 2053-04-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                   | UnitedHealth Group Inc                                                          | CUSIP: 91324PFK3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    946000 | PA      | $938767.22    | 0.02%             | 2044-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                   | UnitedHealth Group Inc                                                          | CUSIP: 91324PFL1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   2132000 | PA      | $2093334.28   | 0.05%             | 2054-07-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| UNIVISION COMMUNICATIONS                                 | Univision Communications Inc                                                    | CUSIP: 914906AY8<br>LEI: 549300YQDE2JSGTL8V47 | Long             | DBT              | CORP              | US        |    285000 | PA      | $295094.45    | 0.01%             | 2028-08-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Board of Regents of the University of Texas System       | UNIV OF TEXAS TX UNIV REVENUES                                                  | CUSIP: 91514AKD6<br>LEI: TEHUYFNKZR6XVWLGEU86 | Long             | DBT              | MUN               | US        |    605000 | PA      | $376570.63    | 0.01%             | 2049-08-15      | Fixed         | 2.44%                 | No            |                  2 | On Loan: No      |
| VM DEBT 2019 1 TR                                        | VM DEBT 2019 1 TR                                                               | CUSIP: 91834VAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8996294 | PA      | $7286997.88   | 0.19%             | 2027-07-18      | Fixed         | 7.46%                 | No            |                  3 | On Loan: No      |
| VALARIS LTD                                              | Valaris Ltd                                                                     | CUSIP: 91889FAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    175000 | PA      | $182187.02    | 0.00%             | 2030-04-30      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| VENTAS REALTY LP                                         | Ventas Realty LP                                                                | CUSIP: 92277GAX5<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              |  | US        |    238000 | PA      | $248569.98    | 0.01%             | 2034-07-01      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUE                                    | Venture Global Plaquemines LNG LLC                                              | CUSIP: 922966AC0<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |    190000 | PA      | $194505.06    | 0.01%             | 2034-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU                                 | Venture Global Calcasieu Pass LLC                                               | CUSIP: 92328MAA1<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |    167000 | PA      | $156863.34    | 0.00%             | 2029-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU                                 | Venture Global Calcasieu Pass LLC                                               | CUSIP: 92328MAC7<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |    433000 | PA      | $371671.54    | 0.01%             | 2033-11-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                   | Venture Global LNG Inc                                                          | CUSIP: 92332YAB7<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |   1190000 | PA      | $1183605.43   | 0.03%             | 2031-06-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                   | Verizon Communications Inc                                                      | CUSIP: 92343VFW9<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1163000 | PA      | $692063.76    | 0.02%             | 2056-10-30      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                   | Verizon Communications Inc                                                      | CUSIP: 92343VGZ1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   3599000 | PA      | $3660901.07   | 0.10%             | 2035-04-02      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                   | Verizon Communications Inc                                                      | CUSIP: 92343VHF4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1351000 | PA      | $1349983.52   | 0.04%             | 2033-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                   | Verizon Communications Inc                                                      | CUSIP: 92343VHG2<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1351000 | PA      | $1339830.09   | 0.04%             | 2036-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                   | Verizon Communications Inc                                                      | CUSIP: 92343VHH0<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    912000 | PA      | $906447.56    | 0.02%             | 2045-11-30      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                   | Verizon Communications Inc                                                      | CUSIP: 92343VHJ6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1802000 | PA      | $1781500.70   | 0.05%             | 2055-11-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                   | Verizon Communications Inc                                                      | CUSIP: 92343VHK3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1801000 | PA      | $1779527.23   | 0.05%             | 2065-11-30      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VERISK ANALYTICS INC                                     | Verisk Analytics Inc                                                            | CUSIP: 92345YAM8<br>LEI: 549300I1YSWNIRKBWP67 | Long             | DBT              | CORP              | US        |   1352000 | PA      | $1365520.00   | 0.04%             | 2030-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VERISK ANALYTICS INC                                     | Verisk Analytics Inc                                                            | CUSIP: 92345YAN6<br>LEI: 549300I1YSWNIRKBWP67 | Long             | DBT              | CORP              | US        |   1510000 | PA      | $1525100.00   | 0.04%             | 2036-02-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Verizon Master Trust                                     | Verizon Master Trust                                                            | CUSIP: 92348KDJ9<br>LEI: 5493007MUBNP1GFMEB89 | Long             | ABS-O            | CORP              | US        |   5473000 | PA      | $5501376.96   | 0.14%             | 2032-08-20      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Verizon Master Trust                                     | Verizon Master Trust Series 2025-2                                              | CUSIP: 92348KDV2<br>LEI: 5493007MUBNP1GFMEB89 | Long             | ABS-O            | CORP              | US        |   3633000 | PA      | $3744663.52   | 0.10%             | 2033-01-20      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| Verizon Master Trust                                     | Verizon Master Trust                                                            | CUSIP: 92348KEC3<br>LEI: 5493007MUBNP1GFMEB89 | Long             | ABS-O            | CORP              | US        |   2957000 | PA      | $3023810.46   | 0.08%             | 2033-03-21      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| Verizon Master Trust                                     | Verizon Master Trust                                                            | CUSIP: 92348KEZ2<br>LEI: 5493007MUBNP1GFMEB89 | Long             | ABS-O            | CORP              | US        |   2600000 | PA      | $2607963.02   | 0.07%             | 2033-10-20      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                               | Verus Securitization Trust 2021-1                                               | CUSIP: 92537QAA9<br>LEI: 213800278TKDEXPH6140 | Long             | ABS-MBS          | CORP              | US        |    427432 | PA      | $392266.89    | 0.01%             | 2066-01-25      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                               | Verus Securitization Trust 2021-R1                                              | CUSIP: 92538BAA1<br>LEI: 213800278TKDEXPH6140 | Long             | ABS-MBS          | CORP              | US        |    184337 | PA      | $181351.61    | 0.00%             | 2063-10-25      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                               | Verus Securitization Trust 2021-R3                                              | CUSIP: 92538EAA5<br>LEI: 213800278TKDEXPH6140 | Long             | ABS-MBS          | CORP              | US        |    375568 | PA      | $359511.42    | 0.01%             | 2064-04-25      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                               | Verus Securitization Trust 2021-2                                               | CUSIP: 92538FAA2<br>LEI: 213800278TKDEXPH6140 | Long             | ABS-MBS          | CORP              | US        |    847103 | PA      | $773425.18    | 0.02%             | 2066-02-25      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                               | Verus Securitization Trust 2021-8                                               | CUSIP: 92538GAA0<br>LEI: 213800278TKDEXPH6140 | Long             | ABS-MBS          | CORP              | US        |   1290886 | PA      | $1207118.53   | 0.03%             | 2066-11-25      | Variable      | 2.82%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                               | Verus Securitization Trust 2021-4                                               | CUSIP: 92538HAA8<br>LEI: 213800278TKDEXPH6140 | Long             | ABS-MBS          | CORP              | US        |   1233515 | PA      | $1046375.03   | 0.03%             | 2066-07-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                               | Verus Securitization Trust 2021-3                                               | CUSIP: 92539LAA8<br>LEI: 213800278TKDEXPH6140 | Long             | ABS-MBS          | CORP              | US        |    964431 | PA      | $849707.83    | 0.02%             | 2066-06-25      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| VIKING CRUISES LTD                                       | Viking Cruises Ltd                                                              | CUSIP: 92676XAH0<br>LEI: 549300IJP90T4MV2GL84 | Long             | DBT              | CORP              | BM        |    480000 | PA      | $488060.12    | 0.01%             | 2033-10-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                                 | Virginia Electric and Power Co                                                  | CUSIP: 927804GF5<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |   1032000 | PA      | $650685.94    | 0.02%             | 2051-11-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                 | Vistra Operations Co LLC                                                        | CUSIP: 92840VAB8<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    580000 | PA      | $580338.62    | 0.02%             | 2027-02-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                 | Vistra Operations Co LLC                                                        | CUSIP: 92840VAP7<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    370000 | PA      | $392361.74    | 0.01%             | 2031-10-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                 | Vistra Operations Co LLC                                                        | CUSIP: 92840VAS1<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |   1922000 | PA      | $2017211.70   | 0.05%             | 2034-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                 | Vistra Operations Co LLC                                                        | CUSIP: 92840VAT9<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |   1004000 | PA      | $1011016.03   | 0.03%             | 2026-12-30      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                 | Vistra Operations Co LLC                                                        | CUSIP: 92840VAV4<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     67000 | PA      | $66924.54     | 0.00%             | 2030-10-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                 | Vistra Operations Co LLC                                                        | CUSIP: 92840VAX0<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |   1204000 | PA      | $1203656.30   | 0.03%             | 2028-10-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA                                 | Volkswagen Group of America Finance LLC                                         | CUSIP: 928668AU6<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    710000 | PA      | $717211.42    | 0.02%             | 2028-11-13      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA                                 | Volkswagen Group of America Finance LLC                                         | CUSIP: 928668CP5<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    721000 | PA      | $731758.03    | 0.02%             | 2028-03-27      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA                                 | Volkswagen Group of America Finance LLC                                         | CUSIP: 928668CQ3<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |   1132000 | PA      | $1162155.06   | 0.03%             | 2030-03-27      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Volkswagen Auto Loan Enhanced Trust                      | Volkswagen Auto Loan Enhanced Trust 2024-1                                      | CUSIP: 92868RAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    906000 | PA      | $917578.77    | 0.02%             | 2029-07-20      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                  | WaMu Mortgage Pass-Through Certificates Series 2003-AR6 Trust                   | CUSIP: 9292274D5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31686 | PA      | $31177.84     | 0.00%             | 2033-06-25      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                  | WaMu Mortgage Pass-Through Certificates Series 2003-AR7 Trust                   | CUSIP: 9292276K7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     62148 | PA      | $60811.98     | 0.00%             | 2033-08-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                  | WaMu Mortgage Pass-Through Certificates Series 2003-AR5 Trust                   | CUSIP: 929227R65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     41278 | PA      | $41282.72     | 0.00%             | 2033-06-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                  | WaMu Mortgage Pass-Through Certificates Series 2003-AR11 Trust                  | CUSIP: 92922FJF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    104633 | PA      | $98685.08     | 0.00%             | 2033-10-25      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                  | WaMu Mortgage Pass-Through Certificates Series 2004-AR3 Trust                   | CUSIP: 92922FNJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33902 | PA      | $32400.48     | 0.00%             | 2034-06-25      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC                                             | WP Carey Inc                                                                    | CUSIP: 92936UAE9<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              |  | US        |    178000 | PA      | $178177.33    | 0.00%             | 2026-10-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC                                             | WP Carey Inc                                                                    | CUSIP: 92936UAH2<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              |  | US        |    255000 | PA      | $215134.95    | 0.01%             | 2033-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| WR GRACE HOLDING LLC                                     | WR Grace Holdings LLC                                                           | CUSIP: 92943GAF8<br>LEI: 549300WNOVFRGYOAEB12 | Long             | DBT              | CORP              | US        |    350000 | PA      | $354681.13    | 0.01%             | 2032-08-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| WBCMT_04-C12                                             | WBCMT_04-C12                                                                    | CUSIP: 929766SJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     77816 | PA      | $102.68       | 0.00%             | 2041-07-15      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| Wachovia Bank Commercial Mortgage Trust                  | Wachovia Bank Commercial Mortgage Trust Series 2006-C24                         | CUSIP: 92976BGA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11356 | PA      | $0.11         | 0.00%             | 2045-03-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities Trust             | Wells Fargo Mortgage Backed Securities 2004-U Trust                             | CUSIP: 949803AA8<br>LEI: 549300EZH20KSD9JD814 | Long             | ABS-MBS          | CORP              | US        |     62953 | PA      | $62153.28     | 0.00%             | 2034-10-25      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                    | Wells Fargo & Co                                                                | CUSIP: 95000U2Q5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1330000 | PA      | $1032882.21   | 0.03%             | 2041-04-30      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                    | Wells Fargo & Co                                                                | CUSIP: 95000U3A9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1459000 | PA      | $1475034.99   | 0.04%             | 2028-07-25      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                    | Wells Fargo & Co                                                                | CUSIP: 95000U3D3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    792000 | PA      | $823184.18    | 0.02%             | 2034-04-24      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                    | Wells Fargo & Co                                                                | CUSIP: 95000U3F8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1171000 | PA      | $1228811.14   | 0.03%             | 2034-07-25      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                    | Wells Fargo & Co                                                                | CUSIP: 95000U3G6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1453000 | PA      | $1535607.50   | 0.04%             | 2029-10-23      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                    | Wells Fargo & Co                                                                | CUSIP: 95000U3H4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    398000 | PA      | $440752.03    | 0.01%             | 2034-10-23      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                    | Wells Fargo & Co                                                                | CUSIP: 95000U3N1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    544000 | PA      | $555870.14    | 0.01%             | 2035-12-03      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                    | Wells Fargo & Co                                                                | CUSIP: 95000U3P6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    642000 | PA      | $664487.76    | 0.02%             | 2031-01-24      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                    | Wells Fargo & Co                                                                | CUSIP: 95000U3V3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1589000 | PA      | $1665701.95   | 0.04%             | 2036-04-23      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                    | Wells Fargo & Co                                                                | CUSIP: 95000U3W1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   2859000 | PA      | $2949786.44   | 0.08%             | 2031-04-23      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                    | Wells Fargo & Co                                                                | CUSIP: 95000U4B6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1333000 | PA      | $1328735.22   | 0.03%             | 2036-09-15      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                    | Wells Fargo & Co                                                                | CUSIP: 95002YAC7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1048000 | PA      | $1094795.85   | 0.03%             | 2029-09-15      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                    | Wells Fargo Commercial Mortgage Trust 2021-SAVE                                 | CUSIP: 95003LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    603067 | PA      | $602714.97    | 0.02%             | 2040-02-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| WESCO DISTRIBUTION INC                                   | WESCO Distribution Inc                                                          | CUSIP: 95081QAP9<br>LEI: 549300I2CEZJG9N4AH67 | Long             | DBT              | CORP              | US        |    810000 | PA      | $822489.46    | 0.02%             | 2028-06-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                    | Westlake Automobile Receivables Trust 2023-4                                    | CUSIP: 96041AAN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4150000 | PA      | $4293851.45   | 0.11%             | 2029-07-16      | Fixed         | 7.19%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                   | Williams Cos Inc/The                                                            | CUSIP: 969457BZ2<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    885000 | PA      | $886749.69    | 0.02%             | 2032-08-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| WILLIAMS SCOTSMAN INC                                    | Williams Scotsman Inc                                                           | CUSIP: 96950GAE2<br>LEI: 549300DAKDS8SCO1OT57 | Long             | DBT              | CORP              | US        |     75000 | PA      | $74714.74     | 0.00%             | 2028-08-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| WISCONSIN ELECTRIC POWER                                 | Wisconsin Electric Power Co                                                     | CUSIP: 976656CU0<br>LEI: AENKIFMULUAWOUU8Q584 | Long             | DBT              | CORP              | US        |   1468000 | PA      | $1466931.84   | 0.04%             | 2030-10-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| WORKDAY INC                                              | Workday Inc                                                                     | CUSIP: 98138HAH4<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |    594000 | PA      | $585639.52    | 0.02%             | 2029-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| World Financial Network Credit Card Master Trust         | World Financial Network Credit Card Master Trust                                | CUSIP: 981464HR4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    610000 | PA      | $622246.42    | 0.02%             | 2031-02-15      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| World Omni Auto Receivables Trust                        | World Omni Auto Receivables Trust 2025-C                                        | CUSIP: 981936AD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1319000 | PA      | $1330126.82   | 0.03%             | 2031-11-17      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| WULF COMPUTE LLC                                         | WULF Compute LLC                                                                | CUSIP: 982911AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    355000 | PA      | $365682.15    | 0.01%             | 2030-10-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| WYNN LAS VEGAS LLC/CORP                                  | Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp                                | CUSIP: 983130AX3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    515000 | PA      | $517689.66    | 0.01%             | 2027-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| WYNN RESORTS FINANCE LLC                                 | Wynn Resorts Finance LLC / Wynn Resorts Capital Corp                            | CUSIP: 983133AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    300000 | PA      | $301703.30    | 0.01%             | 2029-10-01      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| XPO INC                                                  | XPO Inc                                                                         | CUSIP: 98379KAB8<br>LEI: 54930096DB9LCLPN7H13 | Long             | DBT              | CORP              | US        |    620000 | PA      | $646621.94    | 0.02%             | 2031-06-01      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| XEROX HOLDINGS CORP                                      | Xerox Holdings Corp                                                             | CUSIP: 98421MAC0<br>LEI: 5493000Y33XDVO2CXC18 | Long             | DBT              | CORP              | US        |    425000 | PA      | $171368.65    | 0.00%             | 2029-11-30      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| YINSON BERGENIA PRODUCTI                                 | Yinson Bergenia Production BV                                                   | CUSIP: 98585VAA6<br>LEI: 549300JDIAWKPMZD5256 | Long             | DBT              | CORP              | NL        |    343000 | PA      | $359899.32    | 0.01%             | 2045-01-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| ZIMMER BIOMET HOLDINGS                                   | Zimmer Biomet Holdings Inc                                                      | CUSIP: 98956PBC5<br>LEI: 2P2YLDVPES3BXQ1FRB91 | Long             | DBT              | CORP              | US        |    732000 | PA      | $759358.01    | 0.02%             | 2035-02-19      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ZOETIS INC                                               | Zoetis Inc                                                                      | CUSIP: 98978VAS2<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |    178000 | PA      | $162826.13    | 0.00%             | 2030-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ZOETIS INC                                               | Zoetis Inc                                                                      | CUSIP: 98978VAV5<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |    178000 | PA      | $189097.94    | 0.00%             | 2032-11-16      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| ZOETIS INC                                               | Zoetis Inc                                                                      | CUSIP: 98978VAX1<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |    340000 | PA      | $343821.02    | 0.01%             | 2035-08-17      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| IVORY COAST                                              | Ivory Coast Government International Bond                                       | CUSIP: 000000000<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |    200000 | PA      | $199724.22    | 0.01%             | 2033-06-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| STARWOOD WAYPOINT HOMES TRUST SWH_17-1                   | STARWOOD WAYPOINT HOMES TRUST SWH_17-1                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1771902 | PA      | $1753296.74   | 0.05%             | 2026-10-11      | Fixed         | 7.25%                 | No            |                  3 | On Loan: No      |
| HUNDRED ACRE WOOD TRUST HAWT_21-INV1                     | HUNDRED ACRE WOOD TRUST HAWT_21-INV1                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2000000 | PA      | $1987213.14   | 0.05%             | 2026-01-13      | Fixed         | 7.25%                 | No            |                  3 | On Loan: No      |
| REPUBLIC OF ECUADOR                                      | Ecuador Government International Bond                                           | CUSIP: 000000000<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |    330000 | PA      | $325049.65    | 0.01%             | 2030-07-31      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ECUADOR                                      | Ecuador Government International Bond                                           | CUSIP: 000000000<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |    434906 | PA      | $381908.80    | 0.01%             | 2035-07-31      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ECUADOR                                      | Ecuador Government International Bond                                           | CUSIP: 000000000<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |    328933 | PA      | $257006.89    | 0.01%             | 2040-07-31      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                   | US 5YR NOTE MAR 26                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      1123 | NC      | $-378290.88   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                   | US 2YR NOTE MAR 26                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       255 | NC      | $-23656.21    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                   | US 10YR NOTE MAR 26                                                             | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       410 | NC      | $-269703.26   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                   | US LONG BOND MAR 26                                                             | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -112 | NC      | $103935.78    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                   | US ULTRA 10YR NOTE MAR 26                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        79 | NC      | $29497.02     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                   | US ULTRA 10YR NOTE MAR 26                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       217 | NC      | $-90203.22    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                   | US ULTRA T-BOND MAR 26                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       338 | NC      | $-709463.45   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2026-02-02

**Name of Applicant:** Columbia Funds Variable Series Trust II

**Signature:** Jennifer Borges

**Name of Signer:** Jennifer Borges

**Title:** Senior Manager